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jerrywongcn · 2023年02月13日

收购伦敦公司的疑问

NO.PZ2022123002000025

问题如下:

Evelyn Weismann, a CFA Level I candidate, is a research analyst at Bay Area Investments, which specializes in derivatives and currency management. Bluerock Holdings, a US-based firm and an institutional client of Bay Area, is looking to increase its footprint in international markets. Bluerock is in the process of conducting due diligence to acquire Concord Associates, which is domiciled in London. Concord Associates has overall holdings amounting to GBP 400 million. Liam Mason, CEO of Bluerock, meets with Weismann and expresses his intention to mitigate the GBP currency risk before closing on the acquisition of Concord. Weismann makes the following three recommendations:

Recommendation 1: Implement an ATM call option on GBP/USD to protect the exposure against appreciation of the base currency.

Recommendation 2: Implement a risk reversal strategy by buying an ATM GBP/USD call option and buying an OTM GBP/USD put option.

Recommendation 3: Use a knock-in/knock-out option to receive an all-or-none asymmetric payoff when the exchange rate touches a pre-specified level.

Which of Weismann’s recommendations is most likely correct?

选项:

A.

Recommendation 1

B.

Recommendation 2

C.

Recommendation 3

解释:

Correct Answer: A

Recommendation 1 is correct.

If the base currency, USD, is appreciated against GBP, then the Concord Associates’ holdings of GBP 400 million will buy fewer USD in the future when the acquisition is completed.

The hedge is implemented in protecting against an appreciation of the base currency of the P/B quote, the USD. The hedge is established with an ATM call option (a long position in the USD).

P/B refers to the price of one unit of the base currency, “B,” expressed in terms of the price currency, “P.”

Recommendation 2 is incorrect.

Risk reversal, also referred to as a collar strategy, is created by buying stock and by simultaneously buying puts to protect the position against downside risk and selling calls to offset the cost.

Recommendation 3 is incorrect.

All-or-none asymmetric payoff is characteristic of a binary option and not a knock-in/knock-out option.

请问为收购伦敦公司不是应该担心GBP升值吗?谢谢

1 个答案

Hertz_品职助教 · 2023年02月14日

嗨,努力学习的PZer你好:


同学你好

我明白同学的意思哈,这道题目,根据题干意思好像是在说要去收购一家英国的公司,所以应该担心的英镑升值,在这个逻辑下的理解是没有问题的。

但是具体做题的时候发现是担心英镑贬值的。

这主要是题目表述的不太好哈,因为咱们做外汇管理,肯定是持有外币资产才需要管理,所以对应这里是假设已经收购了这家英国的公司,就相当于持有了英镑的资产,将来会sell GBP, 所以担心英镑贬值,当然对应的就是担心美元升值了。

这是一道mock题目,它表达的不好,同学有疑惑很正常,但是考试的时候不会有这种分不清的情况哈。

另外可以看到在咱们外汇管理的题目中,几乎所有的情况都是持有外币资产,然后担心外币贬值这样子;那什么情况下会有担心外币升值的情况呢?可以考虑这种情况就是当我们有外币负债的时候,意味着我们最后需要拿到外币来偿债,这种情况下我们是担心外币升值的,但是这种情景目前并没有见过哈。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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