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huangxin0206 · 2022年11月27日

关于卖掉股票后的汇率风险如何对冲

NO.PZ2018111501000022

问题如下:

Testa acquireda Spanish packaging company. The Spanish investment involved Testa acquiring200,000 shares of a packaging company at EUR90 per share. He decided to fullyhedge the position with a six month USD/EUR forward contract. Details of theeuro hedge at initiation and three months later are provided in Exhibit 1.

Exhibit 1 2009 Spot and Forward USD/EUR Quotes (Bid-Oer) and Annualized Libor Rates

Using Exhibit1, if the Spanish shares had been sold after three monthshow 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-marketvalue 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。

你好,我想问一下,股票卖掉了,但是卖掉之后获得的还是欧元,那么,不是还是存在汇率风险吗?为什么要平仓呢。

1 个答案

Hertz_品职助教 · 2022年11月28日

嗨,努力学习的PZer你好:


同学你好

1.     外币资产是欧元的股票,当我们在3个月的时候把资产卖掉的时候,默认就是将获得的欧元按照当时市场的汇率转成了本币。

因为在3个月的时候卖掉外币资产是我们一开始没有预料到的,签订的合约是6个月到期的,3个月的时候将欧元转成美元只能按照当时的即期汇率转,这的确是有汇率风险的。

2.     之所以还需要平仓,是因为原来的合约是6个月的时候到期,也就是说锁定的是6个月的时候欧元转成美元的汇率,因此只有欧元股票在6个月的时候卖掉获得欧元,才需要这个汇率。现在3个月的时候股票就已经卖掉了,所以这个合约就不需要了,需要平仓平掉。

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