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.
以C为例，B是一个美国公司主要出口到印度尼西亚，整个swap的头寸是B付USD interest rate，Bank收USD interest rate。对于Bank来说，USD interest rate上升，它是越来越赚钱的，但是美元利率上升意味着美元相对印尼卢比升职，升值意味着出口竞争力就下降，B公司整体营收就会受到负面影响，反而其偿付能力会下降，对手方风险上升，所以对银行来说是有wrong-way risk。
以D为例，B是一个美国公司主要出口到印度尼西亚，整个optionn的头寸是Bank以固定汇率买IDR。对于Bank来说，IDR贬值，它是越来越赚钱的，但是IDR贬值意味着美元相对印尼卢比升职，升值意味着出口竞争力就下降，B公司整体营收就会受到负面影响，反而其偿付能力会下降，对手方风险上升，所以对银行来说是有wrong-way risk？
