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seven-zhu · 2021年08月09日

No.PZ2016072602000031 (选择题)

NO.PZ2016072602000031

问题如下:

Counterparty A is an American company with manufacturing operations in Indonesia and its main customers in the United States, while counterparty B is an American company that manufactures its goods domestically and exports solely to Indonesia. Which one of the following transactions with either counterparty will be a wrong-way exposure for a bank?

选项:

A.

A five-year plain-vanilla IDR/USD cross-currency swap between the bank and counterparty A where the bank is USD interest rate receiver

B.

A five-year plain-vanilla IDR/USD currency option sold by the bank to counterparty A for it to buy IDR at a certain rate

C.

A five-year plain-vanilla IDR/USD cross-currency swap between the bank and counterparty B where the bank is USD interest rate receiver

D.

A five-year plain-vanilla IDR/USD currency option bought by the bank from counterparty B for the bank to buy IDR at a certain rate

解释:

C is correct. This is an example of a wrong-way exposure, where a gain on the instrument for the bank is associated with a higher probability of default (PD) for its counterparty. If the IDR depreciates, counterparty A will make a profit because its costs will go down in dollars; conversely for counterparty B, because its dollar revenues will decrease. Under c., the company pays USD and receives IDR. This transaction will create a loss if the IDR depreciates. In this situation, counterparty B will lose money as well on its exports. Hence, this is a wrong-way trade.

没有懂这道题的逻辑,是A,B两个公司分别跟Bank之间的关联吗。是要判断A,B公司是收美元还是印尼币,还是判断银行是收美元还是印尼币的一方?然后还有一个问题是 印尼币/美元,美元贬值,整体汇率就会上升是吗?

1 个答案

品职答疑小助手雍 · 2021年08月09日

嗨,从没放弃的小努力你好:


是A,B两个公司分别跟Bank之间的关联。

这题只是考wrong way risk和right way risk,不用判断swap谁是收哪种货币的一方,问的问题是选项描述的这些swap,哪个对于银行来讲属于wrong way risk。

判断也和整体汇率没啥关系,就是判断exposure和PD会不会同时变大。

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