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陈喵喵 · 2022年04月26日

这道题是否可以理解成虽然有currency swap，但借人民币，就要支付人民币利息？

  1. CFA III
  2. Derivative

NO.PZ2018113001000038

问题如下：

A US company needs to raise ￥20 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 RMB/UAD, 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 RMB of 0.6 million and receives interest in USD of 0.045 million

B.

interest in RMB 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 RMB 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

这道题是否可以理解成虽然有currency swap，但最终是借人民币，就要支付人民币利息？

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Hertz_品职助教 · 2022年04月27日

嗨，从没放弃的小努力你好：


同学你好~

可以哈。

美国的公司需要人民币，因此他发行了美元债融来了美元，然后通过互换换成需要的人民币。

这样的整个操作最终就是要实现手里有人民币的目的，而手里的人民币不能白用，必然是要支付对应的人民币利息。

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