小编导读：FRM考试的考试动态，高顿网校会在*9时间通知大家，敬请关注高顿网校*7考试动态【提示：“Ctrl+D”收藏此页面】。
　　1.From the swap seller's perspective, a default swap creates a:
　　A. Short position in the reference obligation.
　　B. Long position in the reference obligation.
　　C. Call position in the reference obligation.
　　D. Put position in the reference obligation.
　　2.The AT&T pension fund reports total assets worth $19.6 billion and liabilities of $17.4 billion. Assume the surplus has a normal distribution and volatility of l0% per annum. The 95% surplus at risk over the next year is
　　A. $360 mil1ion
　　B. $513 million
　　C. $2,860 million
　　D. $3,220 million
　　3.An investor can gain the exposure and return of an underlying loan by:
　　A. Being the credit risk buyer in a total return swap.
　　B. Being the credit risk seller in a total retum swap.
　　C. Entering into an interest-rate swap with a BB credit.
　　D. Pledging compensating balances with the lender bank.
　　Answer:
　　1.B
　　From the swap seller's perspective, a default swap creates a long position in the reference obligation. If the reference obligation increases in value or credit quality, the default swap decreases in value below the price at which it was originally sold.
　　2.A
　　The fund's surplus is the excess of assets over liabilities, which is $19.6 - $17.4 =$2.2 billion. The surplus at risk at the 95% level over one year is, assuming a norrnal distribution, 1.645 10% $2,200 = $360 million. Answer B) is incorrect b ecause it uses a 99% confidence level. Answers C) and D) are incorrect because they apply the risk to the liabilities and assets instead of the surplus.
　　3.A
　　The credit-risk seller pays to the credit-risk buyer the total return of the underlying instrument. An investor can gain the exposure and return by being the buyer in a total return swap.