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Aportfolio of OTC derivatives with a single counterparty has a current net MtM of USD 30,000,000 and a gross MtM of USD 90,000,000. Without netting agreements, determine the current credit exposure.

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A) Less than or equal to USD 40,000,000.

B) Greater than USD 40,000,000 while less than USD 50,000,000.

C) Greater than USD 50,000,000 while less than USD 70,000,000.

D) Greater than USD 70,000,000.

答案：C

解析：Trade1＋Trade2 = 30,000,000

Trade1–Trade2 = 90,000,000

Trade1 = 60,000,000

Trade2 = -30,000,000

Each of the following is true except?

A) At any point in time, effective EE cannot be less than EE

B) (effective) EPE is average (effective) EE over time

C) Effective EPE cannot be less than EPE

D) For each point in time, there is a different maximum PFE such that maximum

PFE does not represent a single value

答案：D

解析：Maximum PFE is a single value. Maximum PFE simply represents the highest (peak) PFE value over a given time interval.

Which of the following two transactions will cause increase to counterparty credit exposure?

Ⅰ.Buying a call option from the counterparty.

Ⅱ.Selling a forward contract to the counterparty.

A) I only

B) II only

C) Both

D) Neither

答案：C

解析：Buying an option and selling a forward contract both will cause increase to the counterparty credit exposure. Note that selling an option does not create credit risk.

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