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二狗 · 2024年10月14日

MRR和MTM是什么

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NO.PZ202208260100000603

问题如下:

Ace Limited is a financial intermediary that is active in forward and swap markets with its issuer and investor clients. You have been asked to consult on a number of client situations to determine the best course of action.


Ace enters a 10-year GBP interest rate swap with a client in which Ace receives an initial six-month GBP MRR of 1.75% and pays a fixed GBP swap rate of 3.10% for the first semiannual period. Which of the following statements best describes the value of the swap from Ace's perspective three months after the inception of the trade?

选项:

A.Ace has an MTM loss on the swap, because it owes a net settlement payment to its counterparty equal to 1.35% multiplied by the notional and period. B.Ace has an MTM gain on the swap, because once it makes the first known net payment to its counterparty, the remainder of the future net fixed versus floating cash flows must have a positive present value from Ace's perspective. C.While the present value of fixed and future cash flows was set to zero by solving for the swap rate at inception, we do not have enough information to determine whether the swap currently has a positive or negative value from Ace's perspective following inception.

解释:

Solution

C is correct.

At time t = 0, the present value of fixed and future cash flows was set to zero by solving for the swap rate at inception. Although the current settlement value is known, we cannot determine whether the swap has a positive or negative value from Ace's perspective three months later without further information—specifically, the current level of future forward rates.

中文解析

本题考察的是互换合约的期间value

对于互换来说,期初的value是确定为0的,但是期间的value会随着市场利率的变化而变化无法在期初的时候就确定下来。所以本题选C

如题

1 个答案
已采纳答案

李坏_品职助教 · 2024年10月15日

嗨,从没放弃的小努力你好:


MRR指的是market rate,就是市场浮动利率。


MTM是盯市制度,意思是按照当前市场的已知条件,计算出衍生品仓位的盈亏情况。


A选项说的是MTM loss,意思是当前这个swap有账面亏损(A选项是错的)。

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