Interest Rate Swap: Profit and Default On July 1, 2014, Queen Corp. and Prince, Inc. entered into an interest rate swap on a notional amount of $1 million. With T representing the Treasury bill rate, they accepted the following offer of Intermediary:

At inception of the swap, T = 3 percent and LIBOR = 3.3 percent. Due to an increase of 20 bp in the floating interest rate at the end of September, Queen Corp. defaulted and Intermediary honored its commitment to Prince, Inc. by continuing with the swap.
Required
a. What monthly profit, if any, was Intermediary making on the swap before default?
b. Is Intermediary losing money after the default? If so, how much?

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