NO.PZ202208260100000405
问题如下:
Baywhite Financial is a broker-dealer and wealth management firm that helps its clients manage their portfolios using stand-alone derivative strategies. A new Baywhite analyst is asked to evaluate the following client situations.
Baywhite Financial seeks to gain a competitive advantage by making margin loans at fixed rates for up to 60 days to its investor clients. Since Baywhite borrows at a variable one-month market reference rate to finance these client loans, the firm enters into one-month FRA contracts on one-month MRR to hedge the interest rate exposure of its margin loan book. Which of the following statements best describes Baywhite's interest rate exposure and the FRA position it should take to hedge that exposure?
选项:
A.Baywhite faces exposure to a rise in one-month MRR over the next 30 days, so it should enter into the FRA as a fixed-rate payer in order to benefit from a rise in one-month MRR above the FRA rate and offset its higher borrowing cost.
B.Baywhite faces exposure to a rise in one-month MRR over the next 30 days, so it should enter into the FRA as a fixed-rate receiver in order to benefit from a rise in one-month MRR above the FRA rate and offset its higher borrowing cost.
C.Baywhite faces exposure to a decline in one-month MRR over the next 30 days, so it should enter into the FRA as a fixed-rate receiver in order to benefit from a rise in one-month MRR above the FRA rate and offset its higher borrowing cost.
解释:
Solution
A is correct.
As Baywhite faces exposure to a rise in one-month MRR over the next 30 days, it should enter into the FRA as a fixed-rate payer in order to benefit from a rise in one-month MRR above the FRA rate and offset its higher borrowing cost. Both B and C are incorrect, as the fixed-rate receiver in an FRA does not benefit but rather must make a higher payment upon settlement if MRR rises.
中文解析:
Baywhite有两个头寸:
一是他按照固定利率把钱借出去,借给了他的投资者。
二是他按照浮动利率向贷款,此时是把钱借进来。
即Baywhite收到投资者给他的固定利率,同时支付贷款发生的浮动利率。因此Baywhite面临着利率上涨的风险。
那么担心利率上涨,Baywhite应该long
FRA,也就是付固定,收浮动。
综上分析可知,本题选A。
这题啥意思?我这么理解,他借固定贷款给别人,然后又自己贷了一笔浮动贷款吗?担心浮动利率借款成本上升,就pay浮动,receive固定吗?还有就是mtm和fra分别在什么情况下用,有啥区别,感觉衍生品对我来说真的抽象,脑瓜子转不过来,麻烦老师讲得易懂一些,非常感谢。