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要紧雅冠 · 2023年04月07日

中央清算 不是日结吗

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。

老李课上说中央清算越来越像清算所,难道不是每日结清吗?

1 个答案

Lucky_品职助教 · 2023年04月09日

嗨,爱思考的PZer你好:


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。central counterparty清算抵押品模式类似清算所,是为了降低违约率,但forward合约本身到期结算的性质并没有改变。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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