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Netting agreement in place

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The following transaction exists with bank A and Bank B, which have netting agreement in place. Complete the following table. Please use information from table 15.2 of your textbook

 

Principal (Li)

Current Value (VI)

Add on Value (ai)

Add on Amount (ai Li)

Credit Equiv Amount

3 Year Interest Rate Swap

1,000 million

-80M

 

 

 

6 year Foreign Exchange Swap

1,000 million

70M

 

 

 

2 year Option on Stock

800 million

70M

 

 

 

Exposure with Netting 

 

 

 

 

 

Exposure without Netting

 

 

 

 

 

NRR

 

Reference no: EM133075416

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