这题有问题吧

问题如下：

Six months ago, Textile Manufacturing Inc. (TMI) entered into a 9-month forward contract with Spin Mills Company (SMC) to purchase 36,000 tons of yarn. At the time the forward was entered into, 36,000 tons of yarn was priced at EUR 92.0 million but is currently priced at EUR 94.0 million. The continuously compounded risk-free rate has remained stable at 3.0% per year and is not expected to change during the entire contract period. Assuming the forward is fairly priced, what is the current potential credit risk exposure on the forward contract and who bears the risk?

选项：

EUR 0.610 million; TMI bears the potential credit risk

EUR 0.610 million; SMC bears the potential credit risk

EUR 1.308 million; TMI bears the potential credit risk

EUR 1.308 million; SMC bears the potential credit risk

解释：

A is correct. Given the risk-free rate of 3.0%, we can estimate the forward price (at maturity, in nine months) of the contract as:

Forward price = Spot*exp(r*t) = 92.0*exp(0.03*0.75) = EUR 94.093 million.

Today, after 6 months (3 months to maturity), the forward contract price estimate = 94.093/exp(0.03*0.25) = EUR 93.39 million.

Note that, Forward Contract Value = Credit Risk Exposure;

Therefore, given that the current (with 3 months remaining to maturity) underlying asset price of EUR 94 million, the long forward contract’s value is given by:

Current Value of Forward Contract = (Market Price – Contract Price)= 94.0 – 93.39 = EUR 0.610 million, which represents exposure, and is the value to the long (TMI) because the contract is a claim on the asset, which is currently worth EUR 94.0 million, and an obligation to pay EUR 94.093 million for it in 3 months. Because the contract value of EUR 0.610 million is positive, the long counterparty (TMI) bears the credit risk exposure.

Positive exposure = Max(value, 0)

Negative exposure = Min(value, 0)

And for forward contracts: Contract Value = (Market Price – Contract Price).

For forwards, while there is no current exposure (because payment is only made at expiration, there is always positive potential exposure so long as market price > contract price, and negative potential exposure if market price < contract price. At origination (time 0), there is neither current nor potential exposure (since market price = contract price).

B is incorrect (see explanation above).

C and D are incorrect. They compute the contract price incorrectly by discounting the forward value over 6 months and not 3 months:

The forward contract price = 94.093*exp(-0.03*0.5) = EUR 92.692 million. Therefore, Current Value of Fwd Contract = (Market Price – Contract Price) = 94.0 – 92.692 = EUR 1.308 million.