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Avalon · 2024年10月13日

麻烦助教老师帮忙看下这题

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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。

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。

2 个答案

李坏_品职助教 · 2024年10月13日

嗨,爱思考的PZer你好:


是的,这里要考虑衍生品的盈利。要找到能在利率上升时赚钱的衍生品交易方向。

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努力的时光都是限量版,加油!

李坏_品职助教 · 2024年10月13日

嗨,爱思考的PZer你好:


“Baywhite borrows at a variable one-month market reference rate ”


这个意思是,Baywhite公司需要以浮动利率进行融资,来支持自己的业务。如果未来的利率上升,这会增加Baywhite的融资成本。所以Baywhite需要一种“在利率上升的情况下赚钱”的衍生品,来对冲风险。


在利率上升的情况下赚钱的衍生品,主要是两种:

  1. FRA的多头(就是long FRA合约的人),那也就是FRA合约的fixed-rate payer,这种人是支付固定利率并且收取浮动利率,如果利率上升了,可以赚钱。
  2. interest rate futures的空头。本题不涉及这个产品,忽略。


MTM指的是任何衍生品的浮动盈利或亏损,FRA指的是具体的利率衍生品,这是两个概念。衍生品是用来对冲风险或者做套利的。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

Avalon · 2024年10月13日

那我理解错了。弄反了。从借款成本角度来考虑

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NO.PZ202208260100000405问题如下 Baywhite Financiis a broker-aler anwealth management firm thhelps its clients manage their portfolios using stanalone rivative strategies. A new Baywhite analyst is asketo evaluate the following client situations. Baywhite Financiseeks to gain a competitive aantage making margin loans fixerates for up to 60 ys to its investor clients. SinBaywhite borrows a variable one-month market referenrate to finanthese client loans, the firm enters into one-month FRA contracts on one-month MRR to hee the interest rate exposure of its margin lobook. Whiof the following statements best scribes Baywhite's interest rate exposure anthe FRA position it shoultake to hee thexposure?A.Baywhite faces exposure to a rise in one-month MRR over the next 30 ys, so it shoulenter into the FRA a fixerate payer in orr to benefit from a rise in one-month MRR above the FRA rate anoffset its higher borrowing cost.B.Baywhite faces exposure to a rise in one-month MRR over the next 30 ys, so it shoulenter into the FRA a fixerate receiver in orr to benefit from a rise in one-month MRR above the FRA rate anoffset its higher borrowing cost.C.Baywhite faces exposure to a cline in one-month MRR over the next 30 ys, so it shoulenter into the FRA a fixerate receiver in orr to benefit from a rise in one-month MRR above the FRA rate anoffset its higher borrowing cost. SolutionA is correct.Baywhite faces exposure to a rise in one-month MRR over the next 30 ys, it shoulenter into the FRA a fixerate payer in orr to benefit from a rise in one-month MRR above the FRA rate anoffset its higher borrowing cost. Both B anC are incorrect, the fixerate receiver in FRA es 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longFRA,也就是付固定,收浮动。综上分析可知,本题选我又做了一题,感觉跟这个可以对比一下。品职出题,解答里面画了一个图我觉得我看懂了,然后我依葫芦画瓢也画了一个,右边是原来的,左边是他为了对冲原来的,所以就pay- fix,receive floating,助教看看对不不对,不对的话帮我纠正一下思路,再次感谢。

2024-10-13 16:39 1 · 回答