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Hi,

Page 65, R46.P2.T6. Gregory Notes it says that the netting factor is given by:

netting factor = NF = sqrt(n + n*(n-1)*rho-bar)/n

While I see that if rho-bar = 1 (no netting benefit) then NF = 100% and of rho-bar=0, then NF = 1/ sqrt (n), I do not see how NF can be 0% with perfect negative correlation rho-bar = -1.

Knowing that "Negative Correlation between MtM values --> High benefit", should we expect NF = 0 if rho-bar = -1 (That would assume that the max benefit is reached when rho-bar= -1) ? This would only be the case if n - n*(n-1) = 0 (hence n = o or n=2).

Rgds,

Page 65, R46.P2.T6. Gregory Notes it says that the netting factor is given by:

netting factor = NF = sqrt(n + n*(n-1)*rho-bar)/n

While I see that if rho-bar = 1 (no netting benefit) then NF = 100% and of rho-bar=0, then NF = 1/ sqrt (n), I do not see how NF can be 0% with perfect negative correlation rho-bar = -1.

Knowing that "Negative Correlation between MtM values --> High benefit", should we expect NF = 0 if rho-bar = -1 (That would assume that the max benefit is reached when rho-bar= -1) ? This would only be the case if n - n*(n-1) = 0 (hence n = o or n=2).

Rgds,

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