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An asset is priced at $100. A two-year forward contract is created, with mark-to-market in one year (Month 12). The risk-free rate is 2%. The

An asset is priced at $100. A two-year forward contract is created, with mark-to-market in one year (Month 12). The risk-free rate is 2%. The asset is worth $105 in Month 12.

6. What is the amount of the credit risk at Month 0?

$0

$2

$3

$5

7. What is the amount of the credit risk at Month 12?

$0

$2

$3

$5

8. Who bears the credit risk at Month 12?

The long

The short

9. What is the reset price of the forward at Month 12?

$100

$104.04

$105

$107.10

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