Consider Bank That Has Entered into a Five-Year Swap on a Notational

Multiple Choice

Consider bank that has entered into a five-year swap on a notational balance of $10,000,000 with a corporate customer who has agreed to pay a fixed payment of 10 percent in exchange for LIBOR. As of the fourth reset date, determine the price of the swap from the bank's point of view assuming that the fixed-rate side of the swap has increased to 11 percent. LIBOR is at 5 percent.

A) $909,090.91 gain.
B) $90,090.09 loss.
C) No loss or no gain since maturity has not arrived.
D) $90,090.09 gain.