Exhibit 14-12 USE THE FOLLOWING INFORMATION FOR THE NEXT QUESTION(S)

Multiple Choice

Exhibit 14-12
USE THE FOLLOWING INFORMATION FOR THE NEXT QUESTION(S)
The Skalmory Corporation has entered into a 3-year interest rate swap, with semiannual settlement, to pay a fixed rate of 7.5% per year and receive 6-month LIBOR. The notional principal is $10,000,000.
-Refer to Exhibit 14-12. Assume that one year later the fixed rate on a new 2-year receive fixed pay floating LIBOR swap has fallen to 7% per year. Settlement is on a semiannual basis. Calculate the market value of the FRN based on $100 face value.

A) $101.33
B) $100.58
C) $100.00
D) $98.67
E) $95.83