NO.PZ2018111501000022
问题如下:
Testa acquired
a Spanish packaging company. The Spanish investment involved Testa acquiring
200,000 shares of a packaging company at EUR90 per share. He decided to fully
hedge the position with a six month USD/EUR forward contract. Details of the
euro hedge at initiation and three months later are provided in Exhibit 1.
Exhibit 1 2009 Spot and Forward USD/EUR Quotes (Bid-Offer) and Annualized Libor Rates
Using Exhibit 1, if the Spanish shares had been sold after three months,how would the manager do to close the initial transaction?
选项:
A.Sell EUR 18 million at spot.
B.Sell EUR 18 million three months forward.
C.Buy EUR 18 million three months forward.
解释:
C is correct.
考点:Mark-to-market value of Forward Contract
解析:
Testa现在持有18m的欧元股票,本币是USD,外币是EUR。
0时刻:持有外币EUR资产,担心外币EUR贬值,因此short forward on USD/EUR,期限为6个月,合约规模是18million。
3个月:这些欧元的股票被卖掉了,因此之前在0时刻签订的期限为6个月的forward合约,现在用不到了,需要平仓平掉,因此需要签反向头寸进行平仓。
又因为之前的合约还剩下3个月到期,因此我们的反向头寸的合约期限也应该是3个月,面值也仍然是18million。因此我们需要long 3个月到期的规模为18million的forward合约,选C。
本题表格中的数据都没有用到吗?能否讲一下表格中的数据在什么情况下使用,有些没看明白。