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Coco · 2021年12月05日

D 为什么不对呢?

NO.PZ2016072602000031

问题如下:

Counterparty A is an American company with manufacturing operations in Indonesia and its main customers in the United States, while counterparty B is an American company that manufactures its goods domestically and exports solely to Indonesia. Which one of the following transactions with either counterparty will be a wrong-way exposure for a bank?

选项:

A.

A five-year plain-vanilla IDR/USD cross-currency swap between the bank and counterparty A where the bank is USD interest rate receiver

B.

A five-year plain-vanilla IDR/USD currency option sold by the bank to counterparty A for it to buy IDR at a certain rate

C.

A five-year plain-vanilla IDR/USD cross-currency swap between the bank and counterparty B where the bank is USD interest rate receiver

D.

A five-year plain-vanilla IDR/USD currency option bought by the bank from counterparty B for the bank to buy IDR at a certain rate

解释:

C is correct. This is an example of a wrong-way exposure, where a gain on the instrument for the bank is associated with a higher probability of default (PD) for its counterparty. If the IDR depreciates, counterparty A will make a profit because its costs will go down in dollars; conversely for counterparty B, because its dollar revenues will decrease. Under c., the company pays USD and receives IDR. This transaction will create a loss if the IDR depreciates. In this situation, counterparty B will lose money as well on its exports. Hence, this is a wrong-way trade.

以C为例,B是一个美国公司主要出口到印度尼西亚,整个swap的头寸是B付USD interest rate,Bank收USD interest rate。对于Bank来说,USD interest rate上升,它是越来越赚钱的,但是美元利率上升意味着美元相对印尼卢比升职,升值意味着出口竞争力就下降,B公司整体营收就会受到负面影响,反而其偿付能力会下降,对手方风险上升,所以对银行来说是有wrong-way risk。


以D为例,B是一个美国公司主要出口到印度尼西亚,整个optionn的头寸是Bank以固定汇率买IDR。对于Bank来说,IDR贬值,它是越来越赚钱的,但是IDR贬值意味着美元相对印尼卢比升职,升值意味着出口竞争力就下降,B公司整体营收就会受到负面影响,反而其偿付能力会下降,对手方风险上升,所以对银行来说是有wrong-way risk?

1 个答案

李坏_品职助教 · 2021年12月05日

嗨,从没放弃的小努力你好:


D的意思是银行从B公司手里买了一份IDR的看涨期权,注意银行是可以买入IDR,而不是卖出IDR的。


所以IDR如果升值,B公司出口到indonesia的产品就会变得相对便宜,B公司会赚钱,所以D项应该是RWR,不是WRW。

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