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.
decreased the volatility of earnings from trading activities.
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。
对 free- standing credit derivatives 和抵押物之间的关系有些没弄懂