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蜗牛也是牛Megan · 2024年08月21日

为什么不是港币的互利率？

  1. CFA II
  2. Derivative

NO.PZ2023020101000016

问题如下：

Mehta, who is based in Hong Kong SAR and requires a €25,000,000 one-year bridge loan to fund operations in Germany. He wants to fund this loan at a competitive rate. Riley advises Mehta to borrow in HK dollars and enter into a one-year foreign currency swap to swap into euros. The current exchange rate is HK$9.15 per euro. Exhibit 1 below provides Hong Kong and euro spot interest rates and present value factors.

Exhibit 1: Hong Kong and Euro Spot Interest Rates

Based on the information in Exhibit 1, the annual fixed swap rate Mehta would pay is closest to：

选项：

A.

0.47%.

B.

0.92%.

C.

1.88%.

解释：

PV factors for Euro are provided along with an explanation of how they are calculated:

For example, PV(90) is calculated as follows:

11+0.00372∗90360=0.9991\frac1{1+0.00372\ast\frac{90}{360}}=0.9991

Other present value factors are calculated in a similar manner.

The fixed rate is calculated as follows:

1.0−0.99530.9991+0.9979+0.9967+0.9953=0.001178\frac{1.0-0.9953}{0.9991+0.9979+0.9967+0.9953}=0.001178

The annualized rate = 0.001178 × 4 = 0.004712.

Mehta to borrow in HK dollars and enter into a one-year foreign currency swap to swap into euros，不是说了借入的是港币吗？借入港币不是换了欧元，然后支付港币利息吗？

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1 个答案

pzqa35 · 2024年08月22日

嗨，从没放弃的小努力你好：


Mehta to borrow in HK dollars and enter into a one-year foreign currency swap to swap into euros——这句话的意思是，这个人本身在HK，所以他借HKD的话相比直接借欧元会有比较优势，所以他先借入HKD，然后再进入一个swap把这个HKD转换成欧元，因为他本身的目的是想要借欧元的。所以他的操作就是在现货市场借入港币，然后进入swap，把港币本金互换成欧元本金，那么在这个swap中，他就会收到港币的利息，用来偿还现货市场的港币利息，同时支付欧元的利息，这就相当于把港币的贷款转成了欧元的贷款。

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