I doubt with regards to this. If for instance, we have the same two 5-year swaps one of them with a Mandatory Break clause in year one, what would be the differences in the CCR profile during the first year?
Would it be the same profile for both of them, since the break clause still hasn't been executed?
If this is the case, is this exposure the same as one of a 1-year swap with the difference that the CCR at the moment t=1 year would be the expected market value for the swap with the break clause?
If the CCR exposures weren't the same for the first year, would be any kind of reduction in the exposure for the swap with the break clause? From the first year onwards, the contract is liquidated and you would get the market value of the swap, being unnecessary to keep the capital levels of the potential future exposure.