Under the terms of an interest-rate swap, a financial institution has agreed to pay 6% APR Semi-Annual and receive LIBOR APR Semi-Annual on a notional principal of $100 million with payments exchanged every six months. The swap has remaining life of 16 months. Two months ago, six-month LIBOR was 5.5% APR. The current term structure of interest rates is flat so LIBOR for all maturities is 5.21% CCAR. a) Value the swap using the Forward Rate Method. b) What has happened to the relevant interest rates since the swap was initiated? Is the FI paying or receiving the floating rate? Has the value of the swap increased or decreased? c) What payment must he FI make to the counterparty in order to exit the swap? Or what payment must he FI make today (along with offsetting forward rate agreements) to offset the swap? Under the terms of an interest-rate swap, a financial institution has agreed to pay 6% APR Semi-Annual and receive LIBOR APR Semi-Annual on a notional principal of $100 million with payments exchanged every six months. The swap has remaining life of 16 months. Two months ago, six-month LIBOR was 5.5% APR. The current term structure of interest rates is flat so LIBOR for all maturities is 5.21% CCAR. a) Value the swap using the Forward Rate Method. b) What has happened to the relevant interest rates since the swap was initiated? Is the FI paying or receiving the floating rate? Has the value of the swap increased or decreased? c) What payment must he FI make to the counterparty in order to exit the swap? Or what payment must he FI make today (along with offsetting forward rate agreements) to offset the swap