标题: Fixed Income 原版书 Reading50 P311 第38题 [打印本页]

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作者: kim226    时间: 2013-8-19 10:23     标题: Fixed Income 原版书 Reading50 P311 第38题

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!

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作者: yodacaia    时间: 2013-8-19 10:24

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。

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作者: jcfa2011    时间: 2013-8-19 10:25

我是这么认为的，不知道对不对

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作者: liquidity    时间: 2013-8-19 10:26

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

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作者: cjs238    时间: 2013-8-19 10:27

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

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