NO.PZ202208260100000605
问题如下：
Ace's issuer client has swapped its outstanding fixed-rate debt to floating to match asset portfolio cash flows that generate an MRR-based return. Which of the following statements best describes how Ace's MTM credit exposure to the issuer changes if interest rates rise immediately following trade inception?
选项：
A.Since the client receives fixed and pays floating swap, it faces an MTM loss on the transaction as rates rise, increasing Ace's MTM exposure to the client.
B.Since the client receives fixed and pays floating swap, it faces an MTM gain on the transaction as rates rise, decreasing Ace's MTM exposure to the client.
C.Since the swap's value is equal to the current settlement plus future expected settlement amounts, we do not have enough information to determine whether Ace's MTM exposure to the client increases or decreases.
解释：
Solution
A is correct.
Since the client receives fixed and pays floating swap, in a rising-rate environment, Σ PV(Floating payments) > Σ PV(Fixed payments), and it will therefore owe more in future floating-rate settlements than it will receive in fixed-rate settlements, resulting in an MTM loss for the client and an increase in Ace's MTM exposure.
中文解析
题干大意是该客户想要将其固定利率的债务变成浮动利率的债务。
首先，固定利率的债务意味着需要支付固定利率的利息，浮动利率的债务需要支付的是浮动利率的利息。
因此该客户想将现在的固定利率的债务变成浮动利率的债务，就是想将支付固定利率利息的头寸改变成支付浮动利率利息的头寸。
所以他应该进入的是收到固定利率（抵消掉原来固定利率贷款的固定利率利息的支付），然后支付浮动利率的互换。
此时该客户的原固定利率贷款的头寸通过加入该互换成功变成了浮动利率贷款的头寸。
由于他现在支付的是浮动利率的利息，因此当利率上升的时候，该客户需要支付的利息就会增加。作为该客户的对手方Ace也就面临更大的风险敞口。
“作为对手方ace也就面临更大的风险敞口”是什么意思？客户面临亏损，对手方为何面临更大风险敞口？
