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Financial Futures Swaps1.) Note: Subscript B= Bank, Subscript C= CorporationA.) Quality Spread (Fixed)= I C fixed – I B fixed= 4.75%-3.625%= 1.125%Quality Spread (Floating)= I C fixed – I B fixed= (6 Mo LIBOR + 0.60%) + (6 Mo LIBOR + 0.25%)=0.35%Net Quality Spread = Quality Spread (Fixed)- Quality Spread (Floating)= 1.125%-0.35% = 0.775%B.) New.