FRM阅读理解分析和总结.docx

第一部分阅读理解

（每题2分，共40分）

Passage1

Non-Deliverable Forward (NDF) has become a popular instrumentavailabletocorporatetreasurerswhowishtohedgetheirexposuretoforeigncurrencieswhicharenotinternationallytradedandwhichdonotpossessaforwardmarketfornon-domesticplayerslikePhilippinePeso(PHP),IndianRupee(INR) KoreanWon(KRW)andChineseRenminbi(CNY).

AnNDFisashort-termcommittedforwardcashsettlementcurrencyderivative instrument. It is essentially an outright (forward) FX contractwherebyonthecontractedsettlementdate,profitorlossisadjustedbetweenthetwocounterpartiesbasingonthedifferencebetweenthecontractedNDFrateandtheprevailingspotFXratesonanagreednotionalamount.

TheNDFrateistherateagreedbetweenthetwocounterpartiesonthetransactiondate.Thisisessentiallytheforwardrateofthecurrenciesdeal.ThenotionalamountisthefacevalueoftheNDFwhichisagreedbetweenthetwocounterparties,Itshouldagainbenotedthatthereisneveranyintentiontoexchange the two currencies principal sums; the only movement is thedifferencebetweentheNDFrateandtheprevailingspotmarketrateandthisamountissettledonthesettlementdate.

EveryNDFhasafixingdateandasettlement(delivery)date.Thefixing

dateisthedayandtimewherebythecomparisonbetweentheNDFrateandthe prevailingspot rateismade settlementdateis thedaywhereby thedifferenceispaidorreceived.Dependingonthecurrenciesdealt,therearevariationswherebyforsomecurrencies,thefixingdateisonegoodbusinessdaybeforethesettlementdateandforothercurrencies,thefixingdateistwogoodbusinessdaysbeforethesettlementdate.Generally,thefixingofspotrateisbasedonareferencepageonReutersorTeleratewithafallbackofcallingfourleadingdealersintherelevantmarketforaquote.

Asitisacash-settlementinstrument,thereisnomovementofthe

principalamountsof