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Mahoosive · 2023年01月10日

想请问，题目中提到的“raise CNY loans”和“issue USD bond”的位置我画的是对的吗？

  1. CFA III
  2. Derivative

NO.PZ2018113001000038

问题如下：

A US company needs to raise CNY20 million because it is planning an expansion into China. It wants to issue dollar-denominated bonds and converts the dollars to Chinese yuan by using a three-year currency swap with annual payments. Spot rate is 7 CNY/USD, the swap rate of US dollars is 2% and the swap rate of Chinese yuan is 3%. The US company pays (in millions):

选项：

A.

interest in CNY of 0.6 million and receives interest in USD of 0.045 million

B.

interest in CNY of 0.6 million and receives interest in USD of 0.057 million

C.

interest in USD of 0.057 million and receives interest in CNY of 0.6 million

解释：

B is correct.

考点：currency swap改变loan币种

解析：

期初交换本金：收到人民币本金=20 million，支付美元本金=20/7=2.8571 million

期间交换利息：支付人民币利息=20*0.03=0.6million，收到美元利息=2.8571*0.02=0.057milion

如题，想知道下图里这两笔的位置对吗？



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Hertz_品职助教 · 2023年01月10日

嗨，努力学习的PZer你好：


同学你好

期初这里哈：

正如我红黄线圈出来的地方，如果同学的意思是红线代表的是这个美国公司通过互换拿到人民币在中国市场扩张产业而发生的支出，那么这个箭头是没有问题的；

同理，黄线箭头是美国公司发行美国债券融资得到美元，用来在互换中交换人民币，那么这里的箭头也是没有问题的。

期间这里：

注意两个蓝线圈出来的数字是有问题的，因为题干说了美元是2%，人民币是3%。同学这里标反了哈，其他是没有问题的哦。

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努力的时光都是限量版，加油！

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