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徐威廉 · 2022年05月30日

题干最后一句话

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.

中文解析:


上图描述了整个过程

需要注意的一点是,这里是有一个期初购买意大利债券,期间收到意大利债券的利息这样一个重要的操作的。

因为正是由于切实有这样的需要EUR购买意大利债券的需求,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EUR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EUR的问题。

问题表述的可能有些歧义,但他想问的是这个美国投资者的净头寸是怎样的。因为本题中basis是跟着美元的,所以对美元的需求增加,已经体现在了正的basis上了,即r_USD+basis。

当然如果题目说basis是跟着非美元的,即跟着EUR的,那么就是负的basis,即r_EUR-basis

”the US investor will most likely increase the periodic net interest payments received from the swap counterparty in:“题干最后一句话好拗口啊,可以翻译成什么?”美国投资者很有可能增加净支出从swap对手方那里收到的“, 到底是收到还是付出?

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已采纳答案

Hertz_品职助教 · 2022年05月31日

嗨,从没放弃的小努力你好:


同学你好

这道题目的问题哈,的确直接翻译过来的话真的是很拗口,而且不知道他在说些什么,其他同学也对此提出过疑问。

我们老师讨论过这个问题的表述是有些问题的,我们就意会一下他的意思,他其实想问的是这个美国投资者的净头寸是怎样的哈,也就是在支出和收到相互抵消后的头寸净额。

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NO.PZ2017121101000008 问题如下 A US institutioninvestor in searof yielcis to buy Italigovernment bon for her portfolio but wants to hee against the risk of exchange rate fluctuations. She enters a cross-currenbasis swap, with the same payment tes the bon, where inception she livers US llars in exchange for euros for use in purchasing the Italibon.Assume manfor US llars is strong relative to manfor euros, so there is a positive basis for “lenng” US llars. heing the position in Italigovernment bon with the currenbasis swap, the US investor will most likely increase the perioc net interest payments receivefrom the swcounterparty in: A.euros only. B.US llars only. C.both euros anUS llars. B is correct. heing the position in Italigovernment bon with the cross-currenbasis swap, the US investor will most likely increase the perioc net interest she receives in US llars. The reason is ththe perioc net interest payments ma the swcounterparty to the investor will inclu the positive basis resulting from the relatively strong manfor US llars versus euros.中文解析上图描述了整个过程需要注意的一点是,这里是有一个期初购买意大利债券,期间收到意大利债券的利息这样一个重要的操作的。因为正是由于切实有这样的需要EUR购买意大利债券的需求,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EUR的利息的,所以净头寸只剩下r_US+basis。即对这个美国投资者的净头寸分析中不涉及EUR的问题。问题表述的可能有些歧义,但他想问的是这个美国投资者的净头寸是怎样的。因为本题中basis是跟着美元的,所以对美元的需求增加,已经体现在了正的basis上了,即r_USbasis。当然如果题目说basis是跟着非美元的,即跟着EUR的,那么就是负的basis,即r_EUR-basis 投资者在本地发行了美元债券,也要付美元利息啊?这个应该在哪里体现啊,求解 谢谢老师

2024-01-01 19:58 1 · 回答

NO.PZ2017121101000008 你好,教材中提到(上面),basis是quoteon non-USleg。但是题目中的Basis是跟在了US面。 首先,可以为是跟着EUR的话negative basis么? 另外,这种情况下,仍然是paying the basis么 (如下面)? 跟进一步,pay/receive basis与basis的正负有没有关系?

2021-10-03 16:55 1 · 回答

NO.PZ2017121101000008 1、the US investor will most likely increase the perioc net interest payments receivefrom the swcounterparty in:q请问这句话是什么意思呢?为什么是在问期间付什么计价的利率呢? 2、positive basis 和这个问题是不是没有关系?如果是negative positive,firm想做currenbasis swap也必须在期间付美元利息的

2021-09-17 11:49 2 · 回答

NO.PZ2017121101000008 如果题目改成the US investor will most likely crease the perioc net interest payments paito the swcounterparty ----- 那就是Euro? 所以这道题看的是这个问题提问,也就是具体操作的方向? 如果是US investor receive 那就是算在US因为是借出去一笔US金将来收到R美元 +basis,但如果是US investor pay那就是支付利息方向,因为期初swap了外币借了欧元,所以可以在支付欧元的利息的基础上少支付一个basis 这样理解对吗?

2021-08-18 17:52 1 · 回答