You have the following information on a $3-$year swap contract:

Term Zero coupon yields $(\%)$

$13\mathrm{.}25\%$

$23\mathrm{.}50\%$

$33\mathrm{.}75\%$

The swap has a notional value of $$250$M with $3\mathrm{.}4\%$ annual fixed$-$rate payments

for floating$-$rate payments tied to the annual discount rate

a$.$ If a pension fund sells the swap what can you conclude about the exposure to interest rates?

b$.$ What are the realized cash flows expected over the life of the swap?

c$.$ If discount yields are the following, what are the realized cash flows?

Term Zero coupon yields $(\%)$

$13\mathrm{.}25\%$

$23\mathrm{.}65\%$

$33\mathrm{.}85\%$