Consider a Total Return Swap (On a Credit-Risky Bond)of Total

question 31

Multiple Choice

Consider a total return swap (on a credit-risky bond) of total returns against Libor.The receiver of total return in this swap has a position that is equivalent to

• A)A forward contract to buy the asset at a fixed price at maturity of the swap.
• B)A long position in the asset and short position in a floating-rate note.
• C)A short position in the asset and long position in a floating-rate note.
• D)An asset swap that delivers the asset in exchange for a floating-rate note.

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