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绿水精灵 · 2025年02月15日

C选项

  1. CFA I
  2. Derivative

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.

B.

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.

C.

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。

C选项的解析表明本体在保证金这块，FWD和FUTURE无差，都要向clearing counterparty交保证金。但是如果interest rate和Future的变动是负相关的话，那Forward就不用像Future一样追加保证金。不对吗？

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1 个答案

李坏_品职助教 · 2025年02月15日

嗨，努力学习的PZer你好：


不是的。只要是futures交易，都得交保证金，都有可能需要追加保证金。


本题说的是QWR must clear with a central counterparty。那不管什么forward，都要给中央对手缴纳初始保证金，一旦QWR的这边的客户出现亏损，就有可能触发追保。


而futures则是直接给交易所缴纳保证金，即便是利率与期货价格负相关的（比如interest rate futures就是），依然有可能需要追加保证金。比如我现在做多了利率期货，但是之后利率升高了，利率期货价格下跌，那我作为多头就亏钱了，如果剩余保证金低于初始保证金，我也要给交易所追加保证金。


所以C选项没有问题。

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