损失&收益

NO.PZ2024042601000076

问题如下：

Sacks Bank has many open derivative positions with Lake Investments. A description and current market values are displayed in the table below:

In the event that Lake defaults, what would be the loss to Sacks if netting is used?

选项：

USD 5 million

USD 10 million

USD 25 million

USD 35 million

解释：

Netting means that the payments between the two counterparties are netted out, so that only a net payment has to be made. With netting, Sacks is not required to make the payout of 25 million. Hence the loss will be reduced to: 35 million -25 million = 10 million

怎么理解哪个值是损失哪个值是收益表格的-25不应该是损失的意思吗

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pzqa27 · 2024年10月22日

嗨，努力学习的PZer你好：

正的就是赚钱，负的就是亏钱啊，

比如long swaptions 是+10m，也就是Sack 应该从Lake 那收10m，

long CDSshi-25m，意思是Sack 要支付给Lake 25m

以此类推，现在的情况是Lake 违约了，从Lake那里收到的10m和25m也收不到了，因此损失35m,同时本来要支付给Lake的25m是不用支付了，所以损失下降到10m

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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NO.PZ2024042601000076 问题如下 Sacks Bank hmany open rivative positions with Lake Investments. A scription ancurrent market values are splayein the table below: In the event thLake faults, whwoulthe loss to Sacks if netting is use A.US5 million B.US10 million C.US25 million US35 million Netting means ththe payments between the two counterparties are netteout, so thonly a net payment hto ma. With netting, Sacks is not requireto make the payout of 25 million. Henthe loss will receto: 35 million -25 million = 10 million 没看懂，麻烦老师讲一下

2024-06-30 14:52 1 · 回答

损失&收益

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