NO.PZ2024050101000109
问题如下：
Assume three counterparties (A, B and C) are entered into bilateral derivative trades with the following net current replacement values: replacement value for A with respect to B = $10 million (i.e., if closed out immediately, B would owe $10 million to A); replacement value for B with respect to C = $10 million; replacement value for C with respect to A = $10 million. If these positions were immediately novated to central counterparty with multilateral netting, which of the following is implied?
选项：
A.Counterparty exposures among A, B and C are each eliminated to zero; but each will have a $10 million exposure to the central counterparty.
B.Counterparty exposures among A, B and C are each eliminated to zero; and each will have zero exposure to the central counterparty.
C.Counterparty exposures among A, B and C are, in total, reduced from $30 million to $10 million; and the central counterparty assumes $20 million in exposure
D.The total exposure is not reduced from $30 million; it is effectively transferred to the central counterparty
解释：
当存在CCP时，ABC每个人都是给CCP10，CCP给ABC分别10，那么对于exposure来说，应该只考虑单项，即ABC对CCP的exposure都是10，这样想为什么不对？
