A
AcadiFi
DerivativesHard

Stonebridge Capital enters a two-year interest rate swap as the fixed-rate payer at 4.5% on a notional of $20 million with quarterly payments. After six months, the fixed rate on a comparable new 1.5-year swap is 4.0%. Assuming a flat term structure and continuous discounting at 3.8%, the swap has a market value to Stonebridge closest to: