问题如下：
Bank A, which is AAA rated, trades a 10-year interest rate swap (semiannual payments) with Bank B, rated A-. Because of Bank B’s poor credit rating, Bank A is concerned about its 10-year exposure. Which of the following measures would help mitigate Bank A’s credit exposure to Bank B?
I. Negotiate a CSA with Bank B and efficiently manage the collateral management system.
II. Execute the swap deal as a reset swap wherein the swap will be marked to market every six months.
III. Execute the swap deal with a break clause in the fifth year.
IV. Decrease the frequency of coupon payments from semiannual to annual.
选项：
A. I
only
B. IV
only
C. I,
II, III, and IV
D. I,
II, and III
解释：
ANSWER: D
Collateral management will lower credit exposure, so answer I. is correct. Resetting, or recouponing the swap, also will lower exposure. A break clause in five years will allow marking to market, which also lowers exposure. In contrast, decreasing the frequency of coupons will not change the exposure much. In fact, extending the period will increase exposure because there is a longer time to wait for the next payment, increasing the chance that the market will move in favor of one counterparty.
感觉第三个不太对吧，万一第二年就违约了怎么办呢，第五年执行就没意义了
