To inform the debate further, the head of the management team referenced an outstanding $100 million notional principal swap with nine months until maturity (from April 1, 2016) and quarterly interest settlements. In the swap, the group would receive a 2 per cent fixed rate in return for paying the three- month LIBOR rate. The team head projected detailed calculations of how the swap could be valued using the LIBOR and OIS rates prevailing on April 5, 2016 onto the screen.