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番薯shushu · 2025年03月13日

swap的MTM value和讲义里面的settlement value是什么关系？

  1. CFA I
  2. Derivative

NO.PZ2021061002000055

问题如下：

QWR enters a 5-year interest rate swap in which QWR pays the fixed rate of 3% for the first semiannual period and receives an initial six-month MRR of 2.65%.

Based on the information above, which of the following statements is true?

选项：

A.

Three months after the inception of the trade, QWR has an MTM loss on the swap, because it owes a net settlement payment to its counterparty.

B.

Three months after the inception of the trade, QWR has an MTM gain on the swap, because after the first known net payment to its counterparty, the remainder of the future cash flows must have a positive present value from QWR's perspective.

C.

We do not have enough information to determine whether the swap has a positive or negative value from QWR's perspective after the inception of the trade.

解释：

中文解析

本题考察的是互换在合约期间的value。

互换合约的value由互换两端的利率大小来决定，虽然固定端的利率已知，但是浮动端的利率是随着市场变化而变化的，无法确定下来.

因此我们此时无法判断3个月后，站在QWR的角度上互换的value是正还是负。


看到有一个答疑的回答中提到MTM value= ∑(浮动利息的PV + 本金的PV) - ∑(固定利息的PV+本金的PV)，在讲义中提到的periodic settlement value是用当期的浮动利率和固定利率作差，这个指的是什么value？是做什么用的?

每一次盯市时结算的profit为什么不是这个settlement value，而是往后所有现金流折现后得到的value？

另外关于题干“pays the fixed rate of 3% for the first semiannual period and receives an initial six-month MRR of 2.65%”，这里说的付2.65%收3%，又是在结算什么？

感觉对于swap交易的场景还是不太能想象得出来，所以理解不了题目到底在问什么。

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1 个答案

李坏_品职助教 · 2025年03月13日

嗨，努力学习的PZer你好：


在结算日的时候才有这个settlement value（也叫 结算价值）的存在意义。他指的是在结算的时候，swap的交易者可以通过结算获得的净现金流。

比如我是pay fixed 并且receive floating，现在已经到了第一个结算日，如果此刻我支付的固定利息 大于 收取的浮动利息，那我的净现金流是负数。


结算日这一天的swap value(就是swap的总价值) = settlement value（结算价值） + 未来的现金流入的现值 - 未来现金流出的现值。


而如果不是在结算日，那不存在结算价值的概念，只能通过未来的现金流入的现值 - 未来现金流出的现值来算出MTM的盈亏情况。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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