第三章--外汇风险管理之二aa

1第三章外汇风险管理ExchangeRateRiskManagement第一节外汇风险的涵义DefinitionofExchangeRateRisk第二节交易风险及管理方法TransactionExposureManagement第三节经济风险与折算风险EconomicandTranslationExposure第四节外汇风险管理策略StrategyofExchangeRateRiskManagement案例分析:第八章Blades,inc.caseP236,10月10日讨论2TodiscusstherelevanceofanMNC’sexposuretoexchangeraterisk;Toexplainhowtransactionexposure，economicexposure，translationexposurecanbemeasured;Toidentifythecommonlyusedtechniquesforhedgingtransactionexposure;ChapterObjectives3第一节外汇风险的涵义DefinitionForeignexchangeexposureisameasureofthepotentialforafirm’sprofitability,netcashflow,andmarketvaluetochangebecauseofachangeinexchangerates.指一个经济实体或个人，在涉外经济活动中（如对外贸易、国际交流等）因外汇汇率的变动，使其以外币计价的资产或负债价值涨跌而蒙受损失的可能性。4第二节交易风险及管理方法TransactionExposureManagementTransactionexposureexistswhenthefuturecashtransactionsofafirmareaffectedbyexchangeratefluctuations.Iftransactionexposureexists,theMNCshould1、identifythedegreeoftransactionexposure,2、decidewhethertohedgeandhowmuchtohedgebasedonitsdegreeofriskaversionandexchangerateforecasts,and3、chooseamongthevarioushedgingtechniquesavailableifitdecidestohedge.5AnMNC’soverallexposurecanbeassessedbyconsideringeachcurrencypositiontogetherwiththecurrency’svariabilityandthecorrelationsamongthecurrencies.AnMNC’soverallexposurecanbeassessed6TechniquestoEliminateTransactionExposureHedgingtechniquesinclude:Futureshedge,Forwardhedge,Moneymarkethedge,andCurrencyoptionhedge.MNCswillnormallycomparethecashflowsthatcouldbeexpectedfromeachhedgingtechniquebeforedeterminingwhichtechniquetoapply.HedgingPayablesHedgingReceivablesFuturesPurchasecurrencySellcurrencyhedgefuturescontract(s).futurescontract(s).ForwardNegotiateforwardNegotiateforwardhedgecontracttobuycontracttosellforeigncurrency.foreigncurrency.MoneyBorrowlocalBorrowforeignmarketcurrency.Convertcurrency.Converthedgetoandtheninvesttoandtheninvestinforeigncurrency.inlocalcurrency.CurrencyPurchasecurrencyPurchasecurrencyoptioncalloption(s).putoption(s).TechniquestoEliminateTransactionExposure交易风险管理方法TechniquestoEliminateTransactionExposureFuturesHedgeForwardHedgeMoneyMarketHedgeCurrencyOptionHedgeCalculatingtheRealCostofHedgingDeterminingtheOptimalHedgeHedgingLong-TermTransactionExposureLong-TermForwardContractCurrencySwapParallelLoanAlternativeHedgingTechniquesLeadingandLaggingCross-HedgingCurrencyDiversificationInternationalFinancialManagementCaseStudy:Blades,Inc.CaseChapters11ManagingTransactionExposureP2361.ExportSpeedostoBritishRetailer200,000pairsat￡80/pairfor2years,mayrenewcontract.2.ContinueexportSpeedostoThailandEntertainmentProducts180,000pairsatThaiBaht4594，2yearsmayrenewcontract3.ImportsfromThailandmaterialsforSpeedosenoughtoproduce72,000pairs.Pricesnotfixed,adjustabletomarketprices,nowatThaiBaht3,000.4.Exportquarterlyeach50,000toBritishRetailer,45,000toThaiEntertainmentProducts,paymentmadeonfirstdayofJan.Apr.July.Oct.5.Importsquarterlyeach18,000materialfromThailand.Earlypayment,Beneficial,Why?IdentifyTheHedgingtechniquemostappropriateforBlades.ThailandUnitedKingdomCurrentspotrate$0.0230$1.500090-dayforwardrate$0.0215$1.4900PutoptionPremiumNotavailable$0.0200PutoptionexercisepriceNotavailable$1.4700CalloptionpremiumNotavailable$0.0150CalloptionexercisepriceNotavailable$1.480090-dayborrowingrate(nonannulized)4.00%2.00%90-daylendingrate(nonannulized)3.50%1.80%BritishCallandPutoptionsareavailablefor￡31,250peroptionProbabilitySpotRateforSpotRatefor￡in90DaysBahtin90Days5%$1.45$0.020020%$1.47$0.021330%$1.48$0.021725%$1.49$0.022015%$1.50$0.02305%$1.52$0.0235UnitedStatesBorrowingandLendingrates90-dayborrowingrate(nonannualized)2.30%90-daylendingrate(nonannualized)2.10%1.Usingaspreadsheet,comparethehedgingalternativesfortheThaiBahtwithascenariounderwhichBladesremainsunhedged.DoyouthinkBladesshouldhedgeorremainunhedged?IfBladesshouldhedge,whichhedgeismostappropriate.Basedontheanalysis,itappearsthatBladesshouldhedgeitsbahtexposure.ThemoneymarkethedgeappearstobethemostappropriateforBlades,becauseitresultsinthehighestdollarvalueforthenetbahtinflows.Thereisonlya20percentchancethatremainingunhedgedwillresultinahigherdollaramounttobereceivedin90days.Baht-denominatedoutflowPairsmanufactured18,000.00Xestimatedcostperpair3,000.00=Numberofbahtneededin90days54,000,000.00Netinflowinbahtanticipatedin90days152,730,000.00CalculationofNetBahtPaidorReceivedin90days:Baht-denominatedinflow:pairssold45,000.00XPriceperpair4,594.00=Numberofbahtreceivedin90days206,730,000.00MoneyMarketHedge:borrowbaht,convertto$,invest$,usereceivablestopayoffloanin90daysamountinbahtborrowed152,730,000/1.04146,855,769.23Dallarsreceivedfromconvertingbaht(146,855,769.20x$0.023)3,377,682.69Dollarsaccumulatedafter90days(3,377,682.69X1.021)3,448,614.03ForwardHedge:Sellbaht90daysforward:Baht-denominatedcashflow152,730,000.00XForwardrateofbaht0.0215=Dollarstobereceivedin90days3,283,695.00RemainunhdegedPossibilityPossiblesportratein90daysTotaldollarsreceivedfromConvertingBaht5%$0.0200$3,054,60020%$0.0213$3,253,14930%$0.0217$3,314,24125%$0.0220$3,360,06015%$0.0230$3,512,7905%$0