1.The credit default swap spread is:

a.agreed-upon at initiation and remains fixed during the tenor of the credit default swap

b.agreed-upon at initiation and resets quarterly

c.agreed-upon at initiation and resets semi-annually

d.none of the above

2.To which of the following is a protection buyer positively sensitive?

a.changes in the probability of a credit event

b.changes in the recovery rate

c.both a and b

d.none of the above

1.Consider the following interest rate swap scenario: notional = $10 MM, actual days in quarter = 92, annualized floating rate = 2.5400%, and annualized fixed rate = 2.5400%. What is the floating leg payment?

a.$62,088.89

b.$65,0911.89

c.$64,911.11

d.$127,000