Suppose that a financial institution has entered into a swap dependent on the sterling interest rate with counterparty $\mathrm{X}$ and an exactly offsetting swap with counterparty $\mathrm{Y}$. Which of the following statements are true and which are false? Explain your answers.
(a) The total present value of the cost of defaults is the sum of the present value of the cost of defaults on the contract with $\mathrm{X}$ plus the present value of the cost of defaults on the contract with $\mathrm{Y}$.
(b) The expected exposure in 1 year on both contracts is the sum of the expected exposure on the contract with $\mathrm{X}$ and the expected exposure on the contract with $\mathrm{Y}$.
(c) The $95 \%$ upper confidence limit for the exposure in 1 year on both contracts is the sum of the $95 \%$ upper confidence limit for the exposure in 1 year on the contract with $\mathrm{X}$ and the $95 \%$ upper confidence limit for the exposure in 1 year on the contract with Y.