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苏·Xu · 2025年01月15日

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  1. CFA I
  2. Derivative

NO.PZ2021061002000050

问题如下：

QWR is a financial intermediary active in both futures and forward markets. QWR’s clients usually use OTC forward transactions that QWR must clear with a central counterparty. Which of the following is most accurate about the impact on QWR from clearing these positions?

选项：

A.

If QWR’s counterparties enter long forward contracts whose prices are positively correlated with interest rates, QWR will have to post more collateral to central counterparties than for otherwise similar futures contracts.

B.

If QWR’s counterparties enter short forward contracts whose prices are negatively correlated with interest rates, QWR will have to post less collateral to central counterparties than for otherwise similar futures contracts.

C.

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

解释：

中文解析

由于远期合约只在到期的时候结算，而在合约期间产生的loss或者gain都不会立即实现，因此并不会影响QWR向中央交易对手提供抵押品的多少，所以A和B选项错误。

选项C说由于QWR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QWR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。

"由于远期合约.......并不会影响QWR向中央交易对手提供抵押品的多少"，远期合约是OTC啊，client是远期合约，QWR是futures啊。解析的逻辑是啥？

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1 个答案

李坏_品职助教 · 2025年01月15日

嗨，从没放弃的小努力你好：


QWR是一个中介机构，他的客户既有参与forward也有参与futures，也就是QWR需要负责这两类交易。QWR主要职责是代替客户完成forward以及futures的交易。


A选项和B选项都提到了，QWR will have to post more collateral或者less collateral，是说QWR公司在forward这类交易时需要给对手提供更多/更少的抵押品。


题目里说 clear with a central counterparty，意思是forward合约也是跟中央对手方进行结算的，所以QWR需要替客户交足抵押品，满足保证金要求，此时的forward合约与在交易所交易futures是一样的，不存在more或者less抵押品的情况，应该是“similar margining requirements”才对，所以A和B都不对。



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