NO.PZ2018113001000035
问题如下:
Consider a US-based VC firm that is calling down capital commitments and will receive CAD50 million in 30 days. The general partner decides to sell futures contracts to lock in the current USD/CAD rate. The hedge ratio is assumed to be equal to 1.
The price for the Canadian dollar futures contract is 0.7838 USD/CAD and the contract size of CAD100,000. To hedge its risk, the firm should:
选项:
A.
sell 500 future contracts.
B.
buy 500 future contracts.
C.
sell 50 future contracts.
解释:
A is correct.
考点:futures管理汇率风险
解析:
To hedge the risk of the Canadian dollar depreciating against the US dollar, the VC firm must sell
CAD 50,000,000/CAD 100,000=500 contracts
中文解析:
题干中说GP想通过卖出期货合约来锁定USD/CAD的汇率,加元期货的合约规模为CAD100,000。因此需要的合约份数为50millionCAD/100,000CAD=500份
这道题为啥不考虑,30天后收到50mCAD,担心CAD升值,因为就要用更多的本币USD去获得CAD了。为啥不考虑这个因素?