题目
With respect to currency swaps, EACH of the following is TRUE except:
选项
A.Unlike a vanilla interest rate swap, principal is exchanged at the beginning of a currency or cross-currency swap
B.Compared to an interest rate swap with identical remaining maturity, a currency swap will have higher potential credit exposure
C.If the initial value and current exposure of a currency swap is zero; interest rate term structures are flat in both currencies; and coupon payments are equal, then the expected credit exposure profile is zero over the life of the swap
D.Unlike most vanilla interest rate swaps, interest payments in a currency swap are NOT netted
答案
C
解析
Under the conditions, the expected exposure profile is symmetrical but positive for both counterparties as the expected exposure is conditional on exposure greater than zero. In regard to (A), this is true. In regard to (B), due to the final principal exchange, this is true. In regard to (D), this is true.在这种情况下，预期的敞口是对称的，但对双方都是正的，因为预期敞口的条件是敞口大于零。