32. A U.S. bank enters into a plain vanilla currency swap with a notional principal of US$100m (67m). At each settlement date, the U.S. bank pays a fixed rate of 8% on the pounds received, and an English bank pays a variable rate equal to London Interbank Offered Rate (LIBOR) on the U.S. dollars received. Given the following information, calculate the payments that each bank will have to give to the other bank at the end of the swap (year 3)? LIBOR = 5.0% LIBOR = 5.5% LIBOR = 6.0% LIBOR = 6.5%