The term structure for (annual effective) interest rates is as follows for corresponding 3. maturities: 1 year: 4%, 2 year: 6%, 3 year: 8%, 4 year: 10%, 5 year: 15%. Philip purchases a deferred interest rate swap with a term of five years. Under the swap, there is no swapping of interest payments during the first two years. During the last three years, the settlement period will be one year. Under this swap, Philip will be the fixed rate payer. The variable interest rate will be based on the one year spot rate at the start of each settlement period. The notional amount of this swap is 100,000. At the start of the fourth year, the price of 1-year zero coupon bond is 0.957 and the price of the 2-year zero coupon bond is 0.89. Find the market value of the swap to Philip at the start of the 4th year.