Assume that a bank enters into a USD 100 million, 4-year annual pay interest rate
swap, where the bank receives 6% fixed against 12-month LIBOR. Which of the
following numbers best approximates the current exposure at the end of year 1 if the
swap rate declines 125 basis points over the year?
a. USD 3,420,069
b. USD 4,458,300
c. USD 3,341,265
d. USD 4,331,382

the reference answer is A.
How to get the number?
My approach is:
-Caculate the duration of 4-year -fix bond, with coupn=.06, and rfr=.06, get D=3.67
-Assuem the floating bond duariton= .5
-The exposure=(3.67-.5)*125bps*100m=3.97m

Where step is wrong?
Or I used the wrong approach?

THANKS A LOT