afterworkguinness
Active Member
Hi David,
In your topic review for credit risk, you have a practice question from the FRM Handbook where a Company buys a total return swap, the mtm value of the underlying drops, but they receive no compensation for the decrease in market value, only the standard LIBOR + spread payment. Is this correct? I thought a total return swap will compensate the long position for decreases in market value?
In your topic review for credit risk, you have a practice question from the FRM Handbook where a Company buys a total return swap, the mtm value of the underlying drops, but they receive no compensation for the decrease in market value, only the standard LIBOR + spread payment. Is this correct? I thought a total return swap will compensate the long position for decreases in market value?
