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The potential future credit exposure profile peaks at maturity for which of the following instruments:

Ⅰ.FX forwards

Ⅱ.Interest rate swaps

Ⅲ.Cross currency swaps with final exchange

A) I only

B) II only

C) I and III

D) I, II and III

答案：C

解析：FX forwards and cross currency swaps with final exchange involves exchanging two currencies at rates fixed at inception. Because of this feature, the potential future credit exposure profile peaks at maturity for both these instruments. In case of interest rate swaps, there is no exchange of notional amounts. Therefore, the profile tends to peak well before maturity.掃碼預(yù)約

Adiversified portfolio of OTC derivatives with a single counterparty currently has a net mark-to-market of USD 20,000,000 and a gross mark-to-market (the sum of the value of all positive value positions minus the value of all negative value positions) of USD 80,000,000.Assuming there are no netting agreements in place with the counterparty, determine the current credit exposure to the counterparty.

A) Less than or equal to USD 10,000,000.

B) Greater than USD 10,000,000 but less than or equal to USD 40,000,000.

C) Greater than USD 40,000,000 but less than USD 60,000,000.

D) Greater than USD 60,000,000.

答案：C

解析：If the difference between the positive value positions and the negative value positions equal $20 million, and the sum of all the absolute values of the positive value positions and the negative value positions equals $80 million, then the value of the positive value positions must equal $50 million. Following the wording of the question:

●A-B = $20 million

●A+B = $80 million

●A= $50 million

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