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非恒名 · 2024年01月23日

这个知识点在框架图里有吗

  1. CFA III
  2. Derivative

NO.PZ2022123002000027

问题如下：

In 2014, Testa notified Fournier that he anticipated taking a position in a plastics producer located in India. Fournier warned him that the Indian rupee (INR) was a restricted currency and that currency management would not be as simple as in the other transactions handled previously. Fournier said that non-deliverable forwards (NDFs) on the rupee were available, as they were for the currencies of other developing countries. When asked how non-deliverable forwards differed from the contracts they had used in the past, Fournier responded:

Ÿ NDFs are cash settled in the non-controlled currency of the currency pair,

Ÿ NDFs have greater credit risk associated with them than outright forward contracts because the central banks in most developing countries are not as strong as they are in developed countries, and

Ÿ the pricing of NDFs may differ from what is expected on the basis of arbitrage conditions.

Which of Fournier’s 2014 comments about non-deliverable forwards (NDFs) is least accurate? The one concerning:

选项：

A.

pricing

B.

credit risk

C.

settlement

解释：

Correct Answer: B

B is correct. Fournier’s statement regarding credit risk is incorrect. The credit risk does not relate to the central bank of the developing country but, rather, the counterparty risk faced in the contract. The credit risk underlying an NDF is lower than an outright forward contract since the notional size of the contract is not exchanged at settlement, but only the non-controlled currency amount by which the notional size of the controlled currency has changed over the life of the contract—that is, the change in the controlled currency times the notional size converted to the non-controlled currency at the spot rate on the settlement date.

A is incorrect. Fournier’s statement regarding pricing of NDFs is correct. When capital controls exist, the free cross-border flow of capital that ensures the arbitrage condition underlying covered interest rate parity does not function consistently, and so the pricing of NDFs may differ from what is expected under arbitrage conditions.

C is incorrect. Fournier’s statement regarding settlement of NDFs is correct. Nondeliverable forwards exist in situations involving capital controls on one of the currencies. The controlled currency cannot be physically settled (i.e., not delivered or received), but instead it is cash settled in the non-controlled currency.

没有复习到这个点，感觉很陌生

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pzqa31 · 2024年01月24日

嗨，爱思考的PZer你好：


没有，但是原版书里有提到相关内容，咱们可以通过这道题了解一下：


这里non-controlling currency是没有管制的货币的意思，一般来说NDF在现金交割时会选择没有管制的货币进行交割，例如在有管制货币和美元之间会选择用美元交割。


当有国家进行资本管制时，国际间套利所遵循的covered interest parity可能会不成立，那么NDFs的价格会和根据CIP理论定出的价格有所偏差，NDFs的价格更多体现了其本身的供需关系。相关原版书内容如下，同学可以参考理解哈：


Finally, we note that when capital controls exist, the free cross-border flow of capital that enforces the arbitrage condition underlying covered interest rate parity no longer functions consistently. Therefore, the pricing on NDFs need not be exactly in accord with the covered interest rate parity theorem. Instead, NDF pricing will reflect the individual supply and demand conditions (and risk premia) in the offshore market, which need not be the same as the onshore market of the specific emerging market country.


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