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pacermiller31 · 2022年11月14日

能不能 举一些关于free- standing credit derivatives的例子

* 问题详情,请 查看题干

NO.PZ201812170100000205

问题如下:

Based only on Exhibit 4, R- bank’s use of credit derivatives since 2007 most likely:

选项:

A.

increased posted collateral.

B.

decreased the volatility of earnings from trading activities.

C.

indicates consistent correlations among the relevant risks taken.

解释:

B is correct.

Exhibit 4 indicates that exposure to free- standing credit derivatives dramatically declined from a peak during the global financial crisis in 2008. If a derivatives contract is classified as freestanding, changes in its fair value are reported as income or expense in the income statement at each reporting period. The immediate recognition of a gain or loss in earnings, instead of reporting it in other comprehensive income, can lead to unexpected volatility of earnings and missed earnings targets. As a result, earnings volatility from the use of credit derivatives most likely decreased.

解析:

考点:Analysis of Financial Institutions - Analyzing A Bank - The CAMELS Approach - Earnings - Accounting for Derivatives

选项 A 错误。信用衍生品的投资大幅降低,对抵押品的要求应该降低。而选项的描述是 increased 增加,说反了,所以不选。

选项 B 正确。free-standing 衍生工具 FV 的改变要确认在损益表中,如果这种衍生工具用的少了,earnings 的波动就会变小。选项的描述正确。

选项 C 错误。因为选项的描述,是作为 hedging 的衍生工具才要求的,但是这题说了 not classified as hedges,而是作为 free-standing derivatives,所以跟选项的要求是没关系的。

 free- standing credit derivatives 和抵押物之间的关系有些没弄懂

1 个答案

袁园_品职助教 · 2022年11月14日

嗨,从没放弃的小努力你好:


credit derivative可以用作对冲或者是直接为了盈利的衍生品交易,这家银行没有用于对冲,而是用作了盈利目的。

举个例子,比如说你现在有一笔资产,对雷曼银行的贷款,你担心雷曼银行会违约,你就买了CDS,也就是Credit Default Swaps信用违约互换

,买方你支付Premium,以换取在标的资产违约情形下,卖方支付一定的赔付,在此过程中标的资产产生的现金流仍然属于资产所有人你。这就是你有了资产买credit derivative做对冲,就是hedge,这种情况收益的波动不大,如果资产违约了,你收到赔付,如果资产没违约,你也是损失了一点premium。

但是如果你没有资产,压根就没有对雷曼的贷款,你觉得雷曼就要倒了,你就买了很多CDS,来赚这个卖方的赔付。这就是free- standing credit derivatives,纯粹是为了赚钱而已,不是为了对冲,那么这种情况下对收益的波动就很大了。

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