Future/Forward Strategy: Step 1: Take the spot rate and subtract the PV of the contracted rate. Step 2 a: If you are long, and the spot rate is greater than the PV of the contracted rate, then your position is positive and you have the credit risk b: If you are short, and the spot rate is less than the PV of the contracted rate, then your position is negative, and the counterparty has the credit risk Can someone confirm the credit risk in both cases is potential credit risk??
yes i think so. Better open the book and make sure I am right