来自：FRM > 一级 > Financial Markets and Products 2020-10-16 20:40
最终答案是A，老师能详解一下这道题吗
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牛奶煎茶
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1909天前
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牛奶煎茶
提问
66
上次登录
1909天前
jason 2020-11-03 10:17
致精进的你:
同学，Assuming no default risk, the domestic return is 7.35%. The return on the UK investments is: (USD$2,000,000)/(USD1.62GBP) = GBP1,234,568, which turns into GBP 1,234, 568×1.08 = GBP 1,333,333 one year from now. Since the forward contract guarantees the exchange rate in the future, this translates into GBP1,333,333×USD1.5200/GBP = USD2,026,666. This is a dollar return to the bank of USD2,026,666/ USD2,000,000-1 = 1.33%. Hence, the weighted average return to the bank’s investments is (0.5)×(7.35%) + (0.5)×(1.33%) = 4.34%. Since the cost of funds for the bank is 5.5%, the net interest margin for the bank is 4.34-5.50 = -1.16%.
The real talent is resolute aspirations.
真正的才智是刚毅的志向。
