On October 5, 2020 companies A and B enter into a fixed for floating interest rate swap. Under the terms of the swap company A will pay 4% per annum (to B) and receive 3-month LIBOR (from B) every three months for two years on a principal of $10,000,000. All rates quoted with quarterly compounding.

(a) Suppose that on October 5, 2020 the actual 3-month LIBOR is 4.2% with quarterly compounding. Calculate the net swap payment for company A on January 5, 2021. (b) Suppose that on January 5, 2021 the actual 3-month LIBOR is 3.7% with quarterly compounding. Calculate the net swap payment for company A on April 5, 2021. (c) Suppose that A has arranged to borrow $10,000,000 at LIBOR + 0.6% for two years. What is the effective interest rate that A will pay after combining this liability with the swap? (d) Suppose that B has arranged to borrow $10,000,000 at 4.3% for two years. What is the effective interest rate that B will pay after combining this liability with the swap?