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Receive six-month LIBOR, pay 3% (s.a. compounding) on a principal of $100 million Remaining life 1.25 years LIBOR rates for 3-months, 9-months and 15- months


Receive six-month LIBOR, pay 3% (s.a. compounding) on a principal of $100 million Remaining life 1.25 years LIBOR rates for 3-months, 9-months and 15- months are 2.8%, 3.2%, and 3.4% (cont comp) 6-month LIBOR on last payment date was 2.9% (s.a. compounding)

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