One year ago, you bought a two-year swap to exchange LIBOR for 2.74% fixed-rate payments on a $100 million notional principal. Back then, LIBOR rates were as follows: One-year spot rate was 2% per year. Second-year forward rate was 3.5%. Now it is one year since you bought the swap, the first payment has already been made and only one more payment remains. Second-year rate turned out to be 2.5%. Which of the following statements is correct?

	a.	You are the receiver of the fixed-rate payment
	b.	The floating-rate payment is lower in the second year than it was in the first year.
	c.	You face counterparty default risk now
	d.	None of the above

You have the following information on LIBOR rates: One-year spot rate s₁=3% per year. Two-year spot rate s₂=6%. Find the forward rate f for the second year. Round to three decimal places.

	a.	0.090
	b.	0.081
	c.	0.051
	d.	0.091