XYZ Corporation entered into an interest rate swap with a financial institution whereby it receives...
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XYZ Corporation entered into an interest rate swap with a financial institution whereby it receives 6% per annum and pays three-month LIBOR in return on a notional principal of $100 million, with payments being exchanged every three months. The swap now has a remaining life of four months. The fixed-rate currently being swapped for three-month LIBOR is 10% for all maturities, while the three-month LIBOR rate two months ago was 9.60% per annum. All rates are compounded quarterly.
If XYZ Corporation wishes to terminate the swap agreement, how much must it pay the financial institution? Show all calculations.
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