看不懂这一题

问题如下：

A portfolio manager at a US-based hedge fund has been searching for potential return opportunities in the environment of declining global interest rates experienced after the global financial crisis (GFC) of 2007-2009. The manager identifies the existence of a positive cross-currency basis between two currencies and notes that this positive basis has persisted since the GFC. What is the most appropriate explanation for this persistence?

选项：

A.

The costs for arbitrageurs to finance their positions are increasingly reflected in the basis.

B.

The costs of credit value adjustments have increased, as arbitrage positions typically eliminate counterparty risks.

C.

Regulatory changes have permitted an increase in US banks’ speculative proprietary trading activities.

D.

The addition of a liquidity risk cost to swap pricing is no longer required given the decline in the overall level of interest rates in the global economy.

解释：

A is correct. Post GFC, structural changes in how market participants price market, credit, counterparty, and liquidity risks have tightened limits to arbitrage and arbitrage now incurs a balance sheet cost which is persistent. The cost for all arbitrage participants to finance offsetting positions, are now being reflected in the FX swap basis.

B is incorrect. The pricing of credit value adjustments has now been incorporated into the price and arbitrage positions do not always eliminate counterparty risks.

C is incorrect. Regulatory changes such as the Volcker rule have required US bank to limit speculative proprietary trading activities. Additional regulations such as Basel lll and US leverage ratios require market participants to hold capital in proportion to their derivatives and other exposures.

D is incorrect. Liquidity risk costs need to be priced into transactions by market participants. Although overall funding costs may have decreased this does not mean that a charge is no longer required.