国际金融第8章
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8-8
Exporter’s Futures Market Cross-Currency Hedge: Cash Flows at Maturity
Short position in 6 six-month euro futures on €125,00百度文库 at $1.50/€1
€750,000
$1,125,000
8-12
Importer’s Money Market Hedge: Cash Flows Now and at Maturity
Spot Foreign Exchange Market
€96,153.85 Importer $144,230.77 $148,557.69 $144,230.77
deposit i€ = 4%
Importer
Forward Contract Counterparty
Foreign Supplier
8-4
Forward Market Hedge: Exports
If you are going to receive foreign currency in the future, agree to sell the foreign currency in the future at a set price by entering into short position in a forward contract.
8-11
Importer’s Money Market Hedge
With this money market hedge, we have redenominated a one-year €100,000 payable into a $144,230.77 payable due today. If the U.S. interest rate is i$ = 3%, we could borrow the $144,230.77 today and owe $148,557.69 in one year. $148,557.69 = $144,230.77 × (1.03) €100,000 $148,557.69 = S($/€) (1+ i$)T T × (1+ i€) ×
U.S. Importer
Forward Contract Counterparty
Italian Supplier
8-6
Exporter’s Futures Market Cross-Currency Hedge
Country U.S. $ equiv. $2.0000 $1.9900 $1.9800 $2.0000 $2.1000 Currency per U.S. $ £ 0.5000 £ 0.5025 £ 0.5051 £ 0.5000 £ 0.4762
8-7
Exporter’s Futures Market Cross-Currency Hedge
The exporter has to convert the €750,000 receivable first into dollars and then into pounds. If we sell the €750,000 receivable forward at the six-month forward rate of $1.50/€, we can do this with a SHORT position in 6 six-month euro futures contracts. €750,000 6 contracts = €125,000/contract Selling the €750,000 forward at the six-month forward rate of $1.50 $1.50/€ generates $1,125,000: $1,125,000 = €750,000 × €1 At the six-month forward exchange rate of $2/£, $1,125,000 will buy £562,500. We can secure this trade with a LONG position in 9 six-month pound futures contracts: £ 562,500 9 contracts = £ 62,500/contract
Britain (£ 62,500) 1 Month Forward 3 Months Forward 6 Months Forward 12 Months Forward
Euro (€125,000)
1 Month Forward 3 Months Forward 6 Months Forward
€96,153.85
€100,000
Italia Bank
T= 1 cash flows
Supplier
U.S Bank
8-13
Exporter’s Money Market Hedge
Spot Foreign Exchange Market
€95,238.10 $119,047.62
Exporter
8-3
Forward Market Hedge: Imports
If you expect to owe foreign currency in the future, you can hedge by agreeing today to buy the foreign currency in the future at a set price by entering into a long position in a forward contract.
Exporter
Bicycles €750,000
Customer
Long position $1,125,000 in 9 six-month pound futures £ 562,500 on £ 62,500 at $2.00/£ 1
8-9
Importer’s Money Market Hedge
This is the same idea as covered interest arbitrage. To hedge a foreign currency payable, buy the present value of that foreign currency payable today and put it in the bank at interest. – Buy the present value of the foreign currency payable today at the spot exchange rate. – Invest that amount at the foreign rate. – At maturity your investment will have grown enough to cover your foreign currency payable.
$1.4700
$1.4800 $1.4900 $1.5000
€0.6803
€0.6757 €0.6711 €0.6667
12 Months Forward $1.5100 Sizes of forwards on this exchange are £62,500 and €125,000.
€0.6623
8-10
Importer’s Money Market Hedge
A U.S.–based importer of Italian bicycles owes €100,000 to an Italian supplier in one year. – The spot exchange rate is $1.50 = €1.00. – The one-year interest rate in Italy is i€ = 4%. – The importer can hedge this payable by buying €100,000 €96,153.85 = 1.04 and investing €96,153.85 at 4% in Italy for one year. At maturity, he will have €100,000 = €96,153.85 × (1.04). $1.50 Dollar cost today = $144,230.77 = €96,153.85 ×€1.00
Your firm is a U.K.based exporter of bicycles. You have sold €750,000 worth of bicycles to an Italian retailer. Payment (in euros) is due in six months. Your firm wants to hedge the receivable into pounds.
Exporter
Forward Contract Counterparty
Foreign Customer
8-5
Importer’s Forward Market Hedge
A U.S.-based importer of Italian shoes has just ordered next year’s inventory. Payment of €100M is due in one year. If the importer buys €100M at the forward exchange rate of $1.50/€, the cash flows at maturity look like this:
€95,238.10
Borrow i€ = 5%
Crédit Agricole
€100,000 $127,500.00
T= 1 cash flows
deposit i$ = 7.10%
An American exporter has just sold €100,000 worth of shoes to a French customer. Payment is due in one year. Interest rates in dollars are 7.10 percent in the U.S. and 5 percent in the euro zone. The spot exchange rate is $1.25/€1.00. Use a money market hedge to eliminate the exporter’s exchange rate risk.
chenxj@suibe.edu.cn
67703822
8-2
Chapter Outline
Forward Market Hedge Money Market Hedge Options Market Hedge Cross-Hedging Minor Currency Exposure Hedging Contingent Exposure Hedging Recurrent Exposure with Swap Contracts Hedging Through Invoice Currency Hedging via Lead and Lag Exposure Netting Should the Firm Hedge? What Risk Management Products Do Firms Use?
Management of Transaction Exposure
Chapter Eight
McGraw-Hill/Irwin
Copyright © 2012 by The McGraw-Hill Companies, Inc. All rights reserved.
Xiaojing Chen
Exporter’s Futures Market Cross-Currency Hedge: Cash Flows at Maturity
Short position in 6 six-month euro futures on €125,00百度文库 at $1.50/€1
€750,000
$1,125,000
8-12
Importer’s Money Market Hedge: Cash Flows Now and at Maturity
Spot Foreign Exchange Market
€96,153.85 Importer $144,230.77 $148,557.69 $144,230.77
deposit i€ = 4%
Importer
Forward Contract Counterparty
Foreign Supplier
8-4
Forward Market Hedge: Exports
If you are going to receive foreign currency in the future, agree to sell the foreign currency in the future at a set price by entering into short position in a forward contract.
8-11
Importer’s Money Market Hedge
With this money market hedge, we have redenominated a one-year €100,000 payable into a $144,230.77 payable due today. If the U.S. interest rate is i$ = 3%, we could borrow the $144,230.77 today and owe $148,557.69 in one year. $148,557.69 = $144,230.77 × (1.03) €100,000 $148,557.69 = S($/€) (1+ i$)T T × (1+ i€) ×
U.S. Importer
Forward Contract Counterparty
Italian Supplier
8-6
Exporter’s Futures Market Cross-Currency Hedge
Country U.S. $ equiv. $2.0000 $1.9900 $1.9800 $2.0000 $2.1000 Currency per U.S. $ £ 0.5000 £ 0.5025 £ 0.5051 £ 0.5000 £ 0.4762
8-7
Exporter’s Futures Market Cross-Currency Hedge
The exporter has to convert the €750,000 receivable first into dollars and then into pounds. If we sell the €750,000 receivable forward at the six-month forward rate of $1.50/€, we can do this with a SHORT position in 6 six-month euro futures contracts. €750,000 6 contracts = €125,000/contract Selling the €750,000 forward at the six-month forward rate of $1.50 $1.50/€ generates $1,125,000: $1,125,000 = €750,000 × €1 At the six-month forward exchange rate of $2/£, $1,125,000 will buy £562,500. We can secure this trade with a LONG position in 9 six-month pound futures contracts: £ 562,500 9 contracts = £ 62,500/contract
Britain (£ 62,500) 1 Month Forward 3 Months Forward 6 Months Forward 12 Months Forward
Euro (€125,000)
1 Month Forward 3 Months Forward 6 Months Forward
€96,153.85
€100,000
Italia Bank
T= 1 cash flows
Supplier
U.S Bank
8-13
Exporter’s Money Market Hedge
Spot Foreign Exchange Market
€95,238.10 $119,047.62
Exporter
8-3
Forward Market Hedge: Imports
If you expect to owe foreign currency in the future, you can hedge by agreeing today to buy the foreign currency in the future at a set price by entering into a long position in a forward contract.
Exporter
Bicycles €750,000
Customer
Long position $1,125,000 in 9 six-month pound futures £ 562,500 on £ 62,500 at $2.00/£ 1
8-9
Importer’s Money Market Hedge
This is the same idea as covered interest arbitrage. To hedge a foreign currency payable, buy the present value of that foreign currency payable today and put it in the bank at interest. – Buy the present value of the foreign currency payable today at the spot exchange rate. – Invest that amount at the foreign rate. – At maturity your investment will have grown enough to cover your foreign currency payable.
$1.4700
$1.4800 $1.4900 $1.5000
€0.6803
€0.6757 €0.6711 €0.6667
12 Months Forward $1.5100 Sizes of forwards on this exchange are £62,500 and €125,000.
€0.6623
8-10
Importer’s Money Market Hedge
A U.S.–based importer of Italian bicycles owes €100,000 to an Italian supplier in one year. – The spot exchange rate is $1.50 = €1.00. – The one-year interest rate in Italy is i€ = 4%. – The importer can hedge this payable by buying €100,000 €96,153.85 = 1.04 and investing €96,153.85 at 4% in Italy for one year. At maturity, he will have €100,000 = €96,153.85 × (1.04). $1.50 Dollar cost today = $144,230.77 = €96,153.85 ×€1.00
Your firm is a U.K.based exporter of bicycles. You have sold €750,000 worth of bicycles to an Italian retailer. Payment (in euros) is due in six months. Your firm wants to hedge the receivable into pounds.
Exporter
Forward Contract Counterparty
Foreign Customer
8-5
Importer’s Forward Market Hedge
A U.S.-based importer of Italian shoes has just ordered next year’s inventory. Payment of €100M is due in one year. If the importer buys €100M at the forward exchange rate of $1.50/€, the cash flows at maturity look like this:
€95,238.10
Borrow i€ = 5%
Crédit Agricole
€100,000 $127,500.00
T= 1 cash flows
deposit i$ = 7.10%
An American exporter has just sold €100,000 worth of shoes to a French customer. Payment is due in one year. Interest rates in dollars are 7.10 percent in the U.S. and 5 percent in the euro zone. The spot exchange rate is $1.25/€1.00. Use a money market hedge to eliminate the exporter’s exchange rate risk.
chenxj@suibe.edu.cn
67703822
8-2
Chapter Outline
Forward Market Hedge Money Market Hedge Options Market Hedge Cross-Hedging Minor Currency Exposure Hedging Contingent Exposure Hedging Recurrent Exposure with Swap Contracts Hedging Through Invoice Currency Hedging via Lead and Lag Exposure Netting Should the Firm Hedge? What Risk Management Products Do Firms Use?
Management of Transaction Exposure
Chapter Eight
McGraw-Hill/Irwin
Copyright © 2012 by The McGraw-Hill Companies, Inc. All rights reserved.
Xiaojing Chen