A risk analyst is asked to prepare a BIS credit risk report based on accounting data. He receives a report that shows the mark-to-market value of the following instruments by client: Interest Rate Caps Bought, Interest Rate Caps Sold, Interest Rate Swaps. The analyst’s system contains the following additional information: 

I. The average time to maturity calculated for all instruments. 

II. The presence or absence of a netting agreement. 

III. The amount of “add-on” [for each instrument]. 

IV. The credit rating of the client. 

Which items does the analyst need in order to create the report? Select one: 

a. I and IV only 

b. II and III and IV 

c. II and III only 

d. All possibilities I, II, III, and IV are correct

Answer rating: 100% (QA)

Option D All possibilities I II III and IV are corre... View the full answer