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米妮涵 · 2023年05月21日

为什么不算三年的

  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

题目说是三年的swap啊

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1 个答案

pzqa31 · 2023年05月21日

嗨，努力学习的PZer你好：


a three-year currency swap with annual payments，按年付息，期间的利息就是按年支付，答案指的就是每年交换多少利息，没问题啊。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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