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C_M_ · 2024年10月21日

abcd

NO.PZ2024042601000093

问题如下:

By using a clearinghouse to handle the repo transactions between ABC and Repo Co., obligations owed between the two could have been netted once the fraudulent documentation was discovered. Which of the following is the most appropriate type of netting to use in this situation and what would be a likely additional impact from using this netting?

选项:

A.

Payment netting would be used, which would reduce ABC's counterparty risk, but this risk would be transferred to other creditors outside the clearinghouse

B.

Payment netting would be used, which would reduce Repo Co.'s counterparty risk, but ABC's counterparty risk would be increased.

C.

Closeout netting would be used, which would reduce ABC's counterparty risk, but this risk would be transferred to other creditors outside the clearinghouse.

D.

Closeout netting would be used, which would reduce Repo Co.'s counterparty risk, but ABC's counterparty risk would be increased.

解释:

Payment netting per the reading is the simple netting of cash flows due on the same day. Closeout netting occurs if there is an event of default, which would include an incidence of fraud. One of the shortcomings of clearinghouses, and closeout netting as well, is that the other party, in this case ABC Bank, jumps to the head of the queue with its claim on Repo Co. to the possible detriment of others, particularly those outside the clearinghouse in general

这道题各个选项怎么理解

1 个答案

pzqa27 · 2024年10月22日

嗨,爱思考的PZer你好:


这个题先看眼选项,发现AB都是在说payment netting, CD都是在说close out netting的,这个payment netting 就是那种最简单的现金流互相netting,而题目指出“ once the fraudulent documentation was discovered”现在面临欺诈情况,那么close out netting 更合适一些。所以A和B先排除了。close out netting 指一旦有违约发生,就终止所有的合约,把这些交易netting成1笔交易,因此使用close out netting 可以降低没有违约那一方的counterpart risk.所以这个题选C

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