ABC Corp has a floating-rate liability and wants a fixed-rate exposure. They enter into a 2-year quarterly-pay $4.4 million fixed-for-floating swap as the fixed-rate payer. The counterparty is XYZ Corp. The fixed-rate is 5.6% and the floating rate is 90-day LIBOR+ 1.3%, with both calculated based on a 360-day year. The annualized LIBOR are:

Current 5.0%

In 1 quarter 5.5%

In 2 quarters 5.4%

In 3 quarters 5.8%

In 4 quarters 6.0%

Assume that a month's day count is 30 days and a year is 360 days.

The value of the second net swap payment is:

a.

$ 74800.00

b.

$ 0 or no net payment.

c.

$ 13200.00

d.

$ 80960.00