V3-150420-FRM一级百题-Part-2-梁震宇

金程教育专业·领先·增值1-982015FRMLevelI百题巅峰班金融市场与产品&估值模型讲师:梁震宇2015年5月金程教育专业·领先·增值2-98Part3FinancialMarketandProductsKeyPoint:ExchangeVS.OvertheCounterMarket1.ExchangeMarketAderivativesexchangeisacentralmarketplacewhereparticipantscantradestandardizedcontracts,includingfuturesandoptioncontracts.2.OTCTheover-the-counter(OTC)marketisanalternativetoexchangeswherecounterpartiescanengageintradesdirectlywitheachother.Customization(a.k.a.,―tailored‖exposure):Thetermsofacontractdonothavetobethosespecifiedbyanexchange.Counterpartyrisk1.Whichofthefollowingstatementsisanadvantageofanexchangetradingsystem?Onanexchangesystem:A.Termsarenotspecified.B.Tradesaremadeinsuchawayastoreducecreditrisk.C.Participantshaveflexibilitytonegotiate.D.Intheeventofamisunderstanding,callsarerecordedbetweenparties.Answer:B2.Whichofthefollowingtypesofriskisleastlikelytobeasourceofriskinthecommoditiesmarkets?A.Earningsrisk.B.Pricerisk.C.Counterpartyrisk.D.Qualityrisk.Answer:AModernfuturesmarketsallowproducers,distributors,dealers,andinvestorstomanagetheuncertaintyofpricesovertimeandparticipateinefficientpricediscovery.Inadditiontosupply/demandpricerisk,riskcanalsocomefromstorageproblems,qualityrisk,andlackofstandardpaymentterms,lackofpricetransparency,resaleproblems,counterpartyrisk,andlackofstandardizedcontracts.3.ClientAbuyoneJulywheatcontractfromClientB.Onthesameday,clientBbuythesamewheat金程教育专业·领先·增值3-98contractfromClientC.AssumingopenintereststartedoutatZero,andnodeliveredweremade,whatistheadditiontoopeninterestforJulywheatcontracts?A0.B1.C2.D3.Answer:BOpeninterestincludescontractsnotyetliquidatedeitherbyanoffsettingfuturesmarkettransactionordelivery.WhenClientAbuyonecontractfromClientB,thecurrentopeninterestisone,assumingneitherpartystartedwithapositioninthatcontract.WhenClientBbuysthesamecontractfromClientC,ClientBclosesouttheirshorttransactionwithanoffsettinglongtransaction.TheopeninterestwouldnotchangebecauseClientCwouldsimplytaketheplaceofClientB.ClientAwouldstillbelongonecontract,andnowClientCwouldbeshortonecontract.Thus,openinterestwouldbeone.4.Withregardtofuturestrading,whichofthefollowingstatementsbestdescribetheprincipleofsubstitution?A.Theclearinghousechangesthedesignatedcurrencybeforesettlement.B.Theexchangetakesontheroleofthecounterparty.C.Theclearinghousetakesontheroleofthecounterparty.D.Theexchangecansubstitutecashforagivencommodityatitsdiscretion.Answer:CTheclearinghouse'sprimaryroleistoprovidefinancialmechanismsandtoguaranteeperformanceontheexchange'sfuturesandoptionscontracts.Theclearinghouseoperatesundertheprincipleofsubstitution,substitutingitselfforeachcounterpartyforthepurposeofsettlinggainsandlosses,payingoutfundstothosereceivingprofits,andcollectingfundsfromthosewithlosses.5.XYZ,aclearinghousemember,hasrecentlycontributedfundswithitsclearinghouse.Thefundsaredesignedtogivetheclearinghousetheabilitytomeetthefinancialobligationsofanydefaultingmembers.ThefundsmaynotbewithdrawnbyXYZaslongasitremainsamemberoftheclearinghouse.WhichofthefollowingamountsbestdescribeXYZ'scontribution?A.Variationmargin.B.Originalmargin.C.Membershipdues.D.Guarantydeposit.Answer:DClearinghousemembersarerequiredtoprovidenotonlyoriginalandvariationmargintomaintaintheirownandcustomerpositions,butalsomustmaintainalargeguarantydepositwiththeclearinghouse.Thedeposit,orreserve,mustbemaintainedwiththeclearinghouseaslongasthefirmisamemberof金程教育专业·领先·增值4-98theclearinghouse.Thedepositcanbemadewithcash,securities,orlettersofcredit.Theclearinghousehasaccesstothefundsatalltimestomeetthefinancialneedsofanydefaultingmember.6.ABC,aclearinghousemember,hasnotmanageditsdebtsverywell.Asaresult,itisunabletomeetitsopencontractobligations.Whichofthefollowingstatementsrepresentsoneofthefirstactionsoftheclearinghouse?A.Exchangemembershipissold.B.Under-marginedcustomerpositionsaretransferredtoasolventclearinghousemember.C.Guarantyfundisused.D.Fullymarginedpositionsaretransferredtoasolventclearinghousemember.Answer:DThefirstactionoftheclearinghouseistomovefullymarginedcustomerpositionstoasolventclearinghousemember.7.JackJohnsonisgoingtoreceiveaphysicalcommodityfromasettlinglongfuturestrade.WhichofthefollowingstatementsbestdescribetheroleofJohnsonandtheclearinghouseinthisprocess?A.TheclearinghousewillcoordinateJohnson'ssettlementwithanyeligiblesettlingshorts.B.Johnsonwillhavetocontacttheclearinghousetocoordinatewithanyeligiblesettlingshort.C.Johnsonwillhavetoclosehispositionwiththeoriginalcounterparty.D.TheclearinghousewillcoordinateJohnson'ssettlementwiththeoriginalcounterpartyonly.Answer:AFuturesmarketphysicaldeliveryismadeeasierbyhavingtheclearinghouseasthecounterpartyoneverytrade.Directdeliveriescanbemadebyashorttoalongeventhoughthetwopartiesneveractuallytradewithoneanother.Theclearinghousereceivesdeliverynoticesfromsellers(shorts)andassignsthenoticestobuyers(longs).8.Whichofthefollowingstatementsbestdescribethedifferencebetweenacommoditytradingadvisor(CTA)andacommoditypooloperator(CPO)?A.CTAstradeforsingleclientswithindividual