Answer-first summary for fast verification
Answer: +8
After CCP clearing, each party’s net exposure to the CCP is computed by netting its bilateral positions: - **A:** $+17 - 12 = +5$ - **B:** $+12 - 9 = +3$ - **C:** $+9 - 17 = -8$, so the exposure to the CCP is **max(0, -8) = 0** Therefore, the total credit exposure is: $$5 + 3 + 0 = 8$$ So the correct answer is **+8**.
Author: Manit Arora
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21.11.3. Acme FinCorp (A), Bitarion Inc (B), and Congrezio LLC (C) have entered into many derivative transactions. When transactions between A and B are netted, the net value to A is -12; the net value to B is +12. When transactions between B and C are netted, the net value to B is -9; the net value to C is +9. When transactions between A and C are netted, the net value to A is +17; the net value to C is -17. Symbolically, in the direction of positive exposure:
The total credit exposure of all three parties is equal to 12 + 9 + 17 = 38. Suppose that all transactions are cleared through a central counterparty (CCP) rather than bilaterally. After clearing through the CCP, what is the total credit exposure of all three (A + B + C) parties?
A
Zero
B
+2
C
+8
D
+27
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