Calculate the swap rate, and state why a bank is subject to credit risk. Finance question.

Explain why a hank is subject to credit risk when it enters into two offsetting swap contracts Let us assume our discounting curs e is flat in 4% (continuous). We further assume that our Swap-Curse for 3-month Tenor is defined as: We also assume that our Swap-Curse 6-month Tenor is defined as: Let us assume we have 2 5-years interest rate swaps. Where the fixed leg is paid annually (no day-correction and 30E/360 - day-convention). On one of the swaps the floating leg is paid quarterly and on the other swap it is paid semi-annually. Calculate the Swap-Rate on a 5-year Tenor-Basis Swap (where the Tenor Basis Swap is defined as two swaps with the same frequency fixed leg)