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a bank is entered into 6 interest rate swap contracts swap with two counterparties X&Y. The Info is as below: no counterparty market value 1
a bank is entered into 6 interest rate swap contracts swap with two counterparties X&Y. The Info is as below:
| no | counterparty | market value |
| 1 | X | 100000 |
| 2 | Y | 550000 |
| 3 | X | 140000 |
| 4 | Y | -150000 |
| 5 | Y | -200000 |
| 6 | X | -400000 |
- What is the credit exposure of these contracts with netting arrangements?
- What is the credit exposure of these contracts without netting arrangement?
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Bitcoin Technical Innovations From The Trenches
Authors: Sjors Provoost
1st Edition
9090360425, 978-9090360423
