题目
Suppose the five-year fixed-rate borrowing costs to General Electric (GE) and Qantas Airways (QA) in U.S. dollars (USD) and Australian dollars (AUD) are given as shown in the table below:「huixue_img/importSubject/1564169525786710016.png」Although GE has a comparative advantage in the USD market, QA has a comparative advantage in the AUD market. However, GE wants (or is willing) to borrow Australian dollars and QA wants (or is willing) to borrow US dollars. The AUDUSD exchange rate is AUDUSD $0.80 (ie, $0.80 USD per 1.0 AUD) and both want to borrow AUD 20.0 million. The currency swap's financial intermediary will charge 20 basis points (0.20%) and can hedge its currency risk (put another way, the financial intermediary is willing to assume the currency risk). If GE and QA want to share equally the gains enabled by the swap, which of the following currency swap BEST achieves this?
选项
A.GE pays USD 5.60% and QA pays AUD 5.40%
B.GE pays AUD 5.60% and QA pays USD 5.40%
C.GE pays AUD 5.70% and QA pays USD 5.50%
D.GE pays AUD 6.10% and QA pays USD 5.90%
答案
C
解析
GE pays AUD 5.70% and QA pays USD 5.50%. The FI receives a net USD amount of $240,000=(5.50%-4.0%)×$16.0 million; and the FI pays a net amount of AUD 260,000=(7.0%-5.70%)×20.0 million. The value of the AUD 260,000 is USD $210,00, such that the FI collects $240,000-$210,000=$30,000 which is 0.0020×$16.0 million. In regard to false (B), this swap improves GE and QA each by 50 basis points but leaves nothing for the FIGE支付AUD 5.70%， QA支付USD 5.50%。FI收到的净美元金额为$240,000=(5.50% - 4.0%)×$16 million;而FI支付的净金额为AUD 260,000=(7.0%－5.70%)×20million。26万澳元的价值为21万美元（近似值），因此FI获得24万- 21万= 3万美元，即0.0020×1600万美元。关于B，这个互换提高了GE和QA各50个基点，但没有给FI留下任何东西。