Peak exposure is the maximum amount of exposure expected to occur on a future date at a given level of confidence.
Option A describes current exposure, option C describes expected exposure, and option D describes expected positive exposure.

Things to Remember

• Peak exposure is a high percentile value of the distribution of exposures—typically at the 95% or 99% level—which indicates a high level of confidence that the actual exposure will not exceed this value.
• It is assessed at various future dates up until the maturity date of the longest transaction in a netting set, not just at a single point in time.
• Understanding that peak exposure represents a conservative estimate of potential future exposure before maturity is important for risk assessment and management.