Assume a Hypothetical Credit Default Swap Where the Notional Amount

question 72

Multiple Choice

Assume a hypothetical credit default swap where the notional amount is $10 million and there are 92 actual days in a quarter. If the swap premium is 400 basis points (0.04) , what is the quarterly swap premium payment made by the protection buyer?

• A) $51,111
• B) $75,333
• C) $102,222
• D) $125,378

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