Currency swap

问题如下：

Which of the following five-year swaps has the highest potential future exposure?

选项：

A.

A cross-currency swap after three years

B.

A cross-currency swap after two years

C.

An interest rate swap after two years

D.

An interest rate swap after three years

解释：

A is correct.

考点：Credit exposure

解析：

Interest swap 无本金交换，所以exposure 通常低于 currency swap

对于 Currency swap，越靠近maturity，exposure越大。A过了3年了，只剩下2年，比B离到期近，所以A的 PFE 大。