NO.PZ2018111501000015
问题如下:
Raymond, a US analyst, is managing a fund with EUR-denominated assets. The assets are currently hedged by a EUR 500,000 forward contract. The maturity of the forward is March 1, that is three-months away from today. Due to the market condition changes, the assets have increased by EUR 20,000. Assume the USD/EUR spot rate is 1.1338, to rebalance the USD/EUR hedge, Raymond should:
选项:
A.sell EUR 20,000 spot
B.sell a EUR 20,000 three-month forward
C.sell a USD 22,676 three-month forward
解释:
B is correct.
考点:Tools of Currency Management: Forward
解析:动态对冲,在建立对冲机制后,会定期调整对冲比例,实现更好的对冲效果。方法之一是应当针对增值部分签订三个月的远期合约,所以A错
B正确。本币是USD,外币是EUR,因此担心外币EUR贬值,需要short forward on EUR。现在资产规模增加了20,000欧元,因此需要针对增加的20,000欧元头寸再次签订short forward头寸,这种方法投资者手上会同时持有多份合约。
C错误,如果是forward on USD,应该是 long a USD 22,676 three-month forward,此处头寸方向错了。
这个题要求我们进行rebalance,那么现在情况是现货spot 升值2万欧元,一种方法是用forward合约对冲掉,还有一种我感觉也可以,就是用A,既然现货升值2万,索性做空2万的现货,这样资产保持不动,就不用做额外的对冲了,而且这样做还比B更好一些,因为这2万的现货可能3个月后就不是2万了,B的对冲并不是fully hedge,而A选线可以说是完美对冲,增值2万,直接卖掉,这样这2万的升值部分以后怎么样都无所谓了