题目
Which of the following is TRUE about a forward rate agreement (FRA)?
选项
A.It is an exchange-traded instrument
B.It can be cash or physically settled
C.A borrower who intends to borrow cash at LIBOR in the future will hedge by receiving the fixed interest rate, R(k), in an FRA
D.A bank that intends to lend cash at LIBOR in the future will hedge by receiving the fixed interest rate, R(k), in an FRA
答案
D
解析
In the future, the bank’s cash flows will be: (+) receive LIBOR on the lent cash (+) receive fixed rate on the FRA (-) pay LIBOR on the FRA = net (+) receive fixed rate on the FRA In regard to (A), FRA is OTC. In regard to (B), FRA is cash settled. In regard to (C), to hedge the future LIBOR, the borrower wants to pay fixed and receive LIBOR (i.e., the gain/loss on LIBOR in the FRA offsets the future borrowing).A：FRA是OTC。B：FRA是以现金结算。C：为了对冲未来的LIBOR，借款人希望支付固定利率并获得LIBOR，FRA的LIBOR的损益可抵消未来的借款成本。