A& B

问题如下：

Ace’s investor clients usually use OTC forward transactions that Ace must clear with a central counterparty. Which of the following statements related to the impact on Ace from clearing these positions is most accurate?

选项：

A.

If Ace’s counterparties enter long forward contracts whose prices are positively correlated with interest rates, Ace will have to post more collateral to central counterparties than for otherwise similar futures contracts, since rising prices will lead to counterparty MTM gains reinvested at higher rates.

B.

If Ace’s counterparties enter short forward contracts whose prices are negatively correlated with interest rates, Ace will have to post less collateral to central counterparties than for otherwise similar futures contracts, since falling prices will lead to counterparty MTM gains reinvested at higher rates.

C.

Since Ace is required to post collateral (cash or highly liquid securities) to the central counterparty to clear its client forward transactions, Ace will face similar margining requirements to those of standardized exchange-traded futures markets.

解释：

C is correct.

Mandatory central clearing requirements impose margin requirements on financial intermediaries similar to those of standardized exchange-traded futures markets, who often pass these costs and/or requirements on to their clients.

Answers A and B are incorrect, as the MTM gains on the forward contracts are not realized until maturity.

中文解析：

题干大意是Ace的投资者客户通常使用场外远期交易，而Ace必须与中央交易对手进行结算。基于此问哪个表述是正确的。

A和B选项的错误在于认为远期合约在合约期间产生的收益或者损失会立刻实现，从而影响Ace向中央交易对手提供的抵押品的多少，而我们知道远期合约的MTM收益直到到期才实现，因此这两个表述是错误的。

选项C说由于Ace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Ace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。