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

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