NO.PZ202208100100000403
问题如下：
HNW Worldwide Inc. (HNW) is a wealth management company located in Chicago that specializes in very-high- and ultra-high-net worth clients. Pierre Fournier, a currency specialist at the company, is reviewing the file of a long-time client, Alex Testa, an American. Testa is a former engineer in the plastics industry who has been very successful in identifying potential takeover candidates during the consolidation of the plastics and packaging industry that has been occurring since about 2001.
As US opportunities declined in the plastics industry, Testa began to consider foreign investments. In the fall of 2008, he acquired a position in a South African plastics processor. Although the foreign currency return on the investment was impressive, his domestic return was substantially negative because of the foreign currency change against the US dollar.
Testa’s association with HNW began in 2009 as he was about to undertake a position in a Spanish packaging company. Fournier used Testa’s description of his investment process to develop an investment policy statement (IPS) for him, which included the following objectives and constraints:
Testa fully believed in his investment process, which was to be the primary focus in generating investment returns.
Testa was not overly risk averse.
Only the major currencies against the US dollar were likely to be used for the next several years.
Currency exposure would usually not extend beyond a six-month period.
Negative currency moves were to be rebalanced monthly if they exceeded 3% of the initial exposure.
Currency options could be used selectively—only if a strong market view was held when rebalancing a hedged position that had already proved profitable.
The anticipated positions would not have any associated income or liquidity requirements.
The cost of any hedging strategies used should be minimized and not materially affect the otherwise unhedged asset return.
In regard to the anticipated currency movements related to the Spanish packaging company investment, Fournier told Testa that HNW was forecasting that the euro was likely to appreciate against the US dollar in the next six months.
Testa agreed with HNW’s assessment of the future course of the USD/EUR exchange rate. His conclusion was derived from assessing various analysts’ reports and was centered on the following three reasons:
real interest rates were higher in euro-based countries,
the potential default of several euro-based countries from their excessive debt loads would lead to strong support measures from the IMF and the European Central Bank, and
the US balance of trade deficit with euro-based countries had continued to decline in the past several years and was expected to continue to decline.
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. Three months after the purchase, the shares had increased to EUR100 each, but Testa, believing that a still higher price was likely, maintained the position. He also indicated that he did not anticipate having to roll the hedge forward at its maturity. Both he and Fournier believed that further appreciation of the euro was quite likely, and the increase in the notional size of the position was hedged using currency options. They based their choices on the information provided in Exhibit 2.
In 2014, Testa notified Fournier that he anticipated taking a position in a plastics producer located in India. Fournier warned him that the Indian rupee (INR) was a restricted currency and that currency management would not be as simple as in the other transactions handled previously. Fournier said that non-deliverable forwards (NDFs) on the rupee were available, as they were for the currencies of other developing countries. When asked how non-deliverable forwards differed from the contracts they had used in the past, Fournier responded:
NDFs are cash settled in the non-controlled currency of the currency pair,
NDFs have greater credit risk associated with them than outright forward contracts because the central banks in most developing countries are not as strong as they are in developed countries, and
the pricing of NDFs may differ from what is expected on the basis of arbitrage conditions.
In 2015, Testa informed Fournier that he had taken large positions in both a New Zealand firm and an Australian packaging firm. The positions were roughly equal in size in terms of the US dollar. Fournier informed Testa that the correlation between USD/AUD and USD/NZD was approximately 0.85. Given the size of the positions, Testa indicated that he wished to minimize any foreign exchange exposure.
Question
Using Exhibit 1, if the Spanish shares had been sold after three months, the cash outflow (in US dollars) required to close out the forward contract would have been closest to:
选项：
A.489,182.00 B.489,850.00 C.491,400.00解释：
B is correct.
The initial foreign asset position was EUR18 million: 200,000 shares × EUR90/share. The six-month forward contract would have been sold using the bid of the base currency (euro) at an all-in forward rate of 1.3935 – 19/10,000 = 1.3916 USD/EUR.
If the position had been closed in three months, a three-month forward contract would have to be purchased at the offer of the base currency at an all-in forward rate of 1.4210 – 21/10,000 = 1.4189 USD/EUR.
The cash outflow at settlement would have been EUR18 million × (1.4189 – 1.3916) USD/EUR = USD491,400. This amount needs to be discounted by three months at the US dollar Libor rate: 491,400/(1 + 0.01266 × 90/360) = USD489,850.
A is incorrect. The euro Libor rate is used to discount the settlement cash flow: 491,400/(1 + 0.01814 × 90/360) = USD489,182.
中文解析：
初始的外币资产头寸是18million的欧元（0.2million股*90欧元/股）。
因此一开始需要short forward on 欧元，期限是6个月，对应的远期汇率是1.3935 – 19/10,000 = 1.3916 USD/EUR。（此合约在到期的时候是卖欧元，收到美元）
那现在3个月的时候股票被卖掉了，所以原来的6个月期限的合约用不到了，需要平仓平掉。签反向对冲合约：long forward on欧元，期限是3个月，对应的远期汇率是1.4210 – 21/10,000 = 1.4189 USD/EUR。（此合约到期的时候是买欧元，支付美元）
那么在到期的时候（也就是再过3个月后），对应的cash outflow就是EUR18 million×(1.4189–1.3916)USD/EUR = USD491,400。
但现在是站在3时刻，因此需要在到期时候的金额USD491,400向前折现3个月，即：491,400/(1 + 0.01266 × 90/360) = USD489,850。
C is incorrect. It uses the settlement cash flow, ignoring any discounting: USD491,400.Solution
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.这句话的意思是不是：一家西班牙投资公司涉及特斯拉收购一家包装公司20万份股票，90欧每份。他决定使用远期合约完全hedge6个月头寸。
所以到底是担心欧元升值还是担心欧元贬值啊？好难判断说了个啥！
