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Alice_090 · 2025年03月20日

借此题问一下讲义中关于"USD需求上涨,因此basis为负数"

NO.PZ2017121101000007

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. The notional principals on the swap are most likely exchanged:

选项:

A.

at inception only.

B.

at maturity only

C.

both at inception and at maturity.

解释:

C is correct.

In a cross- currency basis swap, the goals of the transaction are to achieve favorable funding and exchange rates and to swap the foreign currency amounts back to the currency of choice—in this case, the US dollar—at maturity. There is one exchange rate specified in the swap that is used to determine the notional principals in the two currencies, exchanged at inception and at maturity.

中文解析:

在交叉货币互换中,交易的目标是获得有利的资金和汇率,在期初和期末都需要进行货币的互换,且规定了期初和期末的时候交换名义本金的汇率是一样的。

在期间时候,对于dealer而言,是收到了Rjpy,付出Rusd

那么如果此时USD的市场需求更强烈,dealer不应该收到价值更高的R(此时basis为负数)才愿意付出USD么?请问老师,这样思考哪里错了

2 个答案

李坏_品职助教 · 2025年03月20日

嗨,从没放弃的小努力你好:


正是因为USD强势,既然期初都借给你那么多USD了,你收取外币利息的时候,就只能是按照负basis收利息了。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

李坏_品职助教 · 2025年03月20日

嗨,爱思考的PZer你好:


这个人期初是借出USD,借入了Euro,期间可以收取USD的利息。他的dealer是借入USD,借出Euro,期间可以收取Euro的利息。


如果此时USD需求很强,那么dealer借入了很强势的USD,那dealer就只能在收取的Euro利息上打折扣了(dealer收入了强势货币,理应有所让步),所以此时,按照USD / Euro这种汇率形式的basis应该是负数。

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加油吧,让我们一起遇见更好的自己!

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