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FRM二级练习题：信用风险管理与测量（23）

来源：高顿网校 2016-02-01

Each of the following is true about termination and walkaway features in credit contracts except?

A. Termination events give an institution the right to terminate a trade prior to their counterparty's credit-worthiness deteriorating to the point of bankruptcy.

B. A break clause - a.k.a. liquidity put - is an agreement to terminate a transaction at pre-specified dates in the future at market rates.

C. Break clause are often linked to additional termination events which are not in the standardized ISDA documentation and therefore are a result of negotiations.

D. Walkaway features are parts of the standardized ISDA documentation and "should be utilized in almost all transactions" as they mitigate counterparty risk.?

Answer:D

Walkaway feature are not part of the standardized documentation. walkaway features are rather unpleasant and should be avoided for the following reasons:

• They create an additional cost for a counterparty in the event of default.

• They create moral hazard since an institution is given the incentive to contribute to their counterparty default due to the financial gain they can make.

• A walkaway feature may be "priced in" to a transaction. The possible gains in counterparty default will then offset the negative component due to potential losses that may ultimately "hide" some of the risk.

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