Question: XYZ and ABC enter a three year Plain Vanilla Interest Rate Swap. XYZ is paying 5% fixed with semi-annual compounding and receiving floating. The notional

XYZ and ABC enter a three year Plain Vanilla Interest Rate Swap. XYZ is paying 5% fixed with semi-annual compounding and receiving floating. The notional is $100 million. There are semi-annual cashflows.

If the realized libor rates are:

Period 1 4.2%

Period 2 4.8%

Period 3 5.3%

Period 4 5.5%

Period 5 5.6%

Period 6 5.9%

Draw a table showing the cashflows exchanged between ABC and XYZ.

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