NO.PZ2022123002000002
问题如下:
Rosario Delgado is an
investment manager in Spain. Delgado’s client, Max Rivera, seeks assistance
with his well-diversified investment portfolio denominated in US dollars.
Rivera’s reporting
currency is the euro, and he is concerned about his US dollar exposure. His
portfolio IPS requires monthly rebalancing, at a minimum. The portfolio’s
market value is USD2.5 million. Given Rivera’s risk aversion, Delgado is
considering a monthly hedge using either a one-month forward contract or
one-month futures contract.
Assume Rivera’s
portfolio was perfectly hedged. It is now time to rebalance the portfolio and
roll the currency hedge forward one month. The relevant data for rebalancing
are provided in Exhibit 1.
Calculate the net cash flow
(in euros) to maintain the desired hedge. Show your calculations.
解释:
Correct Answer:
When hedging one
month ago, Delgado would have sold USD2,500,000 one month forward against the
euro. Now, with the US dollar-denominated portfolio increasing in value to
USD2,650,000, a mismatched FX swap is needed to settle the initial expiring
forward contract and establish a new hedge given the higher market value of the
US dollar-denominated portfolio.
To calculate the
net cash flow (in euros) to maintain the desired hedge, the following steps are
necessary:
1.
Buy USD2,500,000 at the spot
rate. Buying US dollars against the euro means selling euros, which is the base
currency in the EUR/USD spot rate. Therefore, the offer side of the market must
be used to calculate the outflow in euros.
USD2,500,000 × 0.8876
= EUR2,219,000.
2.
Sell USD2,650,000 at the spot
rate adjusted for the one-month forward points (all-in forward rate). Selling
the US dollar against the euro means buying euros, which is the base currency
in the EUR/USD spot rate. Therefore, the bid side of the market must be used to
calculate the inflow in euros.
All-in forward rate
= 0.8875 + (20/10,000) = 0.8895.
USD2,650,000 × 0.8895
= EUR2,357,175.
3. Therefore, the net cash flow is
equal to EUR2,357,175 – EUR2,219,000, which is equal to EUR138,175.
一个月之前难道没有用远期来short eur 吗?难道不是在一个月前用0.8913+25bp=0.8938来卖出欧元避险,然后现在到了要掉期的时候了应该用0.8876把250万欧元买回来,赚15500欧元,同时远端再以0.8895卖出265万欧元吗?答案怎么能用不同时间点的现金流做加减呢?