来自：FRM > 二级 > 电脑版 > Unit7 2021-02-28 13:05
请问这题的答案是选项几？
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Lydia37
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1581天前
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Lydia37
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24
上次登录
1581天前
研究院赵老师 2021-03-01 14:11
致精进的你:
答案选择B选项；Bonds are balance sheet assets whose current and potential credit exposure is the amount that is loaned. The credit exposure of an interest rate swap (IRS) is a small fraction of the credit exposure due to a bond with the same principal. The principal amount of the swap is not at risk (notional amounts are not exchanged). The full value of the coupons is not at risk as only the net difference between the fixed and floating coupons is exchanged. The swap can lead to a loss only if the default occurs when the contract is in the money and has positive value (a bond always has a positive value). Moreover, many of the regular counterparties in the swaps market have netting agreements that reduce the credit exposure even further by setting off swaps that have positive value (for the non-defaulting party) with those that have negative values. Such arrangements are not available to bond holders.
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