R66 练习: 衍生品工具与衍生品市场特征
考纲范围
- define a derivative and describe basic features of a derivative instrument
- describe the basic features of derivative markets, and contrast over-the-counter and exchange-traded derivative markets
Q1.
Which of the following best describes the relationship between the derivatives and the underlying?
A. A derivative must earn profits from the profits of its underlying.
B. A derivative transforms the performance of the underlying.
C. The underlying of a derivative must only be an asset itself.
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答案：B
解析：衍生品的价值来源于标的资产的表现，关键词是”transform”（转换），而非简单地”pass through”（传递）。衍生品通过改变标的资产的收益/风险特征来创造价值。
选项 判断 解析 A ✗ 衍生品不一定从标的资产的利润中赚取利润，它是转换标的资产的表现 B ✓ 正确。衍生品的核心特征是”转换”（transform）标的资产的表现 C ✗ 标的不仅仅是资产本身，还可以是利率、汇率、指数、天气等非资产标的 关联：R66: Derivative Instrument and Derivative Market Features
Q2.
Which of the following financial instruments can be classified as derivatives?
A. The S&P 500 Index Fund, because it replicates the performance of the underlying.
B. The Shanghai 50ETF, because it passes through the return of the underlying.
C. The crude oil futures, because it transforms the performance of the underlying.
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答案：C
解析：衍生品的定义核心在于”transform”标的资产的表现。指数基金和ETF只是”pass through”标的资产的回报，不属于衍生品。
选项 判断 解析 A ✗ S&P 500指数基金只是复制标的表现（replicate/pass through），不是衍生品 B ✗ 上证50ETF也是传递标的回报（pass through），不是衍生品 C ✓ 原油期货转换（transform）了标的资产的表现，属于衍生品 关联：R66: Derivative Instrument and Derivative Market Features
Q3.
Which of the following is not correct regarding the clearing and settlement process of an exchange-traded derivatives market?
A. A credit guarantee can be provided as clearinghouse requires a cash deposit from the participants to the contract.
B. Transparency can be provided with full information disclosure on all transactions.
C. Privacy and flexibility can be provided by non-standardized derivatives.
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答案：C
解析：场内交易（exchange-traded）的特征是标准化、透明、有清算所担保。隐私性和灵活性是场外交易（OTC）的特征，不是场内市场的特征。
选项 判断 解析 A ✓ 正确描述。清算所要求参与者缴纳保证金（cash deposit），提供信用担保 B ✓ 正确描述。场内市场提供全部交易信息的透明度 C ✗ 错误。场内衍生品是标准化的，隐私性和灵活性是OTC市场的特征 关联：R66: Derivative Instrument and Derivative Market Features
Q4.
Derivatives are trading in both exchange-traded market and OTC market, but there are some differences between those two markets, such as:
I. Over-the-counter derivatives are customized financial contracts established between two or more counterparties.
II. Exchange-listed derivatives trade on exchanges and are more standardized contracts.
III. Compared with the exchange-traded market, the over-the-counter market is subject to greater regulation.
A. I only
B. I and II only
C. I and III only
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答案：B
解析：OTC市场的衍生品是定制化的（I正确），场内衍生品是标准化的（II正确）。但OTC市场的监管力度通常低于场内市场（III错误）。
选项 判断 解析 A ✗ 不完整，II也正确 B ✓ I和II都正确。OTC是定制化的，场内是标准化的 C ✗ III错误。场外市场的监管力度低于场内市场，不是更大 关联：R66: Derivative Instrument and Derivative Market Features
Q5.
Which of the following statements regarding over-the-counter derivatives is incorrect?
A. They are customized.
B. They are guaranteed against default by a clearinghouse.
C. They can be exercised by physical or cash delivery.
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答案：B
解析：OTC衍生品不由清算所担保，这是场内衍生品的特征。不过近年来金融危机后，部分OTC交易开始引入中央对手方清算（CCP）。
选项 判断 解析 A ✓ 正确。OTC衍生品是定制化的 B ✗ 错误。OTC衍生品通常不由清算所担保，存在对手方违约风险 C ✓ 正确。OTC衍生品可以通过实物交割或现金交割方式结算 关联：R66: Derivative Instrument and Derivative Market Features
Q6.
Following the financial crisis of 2007-2009, world policy-makers began to make new regulations on OTC derivatives markets. The full implementation of post-financial-crisis regulations:
A. require all OTC transactions to be cleared through central clearing agencies.
B. make the regulation of OTC derivative markets is stricter than that of exchange-listed markets.
C. allow a significant percentage of derivative transactions remain flexible and private.
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答案：C
解析：金融危机后的监管改革虽然加强了OTC市场的监管（引入CCP），但仍然允许大量OTC交易保持灵活性和私密性，并非所有交易都必须通过中央清算。
选项 判断 解析 A ✗ 并非要求所有OTC交易都通过中央清算机构清算 B ✗ OTC市场的监管仍然没有场内市场严格 C ✓ 正确。尽管监管加强，仍有相当比例的衍生品交易保持灵活和私密 关联：R66: Derivative Instrument and Derivative Market Features