Question: 3. ABC has a payer SWAP with one year maturity and quarterly settlements with the additional following characteristics: the trading date is January 1st 2011,

3. ABC has a payer SWAP with one year maturity and quarterly settlements with the additional following characteristics: the trading date is January 1st 2011, the principal amount is $1,000,000, the reference rate is the 3M US Libor and the SWAP rate is 1.0%. Determine the first settlement amount for ABC in the 1st of April 2010, knowing that at January 1st 2011 the 3M US Libor is 0.8% and assuming a day count convention and basis of 30/360

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