NO.PZ2018113001000060
问题如下：
To diversify, an investor in the United States wants to buy Canadian bonds for his portfolio , he wants to hedge against the risk of exchange rate fluctuations. So he enters a cross-currency basis swap, with the same payment dates as the bonds, where at inception she delivers the US dollars in exchange for Canadian dollars for use in purchasing the Canadian bonds.
Assume demand for US dollars is strong
relative to demand for Canadian dollars, so there is a positive basis for
“lending” US dollars (The basis is quoted on the USD leg of the swap).
The periodic net interest payments received
from the swap counterparty is:
选项：
A.
US dollars only
B.
Canadian dollar only
C.
both Canadian dollars and US dollars.
解释：
A is correct
上图描述了整个过程
需要注意，期初购买加拿大的债券，因此期间收到加拿大债券的利息。
也正是因为需要CAD购买加拿大的债券，才进入了一个互换当中。因此整个头寸的net interest payments必须要包含收到的CAD的利息的，所以净头寸只剩下r_USD +basis。即对这个美国投资者的净头寸分析中不涉及CAD的问题。
这道题不是问的counterparty的头寸吗？题中investor是收USD+basis，那么counterparty就收CAD
