题目
The credit risks to the fixed-rate payer in a swap:
选项
A.increase when floating rates are below the swap rate.
B.increase when floating rates rise above the swap rate.
C.are greatest just prior to maturity.
D.are greatest at the inception of the swap.
答案
B
解析
When floating rates rise above the swap rate, the fixed rate side of the swap will have positive value, and the credit risk borne by the fixed-rate payer will increase. At the inception of the swap, the value to both sides is zero, and just prior to maturity, when only one net payment remains, credit risk is relatively small.当浮动利率高于互换利率时，支付方固定利率的收益将为正值，固定利率支付方所承担的信用风险将增加。互换开始时，对双方的价值都是零，而在到期前，当只剩下一笔净付款时，信用风险相对较小。