Question: Using the following information, compute the fixed-rate payer's first two net quarterly payments receipts for a hypothetical interest rate swap explained;
Notional principal $10 million
Fixed rate 7.0%
Days in first quarter 91
Days in second quarter 92
Current LIBOR (LIBOR0) 5.0%
Expected LIBOR (LIBOR1) 5.3%
Expected LIBOR (LIBOR2) 4.8%