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

Question

Options

• Agreater, the higher the market swap rate and the shorter the term
• Blower, the lower the market swap rate and the shorter the term
• Clower, the lower the market swap rate and the longer the term
• Dgreater, the higher the market swap rate and the longer the term

• A
  10% (3)
• B
  6% (2)
• C
  3% (1)
• D
  81% (25)

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