Fixed Income 原版书 Reading50 P311 第38题 principal, actually, currency, payments, correct

ohai

XX is considering a dual currency bond with coupon payments in euros and principal payment in Turkish Lira. He states that the bond would not have any currency exposure to the Turkish Lira until it matured and the Turkish Lira were actually paid.

38: Is the statement correct?
A. No, the bond has exposure to Turkish Lira from the date of purchase.
B. Yes, the bond has appreciation exposure to Turkish lira only at maturity
C.Yes, the bond has depreciation exposure to Turkish lira only at maturity

Key: A
请问老师，如果Turkish lira只有在最后才拿到，为什么之前会有Exposure呢?
谢谢!

apf陈老师

因为买入债券后每期收到的coupon是根据票面的土耳其币值乘以coupon rate得到土耳其计价的利息，然后按照汇率折算成euro，再支付给holder的。这其中，会有土耳其与欧元之间汇率的风险。

apf陈老师

我是这么认为的，不知道对不对

apf薛老师

楼上所说的是一个原因，另外，Turkish lira有potential exposure

apf薛老师

我觉得是因为一般把long term debt当作money liability 所以是有风险敞口的