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.
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.
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A和B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。
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.
- 老师好，我觉得这句话是对的？对手方的forward价格随着利率上升而上升（正相关性）。如果是按日交割，那么随着forward的价格上升（基数变大），保障金不是也变大了么？谢谢！
