On April 1, 1994, Great Savings Bank had issued many fixed-rate CDs, and had loaned out...

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On April 1, 1994, Great Savings Bank had issued many fixed-rate CDs, and had loaned out much of the money it obtained from these at variable rates. The board of directors is concerned that the Bank faces too much interest-rate risk and decides to take the fixed-leg in a fixed-for-floating interest rate swap - that is, lock in a fixed interest rate. The notional balance is $35,000,000, the fixed rate is ¡(4) = 5.25%, and the floating rate is the three-month LIBOR. The swap is for one year and the LIBOR rates, given on an "Actual/360 basis," turn out to be 4.250% for the period beginning 4/01/94, 4.875% for the period beginning 7/01/94, 5.688% for the period beginning 10/01/94, and 6.328% for the period beginning 1/01/95. Determine the amount and time of all payments. On April 1, 1994, Great Savings Bank had issued many fixed-rate CDs, and had loaned out much of the money it obtained from these at variable rates. The board of directors is concerned that the Bank faces too much interest-rate risk and decides to take the fixed-leg in a fixed-for-floating interest rate swap - that is, lock in a fixed interest rate. The notional balance is $35,000,000, the fixed rate is ¡(4) = 5.25%, and the floating rate is the three-month LIBOR. The swap is for one year and the LIBOR rates, given on an "Actual/360 basis," turn out to be 4.250% for the period beginning 4/01/94, 4.875% for the period beginning 7/01/94, 5.688% for the period beginning 10/01/94, and 6.328% for the period beginning 1/01/95. Determine the amount and time of all payments.