Use the following information to answer Questions 60 through 62.
　　Lambda Corp. has a floating-rate liability and wants a fixed-rate exposure. They enter into a 2-year quarterly-pay $4,000,000 fixed-for-floating swap as the fixed-rate payer. The counterparty is Gamma Corp. The fixed rate is 6% and the floating rate is 90-day LIBOR + 1%, with both calculated based on a 360oday year. Realizations of LISOR are:
　　Annualized　　　LIBOR
　　Current　　　　 5.0%
　　In 1 quarter　　　5.5%
　　In 2 quarters　　 5.4%
　　In 3 quarters　　 5.8%
　　In 4 quarters　　 6.0%