An FI Has Entered a $100 Million Swap Agreement with a Counterparty.The

Multiple Choice

An FI has entered a $100 million swap agreement with a counterparty.The fixed-payment portion of the swap is similar to a government bond with maturity of 6 years and duration of 5 years.The swap payment interval is 1 year.If the relative shock to interest rates [ΔR/(1 + R) ] is a decline of 50 basis points, what will be the change in market value of the swap contract?

A) +$2.0 million.
B) -$2.0 million.
C) +$2.5 million.
D) -$2.5 million.
E) More information is needed.