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jay1180 · 2022年12月08日

答案没看懂。。能分别讲一下仨选项么,谢谢老师

NO.PZ2021061002000050

问题如下:

QWR is a financial intermediary active in both futures and forward markets. QWR’s clients usually use OTC forward transactions that QWR must clear with a central counterparty. Which of the following is most accurate about the impact on QWR from clearing these positions?

选项:

A.

If QWR’s counterparties enter long forward contracts whose prices are positively correlated with interest rates, QWR will have to post more collateral to central counterparties than for otherwise similar futures contracts.

B.

If QWR’s counterparties enter short forward contracts whose prices are negatively correlated with interest rates, QWR will have to post less collateral to central counterparties than for otherwise similar futures contracts.

C.

Since QWR is required to post collateral (cash or highly liquid securities) to the central counterparty to clear its client forward transactions, QWR will face similar margining requirements to those of standardized exchange-traded futures markets.

解释:

中文解析

由于远期合约只在到期的时候结算,而在合约期间产生的loss或者gain都不会立即实现,因此并不会影响QWR向中央交易对手提供抵押品的多少,所以AB选项错误。

选项C说由于QWR被要求向中央交易对手提供抵押品(现金或高流动性证券)以清算其客户远期交易,因此QWR将面临与标准化交易所交易期货市场类似的保证金要求。此表述正确。

RT

3 个答案

我又想你了 · 2024年08月17日

我又想你了 · 2024年08月17日

Lucky_品职助教 · 2022年12月09日

嗨,从没放弃的小努力你好:


QWR是活跃于期货和期货市场的金融中介机构。QWR的客户通常使用场外远期交易,QWR必须与中央对手进行清算。以下哪项最准确地说明了清仓对QWR的影响?

A.如果QWR的交易对手签订了价格与利率正相关的远期合约,QWR将不得不向中央交易对手提供比其他类似期货合约更多的抵押品。

B.如果QWR的交易对手签订了价格与利率负相关的短期远期合同,QWR将不得不向中央交易对手提供比其他类似期货合同更少的抵押品。

C.由于QWR需要向中央交易对手提供抵押品(现金或高流动性证券)以清算其客户远期交易,QWR将面临与标准化交易所交易期货市场类似的保证金要求。

由于远期合约只在到期的时候结算,而在合约期间产生的loss或者gain都不会立即实现,因此并不会影响QWR向中央交易对手提供抵押品的多少,所以A和B选项错误。

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