Explanation:
The exception is D.
So the correct answer is D.
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Q-177.2. With respect to an interest rate swap where Counterparty A is the fixed-rate payer and Counterparty B is floating-rate payer, EACH of the following is true EXCEPT:
A
Counterparty A only has current credit risk exposure when the value to A is positive; i.e., when A is "in the money"
B
At any given time, if +M is the market value of the swap to Counterparty A, then the market value to Counterparty B is –M
C
The credit risk of the swap is distinct from the market risk of the swap
D
Credit risk is not contingent on market risk
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