Hannah Griffin, the CFO at Blue Industries, wishes to borrow $15,000,000 for one year with quarterly fixed interest payments, but lenders are only willing to lend at a floating rate. Griffin decides to use an interest rate swap to convert the floating rate loan to a fixed rate loan by entering the swap as the pay fixed, receive floating counterparty. a. At swap initiation, the term structure of US dollar Libor (assuming a 30/360 day count) is: What is the annualized no-arbitrage fixed rate on the one year, pay fixed swap? (2 points) b. Six months have now passed and Griffin wishes to value the swap position. The current term structure of US dollar Libor ( 30/360 day count) is: What is the value of the $15 million pay fixed, receive floating swap? ( 3 points) Hannah Griffin, the CFO at Blue Industries, wishes to borrow $15,000,000 for one year with quarterly fixed interest payments, but lenders are only willing to lend at a floating rate. Griffin decides to use an interest rate swap to convert the floating rate loan to a fixed rate loan by entering the swap as the pay fixed, receive floating counterparty. a. At swap initiation, the term structure of US dollar Libor (assuming a 30/360 day count) is: What is the annualized no-arbitrage fixed rate on the one year, pay fixed swap? (2 points) b. Six months have now passed and Griffin wishes to value the swap position. The current term structure of US dollar Libor ( 30/360 day count) is: What is the value of the $15 million pay fixed, receive floating swap? ( 3 points)