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蓝阿白 · 2021年04月08日

请帮助理解

Rika Björk runs the currency overlay program at a large Scandinavian investment fund, which uses the Swedish krona (SEK) as its reporting currency. She is managing the fund’s exposure to GBP-denominated assets, which are currently hedged with a GBP 100,000,000 forward contract (on the SEK/GBP cross rate, which is currently at 10.6875 spot). The maturity for the forward contract is December 1, which is still several months away. However, since the contract was initiated the value of the fund’s assets has declined by GBP 7,000,000. As a result, Björk wants to rebalance the hedge immediately. The GBP value of the assets has declined, and hence the hedge needs to be reduced by GBP 7,000,000. This would require buying the GBP forward to net the outstanding (short) forward contract to an amount less than GBP 100,000,000.
1 个答案

Hertz_品职助教 · 2021年04月09日

嗨,从没放弃的小努力你好:


同学你好~

Rika Björk这个人管理着一家大型的投资基金项目,这个基金使用瑞典克朗(SEK)作为报告货币(此处可以得知本币是SEK)。然后她现在管理着英镑GBP计价的资产,并且用100millionGBP的forward合约做了hedge (汇率表达形式是SEK/GBP,当前汇率是10.6875)。然后这个forward合约到期日是12.1,还有好几个月才到期。但是,从这个forward生效以来,该基金的资产价值已经下降了700万GBP。因此,不需要那么多合约了,Björk希望买入forward合约进行offset。

(大体含义:Rika Björk这个人本币是SEK,现在有一个外币GBP的资产,因此担心外币资产贬值, short 了SEK/GBP forward,但是合约还没到期的时候,外币资产已经下降了700万GBP,所以不需要那么多的forward合约了,需要对应的平仓掉资产下降对应的那部分forward合约。这就是这段话的主要意思哈~)

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