问题如下:
Suppose BSM, a large derivative market maker, has six contracts with a counterparty, all transacted in New York (i.e., the same legal jurisdiction). The current market values (PV) for these contracts are: 125, 75, 25, -10, -65, and -140. Suppose BSM does not currently have a legally enforceable netting agreement with the counterparty. By how much would BSM’s current credit exposure to this counterparty improve if it did have a legally enforceable netting agreement with the counterparty?
选项: 0
10
C.215
D.225
解释:
ANSWER: C
The sum of positive exposures is 225. This is the credit exposure without netting. The sum of negative exposures is 215. With netting, the exposure goes to 10, or a drop of 215.
这里225变成10不是减少了215吗,为什么能叫improve呢