A $100 million interest rate swap has a remaining life of 10 months. Under the terms of the swap, six-month LIBOR is exchanged for 9% per annum with semi-annual compounding. The LIBOR zero curve is flat with 8% per annum with semi-annual compounding. The six-month LIBOR was 7% two months ago. What is the amount of the next first floating payment?

	A.	$7 million
	B.	$3.5 million
	C.	$4 million
	D.	$8 million

In an interest rate swap the principal increases over time. This is a type of

	A.	a forward swap.
	B.	a step-up swap.
	C.	an amortizing swap.
	D.	a deferred swap.

Which of the following measures is the loss level that will not be exceeded with a specified probability?

	A.	Back testing.
	B.	Stress testing.
	C.	Value at risk.
	D.	Expected shortfall.