NO.PZ2023091802000051
问题如下：
A risk manager is deciding between buying a futures contract on an exchange and buying a forward contract directly from a counterparty on the same underlying asset. Both contracts would have the same maturity and delivery specifications. The manager finds that the futures price is less than the forward price. Assuming no arbitrage opportunity exists, what single factor acting alone would be a realistic explanation for this price difference?
选项：
A.
The futures contract is more liquid and easier to trade.
B.
The forward contract counterparty is more likely to default.
C.
The asset is strongly negatively correlated with interest rates.
D.
The transaction costs on the futures contract are less than on the forward contract.
解释：
When an
asset is strongly negatively correlated with interest rates, futures prices
will tend to be slightly lower than forward prices. When the underlying asset
increases in price, the immediate gain arising from the daily futures
settlement will tend to be invested at a lower than average rate of interest
due to the negative correlation. In this case futures would sell for slightly
less than forward contracts, which are not affected by interest rate movements
in the same manner since forward contracts do not have a daily settlement
feature.
The other three choices would all most likely result in the futures
price being higher than the forward price.
看了答案，但是还是没理解C选项
