Suppose two parties enter a 5-year interest rate swap to exchange one- year LIBOR plus 60 basis points (bp) for a fixed rate on $100 million notional principal. 8. If LIBOR turns out to be 10% in year 1, 996 in year 2,9% in year 3, 8% in year 4 and 8.5% in year 5, what cash flows will be exchanged between the two parties? Assume a flat Eurodollar yield curve at 10% What is the value of the swap? What fixed rate in the swap agreement will make the value of the swap equal to zero? a. b. c