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wangda · 2021年10月03日

About basis

NO.PZ2017121101000008

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.

Assume demand for US dollars is strong relative to demand for euros, so there is a positive basis for “lending” US dollars. By hedging the position in Italian government bonds with the currency basis swap, the US investor will most likely increase the periodic net interest payments received from the swap counterparty in:

选项:

A.

euros only.

B.

US dollars only.

C.

both euros and US dollars.

解释:

B is correct.

By hedging the position in Italian government bonds with the cross-currency basis swap, the US investor will most likely increase the periodic net interest she receives in US dollars. The reason is that the periodic net interest payments made by the swap counterparty to the investor will include the positive basis resulting from the relatively strong demand for US dollars versus euros.


你好,教材中提到(上面),basis是quoted on non-USD leg。但是题目中的Basis是跟在了USD后面。

首先,可以解释为是跟着EUR的话negative basis么?

另外,这种情况下,仍然是paying the basis么 (如下面解释)?



跟进一步,pay/receive basis与basis的正负有没有关系?

1 个答案
已采纳答案

Hertz_品职助教 · 2021年10月04日

嗨,爱思考的PZer你好:


同学你好~

我们分两部分来说明哈、

一 先看本题

为了方便理解,我画了图进行说明

(1)分为期初和期间。

期初,美国投资者通过swap换进来EUR,然后去买意大利的债券

期间,收到意大利债券的利息(以EUR计价);swap中也会收到美元的利息和付出EUR的利息

(2)整个头寸来看,EUR的利息会被net掉,只剩下r_USD。

又因为现在对美元的需求增加,一开始这个投资者借出去的这个美元就会收到更高的利息,即有一个positive basis。(可以这样理解:市场上对美元的需求增加,对手方为了能够拿到互换中的美元,就需要支付给这个美国投资者更高的利息才可以),所以答案选择B。

Basis的问题,主要看这个basis是跟着美元还是非美元的。像本题他说是正的basis,则肯定是跟着美元的,因为美元的需求变强了;但是题目如果说这个basis是负数,那么这个basis就要跟着非美元了。其实basis正负并没有实质性的关系,主要还是看我们收付的币种是什么,以及题目说basis是跟着美元还是非美元的。这类题目的重点是把期初和期末的图画清楚哈

不论basis正负,这个美国的投资者都是想用美元换欧元,期间和期初的货币支付方向都是不变的。

二 我们看一下讲义的表述哈

为了理解起来方便,我还是画了个图,我们对照这个图来理解一下哈

1.     首先呢,讲义中说了这个basis是跟着非美元一端的,然后他说支付basis意味着咱们是借出去了美元,借进来了非美元“borrow the other currency,lending US dollar”

2.     然后根据下面的图,看看是不是这样的呢。这个cross-currency basis swap在期初是要交换本金的,按照讲义描述我们是付出去美元收到其他某币种(图中的小人代表我们哈)

3.     然后期间才会涉及basis的问题,在期初借出去了美元,期间就会收到美元的利息;期初借进来非美元就需要支付非美元的利息(看图中的箭头指向哈),又因为basis是跟着非美元的,所以我们支出非美元的利息同时就是在支出basis了,就是paying basis

4.     反之亦然,如果是期初借进来美元借出去非美元,则期间就会收到非美元的利息,basis跟着非美元,也就是会收到basis了。


(最后,basis跟着美元还是非美元经过我们上面的分析,其实是都可以的,只是多跟着非美元,但是具体到题目还是哟啊看题目说是跟着哪一端的哈~)


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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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