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sherry_lee · 2021年04月21日

可以解释下这个换汇投资过程吗?

NO.PZ2017121101000008

问题如下:

A US institutional investor in search of yield decides to buy Italian government bonds for her portfolio but wants to hedge against the risk of exchange rate fluctuations. She enters a cross-currency basis swap, with the same payment dates as the bonds, where at inception she delivers US dollars in exchange for euros for use in purchasing the Italian bonds.

Assume demand for US dollars is strong relative to demand for euros, so there is a positive basis for “lending” US dollars. By hedging the position in Italian government bonds with the currency basis swap, the US investor will most likely increase the periodic net interest payments received from the swap counterparty in:

选项:

A.

euros only.

B.

US dollars only.

C.

both euros and US dollars.

解释:

B is correct.

By hedging the position in Italian government bonds with the cross-currency basis swap, the US investor will most likely increase the periodic net interest she receives in US dollars. The reason is that the periodic net interest payments made by the swap counterparty to the investor will include the positive basis resulting from the relatively strong demand for US dollars versus euros.

解释下这个换汇投资过程谢谢。

3 个答案
已采纳答案

Hertz_品职助教 · 2021年04月21日

嗨,从没放弃的小努力你好:


同学你好~

本题描述的是一个美国投资者,想买Italian bond,所以他需要付出EUR来购买;但是他的本币是USD,手里没有EUR,于是他就想进入一个swap,在这个swap中,他付USD,收到EUR,然后拿着这个EUR去买Italian bond。

在这个swap中,我们付出USD,可以理解为我们把USD借出去了,于是对手方会给我们USD的利息;我们收到EUR,相当于我们向对手方接了EUR,所以期间我们要给对手方支付EUR的利息。

现在发现美元的需求高于EUR,所以USD会更抢手,那么我们把USD借给了对手方,这时候就会像对手方多要一些利息,但我们付出的利息是不变的,收到的USD利息多了,所以net interest payments就是USD了。选B。

(如有疑问 欢迎追问)

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

徐威廉 · 2021年07月28日

老师,如果目前市场对于美元的demand比较低呢?negative basis的话,net payment是什么?

Hertz_品职助教 · 2022年02月04日

嗨,努力学习的PZer你好:


@dada,同学你好,其实basis加在美元还是欧元上,本质是没有差别的。比如美元需求更高时,如果basis加在美元上,则basis为正数;如果basis加在欧元上,则basis就应该是负数。

针对美元需求增强还是减弱的两种情况我在上面的两条回复里做了说明了哈,同学可以看下。这种题目最重要的是把期初和期间的过程搞清楚,问题就都可以解决啦~

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

Hertz_品职助教 · 2021年07月28日

嗨,从没放弃的小努力你好:


@徐威廉,同学你好~

如果是市场对美元的需求较低,即对应的对欧元的需求较高。由于我们相当于向对手方借了EUR,因为现在EUR更加抢手了,所以我们需要多支付给对方一些利息。因此net payment就会变成euro only,A选项。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

dada · 2022年02月01日

如果basis是加在了eur上,收到的不是既有eur又有usd吗?

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