结合发行bond和swap的净头寸来看期间只付了rmb利息，没有收到美元利息。题干哪里看到是问净头寸还是仅看swap呢？

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：

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

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

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

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1 个答案

李坏_品职助教 · 2025年05月09日

嗨，从没放弃的小努力你好：

你说的对，这个也是CFA出题的漏洞之一。。。

这道题其实题目没有说清楚到底是净现金流，但是只看swap，我们只能先看ABC选项，这里都提到了CNY和USD现金流，所以指的只能是仅仅看swap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！

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