The variable rate to be used at the end of 360 days is set at the 180-day period (the arrears method). Therefore, the appropriate variable rate is 10%, the fixed rate is 11%, the time period is 180 days, and the interest payments are netted. The fixed-rate payer, counterparty A, pays according to:
(Swap Fixed Rate – LIBOR
t-1)(# of days/360)(Notional Principal).
In this case, we have (0.11 - 0.10)(180/360)($120 million) = $0.6 million