OLL UUUU). 19. A two-year swap with semiannual payments pays a floating rate and receives a fixed rate. The term structure at the beginning of the swap is L(180) = 0.0583 Lo(360) = 0.0616 Lo(540) = 0.0680 Lo(720) = 0.0705 In order to mitigate the credit risk of the parties engaged in the swap, the swap will be marked to market in 180 days. Suppose it is now 180 days later and the swap is being marked to market. The new term structure is L180(180) = 0.0429 L180(360) = 0.0538 L180(540) = 0.0618 A. Calculate the market value of the swap per $1 notional principal and indicate which party pays which. B. Calculate the new fixed rate on the swap at which the swap would proceed after marking to market