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Avalon · 2024年10月13日

麻烦助教老师再帮忙看下这题

  1. CFA I
  2. Derivative

* 问题详情，请 查看题干

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。

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。






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李坏_品职助教 · 2024年10月13日

嗨，爱思考的PZer你好：


我先说一下我推荐的解题方法，不需要画图。

本题只需要看这一句关键词：

这个Baywhite公司是需要以浮动利率进行融资，如果未来利率上升，会导致Baywhite公司的融资成本变大。所以Baywhite是害怕利率上升。我们需要找到一种对冲方法——只要能够在利率上升时赚钱，就行了。

能够在利率上升时赚钱的就两种：

  1. FRA的多头，也就是FRA的fixed rate payer，这是支付固定、收取浮动，所以A对。
  2. interest rate futures的空头，本题选项不涉及futures，忽略。


当然你画的图也是正确的。

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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。

2024-10-13 14:55 2 · 回答