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March 27th, 2013, 09:56 AM  #1 
Newbie Joined: Mar 2013 Posts: 1 Thanks: 0  Urgent Please Help! Interest Rate Swap
I have to have this question answered by tomorrow morning and I have really hit a brick wall! Any help would be very appreciated! The term structure is flat 5% per annum with continuous compounding. Some time ago the bank entered into a 5year swap with a principal of $100 million in which every year it pays 12month LIBOR and recieves 6%. The swap now had two years eight months to run . Four months ago 12month LIBOR was 4% (with annual compounding). What is the value of the swap today? What is the financial instiutions credit exposure on the swap? Thanks! 

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