单选题 Consider a quarterly-pay currency swap where Party A pays London Interbank Offered Rate (LIBOR) on $1000000 and Party B pays 4 percent on 900000 euros. Current LIBOR is 3 percent and at the end of 90 days it is 4 percent. Which of the following statements regarding the first settlement date is TRUE?

A、 Party A must make a payment of $10000.
B、 The payments net to zero and no payment is made.
C、 Party A must make a payment of $7500.

【正确答案】 C

【答案解析】Floating rate payments in a swap are based on the reference rate for the prior period. The payment is: 0.03 × 90/360 × 1000000 = $75000.