NO.PZ202208260100000403
问题如下：
A Baywhite client has entered into a long six-month MXN/USD FX forward contract—that is, an agreement to sell MXN and buy USD. The MXN/USD spot exchange rate at inception is 19.8248 (MXN19.8248 = USD1), the six-month MXN risk-free rate is 4.25%, and the six-month USD risk-free rate is 0.5%. Baywhite's market strategist predicts that the Mexican central bank (Banco de Mexico) will surprise the market with a 50 bp short-term rate cut at its upcoming meeting. Which of the following statements best describes how the client's existing FX forward contract will be impacted if this prediction is realized and other parameters remain unchanged?选项：
A.The lower interest rate differential between MXN and USD will cause the MXN/USD contract forward rate to be adjusted downward. B.The client will realize an MTM gain on the FX forward contract due to the decline in the MXN versus USD interest rate differential. C.The lower interest rate differential between MXN and USD will cause the client to realize an MTM loss on the MXN/USD forward contract.解释：
Solution
C is correct.
A decline in the interest rate differential between MXN and USD will cause the client to realize an MTM loss on the MXN/USD forward contract, while B states that this decline will result in an MTM gain. A is incorrect as the forward price, F0(T), is not adjusted during the contract life.
Specifically, the original MXN/USD forward exchange rate at inception is equal to 20.20 (= 19.8248e(.0425 – 0.005) × 0.5). If the MXN rate were to decline by 50 bps immediately after the contract is agreed, a new MXN/USD forward contract would be at a forward exchange rate of 20.15 (= 19.8248e(.0375 – 0.005) × 0.5). The MXN would weaken or depreciate against the USD. Since the MXN seller has locked in a forward sale at the original 20.20 versus the new 20.15 rate, the seller's MTM loss is equal to 0.05, or MXN50,000 per MXN1,000,000 (= 0.05 × 1,000,000) notional amount.
中文解析：
方法一：
本题考察的是外汇远期的估值公式：
外汇远期合约标的是汇率，在本题中就是MXN/USD的汇率。所以远期合约可以锁定将来汇率，即forward rate，并且在整个合约期间是不会发生变化的。所以A选项不对。
根据题意可知两国的利差会降低，根据上式可以看到利差缩小会使得value下降，即有一个MTM value loss，因此C对，B错。
方法二：
另一种思考方式是通过计算来看：
一开始：可以根据外汇远期的定价公式，分别计算出一开始是的远期汇率，为： 19.8248e(0.0425
– 0.005) × 0.5) = 20.20
后来：如果墨西哥汇率在合约达成后立即下降50个基点，那么新的MXN/美元远期合约的远期汇率将为19.8248e(0.0375-0.005) x
0.5 = 20.15。
由计算可知，MXN/USD的汇率由202.20降低到了20.15，即美元是在贬值的，作为买美元的一方，那么是会有损失的，这样也可以选择处C选项。
两方利率变动对外汇远期的影响可以详细说下吗 谢谢
