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value of an interest rate swap to a financial institution

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In an interest rate swap, a financial institution pays 6% per annum and receives 3-month LIBOR in return on a notional principal of $100 million with payments being exchanged every three months. The swap has a remaining life of 14 months. This implies the next cashflow will be exchanged in 2 months.

The current LIBOR rate is 8% per annum for all maturities. The 3-month LIBOR rate 1 months ago was 10% per annum.

All rates are compounded quarterly.

What is the value of the swap to this financial institution?

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The solution determines the value of an interest rate swap to a financial institution.

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