NO.PZ2022123002000020
问题如下:
Gehlot asks Chlapowski to
provide input regarding foreign exchange management. Chlapowski presents spot
and forward rates in Exhibit 3. She also states:
Statement 1: A positive roll yield could be created in Dong’s portfolio by
selling a USD/EUR forward contract.
Statement 2: A positive roll yield could be created in Dong’s portfolio by
selling a CHF/USD forward contract.
Exhibit 3 Spot and Forward Rates
Identify which of
Chlapowski’s statements is most likely to be correct based on the information
provided in Exhibit 3. Calculate the forward premium or discount for
each statement.
选项:
解释:
Correct Answer:
Statement 1 is
correct.
Dong’s portfolio
is 45% invested in German assets. USD/EUR is selling at a forward premium of 5.3%
compared to the current spot rate. Dong can sell the base currency at a higher
price than the current spot rate, creating a positive roll yield.
Forward premium =
(1.2/1.14) – 1 = 5.3%
Statement 2 is incorrect.
CHF/USD is not in
direct quote format, so the quote must be converted into a direct quote to calculate
forward premium or discount.
USD/CHF spot rate
= 0.99
USD/CHF six-month
forward rate = 0.952
USD/CHF is trading
at a discount of 3.83% and selling CHF would create a negative roll yield for
Dong’s portfolio.
Forward discount =
(0.952/0.99) – 1 = 3.83%
所以Statement 2里面应该是Sell USD/CHF,对吗?这样才可以判断出statement 2 incorrect。