Explanation:
To calculate the bank's net exposure to Swiss francs, sum all long and short CHF positions:
Net Exposure = +10 - 12 + 3 - 2 = -CHF 1.0 billion
The bank has a net short position of CHF 1 billion, meaning it would lose if the Swiss franc strengthens (appreciates) relative to the US dollar. This represents a net exposure of CHF -1 billion.
Therefore, the correct answer is B.
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Question 191.3. A U.S. bank holds portfolios denominated in Swiss francs as follows: CHF 10.0 billion in assets and CHF 12.0 billion in liabilities. With regard to the bank's trading activities, they have bought and sold the following (i.e., spot, futures, and forward contracts): bought CHF 3.0 billion and sold CHF 2.0 billion. What is the bank's net exposure to Swiss francs (CHF)?
A
CHF -3 billion net exposure
B
CHF -1 billion net exposure
C
zero net exposure
D
CHF +1 billion net exposure
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