NO.PZ201601050100002002
问题如下：
A Japanese benefactor recently donated a plot of land in Japan to the Sanctuary.
Ownership of the land has been transferred to the Sanctuary, which has a binding
contract to sell the property for JPY500,000,000. The property sale will be completed
in 30 days. The Sanctuary’s CFO wants to hedge the risk of JPY depreciation using
futures contracts. The CFO assumes a hedge ratio of 1.
Describe a strategy to implement the CFO’s desired hedge.
选项：
解释：
The Sanctuary’s CFO can use currency futures contracts to lock in the current
LLD/JPY exchange rate. The CFO can hedge the Sanctuary’s exchange rate risk
by selling JPY futures contracts with the closest expiry to the expected future
JPY inflow. When the futures contracts expire, the Sanctuary will receive (pay)
any depreciation (appreciation) in JPY relative to LLD (when compared with the
original LLD/JPY futures contract price). The CFO can determine the number
of contracts needed by dividing the property’s sale price of JPY500,000,000 by
the JPY futures contract value. Because the hedge ratio is assumed to equal 1,
the changes in futures and spot prices will be equal during the life of the futures
contract, and so the hedge will be fully effective.
中文解析：
首席财务官可以使用货币期货合约来锁定当前LLD/日元汇率。
通过卖出与预期未来日元流入期限最近的日元期货合约来对冲避难所的汇率风险。
当期货合约到期时，避难所将收到(支付)任何相对于LLD的日元贬值(升值)(与原始LLD/日元期货合约价格相比)。
首席财务官可以通过将房地产5亿日元的销售价格除以日元期货合约价值来确定需要的合约数量。
又因为套期保值比率假设为1，期货和现货价格的变化在期货合约的有效期内是相等的，所以套期保值是完全有效的。
Sanctuary
