MRR和MTM是什么

问题如下：

Ace Limited is a financial intermediary that is active in forward and swap markets with its issuer and investor clients. You have been asked to consult on a number of client situations to determine the best course of action.

Ace enters a 10-year GBP interest rate swap with a client in which Ace receives an initial six-month GBP MRR of 1.75% and pays a fixed GBP swap rate of 3.10% for the first semiannual period. Which of the following statements best describes the value of the swap from Ace's perspective three months after the inception of the trade?

选项：

A.Ace has an MTM loss on the swap, because it owes a net settlement payment to its counterparty equal to 1.35% multiplied by the notional and period. B.Ace has an MTM gain on the swap, because once it makes the first known net payment to its counterparty, the remainder of the future net fixed versus floating cash flows must have a positive present value from Ace's perspective. C.While the present value of fixed and future cash flows was set to zero by solving for the swap rate at inception, we do not have enough information to determine whether the swap currently has a positive or negative value from Ace's perspective following inception.

解释：

Solution

C is correct.

At time t = 0, the present value of fixed and future cash flows was set to zero by solving for the swap rate at inception. Although the current settlement value is known, we cannot determine whether the swap has a positive or negative value from Ace's perspective three months later without further information—specifically, the current level of future forward rates.

中文解析

本题考察的是互换合约的期间value。

对于互换来说，期初的value是确定为0的，但是期间的value会随着市场利率的变化而变化无法在期初的时候就确定下来。所以本题选C。