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BNP Paribas has just entered into a plain-vanilla interest-rate swap as a pay-fixed counterparty. CreditAgricole is the receive-fixed counterparty in the same swap. The forward spot curve is upward-sloping. If LIBOR starts trending down and the forward spot curve flattens, the credit risk from the swap will:

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A) Increase only for BNP Paribas

B) Increase only for Credit Agricole

C) Decrease for both BNP Paribas and Credit Agricole

D) Increase for both BNP Paribas and CreditAgricole

答案：B

解析：With an upward-sloping term structure, the fixed payer has greater credit exposure. He receives less initially, but receives more lately. This back-loading of payments increases credit exposure. Conversely, if the forward curve flattens, the fixed payer (i.e., BNP Paribas) has less credit exposure. CreditAgricole must have greater credit exposure.Alternatively, if LIBOR drifts down, BNP will have to pay more, and its counterparty will have greater credit exposure.

The credit exposure of an interest rate swap differs from that of a bond in that:

Ⅰ.The swap can be terminated by novation.

Ⅱ.The principal amount of the swap is not at risk

Ⅲ.Swaps benefit from higher recovery rates

Ⅳ.The full coupon amounts in the swap are not at risk

A) I and III

B) II and IV

C) II, III and IV

D) I, II, III and IV

答案：B

解析：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.掃碼預(yù)約

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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