ACI
3I0-012 · Question #201
You are the buyer of a receiver's swap. All other things being equal your counterparty risk is increasing if
The correct answer is A. the swap curve is shifting downwards. See the full explanation below for the reasoning.
Question
You are the buyer of a receiver's swap. All other things being equal your counterparty risk is increasing if
Options
- Athe swap curve is shifting downwards
- Bthe swap curve is shifting upwards
- Cswaption volatilities are decreasing
- Dtime to expiry is becoming shorter
How the community answered
(63 responses)- A78% (49)
- B3% (2)
- C5% (3)
- D14% (9)
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