靜同學(xué)
2023-11-13 10:53老師 這種題目還是不會(huì) grand是收港幣支歐元吧，答案為什么是用歐元減港幣呢。焦慮
所屬：CFA Level II > Derivatives 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個(gè)回答
Evian, CFA助教
2023-11-15 10:53
該回答已被題主采納
ヾ(?°?°?)??你好同學(xué)，
Grand需要借入歐元在德國(guó)用于運(yùn)營(yíng)的，但是他希望找到一種成本更低的融資方式。
所以才建議他進(jìn)入一個(gè)貨幣互換，在互換合約中：
期初先去借入成本低的港幣 ：HK$285,500,000，并且按照期初的匯率付給對(duì)手€250，000，00歐元。所以這個(gè)人后期要支付港幣借款的利息，然后收取歐元€利息，最后期末再還HK$港幣本金，并收回歐元€本金。
題目（如下截圖紅色）里面說的borrow HKD可以理解為currency swap期初t=0的本金互換的一部分，借入HK$本金收到HK$本金的現(xiàn)金流。
這個(gè)題目確實(shí)容易讓人迷惑
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追答
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問題如下：
Whitney meets with Grand Manufacturing. This client is based in Hong Kong but requires a €25,000,000 one-year bridge loan to fund operations in Germany. Grand Manufacturing is currently able to borrow euros at an interest rate of 3.75% but wonders if there is a less expensive alternative. Whitney advises Grand to borrow in HK$ and enter into a one-year foreign currency swap with quarterly payments to receive euros at a fixed rate and pay HK$ at a fixed rate. The current exchange rate is HK$11.42 per €1, and the notional amounts will be exchanged at initiation and at maturity.The annualized rate is 2.3181% for Euros and 1.8550% for HK$.
Ninety days have passed since Whitney’s initial meetings, and in the interim interest rates have increased dramatically. Whitney’s clients have asked to meet with her to review their positions.
In order to prepare for the meeting, Whitney has obtained updated interest rate data that is presented in Exhibit 2. -
追答
Note: Euribor is Euro Interbank Offered Rate. Hibor is the Hong Kong Interbank Offered Rate. All rates shown are annualized
Using the data in Exhibit 2, the market value of Grand Manufacturing’s swap after 90 days is closest to:
選項(xiàng)：
A.–€4,103,142
B.€2,701,178
C.–€3,625,900
解釋：
Grand borrows HK$285,500,000 and exchanges it for €25,000,000 based on the initial exchange rate of HK$11.42 per euro.
Grand will pay an interest rate of 1.8550% on the borrowed HK dollars and earn 2.3181% on the lent/invested euros.
Ninety days into the swap, the exchange rate is HK$9.96, and the PV factors are:
0
0
0
0
