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发表于 2011-7-11 19:44
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Do you understand "leveraged floater" as having issued a coupon bond and a receive fixed interest rate swap or did I miss something in the books?
The long coupon bond side (the counterparty to the issuer) has current and potential credit risk (on a stable basis)
the (leveraged floater) issuer has current and potential credit risk. current credit risk because he currently receives net payments from his receiver swap and potential credit risk, as this could continue (no exchange of notional with IRS). If IR rise, he is only left with potential credit risk.
As one note has the exchange of principal and the other not, and the above is usually with different counterparties, I would not assume you can make up a "net position" of credit risk as this would compare apples and oranges. |
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