Question: 1. A Floating Rate Note with a face value of $100 makes semi-annual payments in June and December based on Libor. The libor rates observed

1. A Floating Rate Note with a face value of $100 makes semi-annual payments in June and December based on Libor. The libor rates observed for June and December are 3.00% and 4.00% respectively. What is the cash value of the payment to be received in December?

2. The 3M spot rate is 6% and the 6M spot rate is 5%. As a firm believer in pure expectation yield curve theory, which statement best reflects your beliefs about the 3M rate that will apply in 3 months time?

3. A company `bought' a 10 year semi-annual IR swap at a rate of 5% on a notional of 100m. Five years later, the 5 year swap rate is 4%. Which option best describes their mark to market position?

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