NO.PZ2024050101000113
问题如下：
A junior risk analyst at a consulting firm is reviewing the operational arrangements of bilateral netting and central clearing of derivative trades. The analyst examines the following bilateral trades of three firms:
• Firm 1’s exposure to Firm 2: AUD 90 million
• Firm 2’s exposure to Firm 1: AUD 60 million
• Firm 1’s exposure to Firm 3: AUD 12 million
• Firm 3’s exposure to Firm 1: AUD 70 million
• Firm 2’s exposure to Firm 3: AUD 57 million
• Firm 3’s exposure to Firm 2: AUD 0 million
Which of the following statements is correct?
选项：
A.Under bilateral netting, Firm 1’s net exposure is AUD 28 million. B.Under bilateral netting, Firm 2’s net exposure is AUD 27 million.
C.EUR 8 million.
D.Under central clearing, the CCP’s net exposure is AUD 28 million.解释：
D is correct. The CCP’s net exposure is AUD 28 million under central clearing. We express the positions – through the process of novation and netting – and present the results shown both in the table and the explanations below (note that a negative net exposure means a zero exposure)
NO.PZ2024050101000113
问题如下：
A junior risk analyst at a consulting firm is reviewing the operational arrangements of bilateral netting and central clearing of derivative trades. The analyst examines the following bilateral trades of three firms:
• Firm 1’s exposure to Firm 2: AUD 90 million
• Firm 2’s exposure to Firm 1: AUD 60 million
• Firm 1’s exposure to Firm 3: AUD 12 million
• Firm 3’s exposure to Firm 1: AUD 70 million
• Firm 2’s exposure to Firm 3: AUD 57 million
• Firm 3’s exposure to Firm 2: AUD 0 million
Which of the following statements is correct?
选项：
A.Under bilateral netting, Firm 1’s net exposure is AUD 28 million.
B.
Under bilateral netting, Firm 2’s net exposure is AUD 27 million.
C.
EUR 8 million.
D.Under central clearing, the CCP’s net exposure is AUD 28 million.
解释：
D is correct. The CCP’s net exposure is AUD 28 million under central clearing. We express the positions – through the process of novation and netting – and present the results shown both in the table and the explanations below (note that a negative net exposure means a zero exposure)
