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Which of the following transactions is likely to generate the greatest credit risk for you assuming all of these transactions are done at market with
Which of the following transactions is likely to generate the greatest credit risk for you assuming all of these transactions are done "at market" with the same counterparty and each is for the equivalent notional amount of $100 million? A. You enter into a 48-month against 60-month FRA denominated in Swiss francs B. You receive a premium and sell a 5-year at-the-money put on the JPY/GBP exchange rate C. You enter into a 5-year currency swap in which you pay fixed rate euros and receive fixed rate dollars D. You enter into a 5-year interest rate swap in which you receive a fixed rate in AUD and pay a floating rate equal to Australian Libor Which of the following transactions is likely to generate the greatest credit risk for you assuming all of these transactions are done "at market" with the same counterparty and each is for the equivalent notional amount of $100 million? A. You enter into a 48-month against 60-month FRA denominated in Swiss francs B. You receive a premium and sell a 5-year at-the-money put on the JPY/GBP exchange rate C. You enter into a 5-year currency swap in which you pay fixed rate euros and receive fixed rate dollars D. You enter into a 5-year interest rate swap in which you receive a fixed rate in AUD and pay a floating rate equal to Australian Libor
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