NO.PZ2021061002000053
问题如下：
An investor wants to swap its outstanding
fixed-rate loan to floating rate. If the interest rates rise immediately
following trade inception. which of the following statement is correct?
选项：
A.Since the investor receives fixed and pays
floating swap, it faces an MTM loss on the transaction as rates rise, resulting
in an increase in counterparty’s MTM exposure.
Since the investor receives fixed and pays
floating swap, it faces an MTM gain on the transaction as rates rise, resulting
in a decrease in counterparty’s MTM exposure.
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 the MTM exposure increases or decrease.
解释：
中文解析
如下面示意图：
中间的小人是这个投资者。
右侧是他原来的固定利率贷款头寸，需要对外支付固定利率。
然后加上一个收到固定支付浮动的互换以后，也就是下图的左侧部分，可以看到固定利率被抵消掉了，这个投资者的净头寸变成了支付浮动利率。
因此在利率上升的时候，意味着支付的将会增加，因此面临着损失。
作为该投资者的对手方，将会在利率上升的时候收到更多，也就面临着更大的风险敞口。
老师好，我理解investor应该是把钱借给别人，同时收取利息的一方，因此investor在原loan的头寸中应该是收取fixed rate，在swap中就应该是long position，pay fixed rate，receive floating rate，但为什么答案和我的理解完全相反呢？
