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An investor owns a 10-yr FRN issued by company BBB paying LIBOR + 0.76%. If she enters a 10-yr IRS as a fixed rate receiver,

An investor owns a 10-yr FRN issued by company BBB paying LIBOR + 0.76%. If she enters a 10-yr IRS as a fixed rate receiver, she is:

a. transforming her exposure from floating rate to fixed rate and maintains her credit risk exposure from BBB

b. transforming her exposure from fixed rate to to floating rate and no longer has her credit risk exposure from BBB

a. transforming her exposure from fixed rate to floating rate and maintains credit risk exposure from BBB

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