You Are the Fixed-Rate Payer in a Plain Vanilla Interest

question 499

Multiple Choice

You are the fixed-rate payer in a plain vanilla interest rate swap. If your counterparty defaults, your exposure at default is:

• A) greater, the higher the market swap rate and the shorter the term
• B) lower, the lower the market swap rate and the shorter the term
• C) lower, the lower the market swap rate and the longer the term
• D) greater, the higher the market swap rate and the longer the term

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