（2024N）LM3 Currency Management: An Introduction

A trader enters a short three-month non-deliverable forward on 2,000,000 CNY at CNY/USD 6.1155. At the end of the period, the spot exchange rate is USD/CNY 0.1612. The trader’s gain or loss is closest to:

A  USD 4,600 loss.

B  USD 4,700 loss.

C  USD 4,650 gain.

答案：

C

An NDF settles in the developed market currency; however, the information is presented in a mixture of CNY/USD and USD/CNY which requires additional steps:

Determine the size of the trade in USD at the forward exchange rate:

CNY 2,000,000 / (CNY/USD 6.1155) = USD 327,037.85

Determine the G/L on the USD position in CNY. The two exchange rates need to be in CNY/USD.

Ending spot exchange rate USD/CNY 0.1612 is CNY/USD 6.20347.

G/L = (CNY/USD 6.20347 − 6.1155) × 327,037.85 = CNY 28,769.52

Determine the G/L in USD based on ending spot exchange rate is:

G/L = CNY 28,769.52 × USD/CNY 0.1612 = USD 4,637.65

The CNY was shorted at CNY/USD 6.1155 and declined in value to CNY/USD 6.20347 producing a gain on the trade of USD 4,637.65.