Money Market Hedge：货币市场套期保值.ppt

Futures Market Cross-Currency Hedge Your firm is a U.K.-based exporter of bicycles. You have sold €750,000 worth of bicycles to an Italian retailer. Payment (in euro) is due in six months. Your firm wants to hedge the receivable into pounds. Sizes of forward contracts are shown. Futures Market Cross-Currency Hedge: Step One You have 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. Futures Market Cross-Currency Hedge: Step Two Selling the €750,000 forward at the six-month forward rate of $1.50/€ generates $1,125,000: Money Market Cross-Currency Hedge Your firm is a U.K.-based importer of bicycles. You have bought €750,000 worth of bicycles from an Italian firm. Payment (in euro) is due in one year. Your firm wants to hedge the payable into pounds. Spot exchange rates are $2/￡ and $1.55/€ The interest rates are 3% in €, 6% in $ and 4% in ￡, all quoted as an APR. What should you do to redenominate this 1-year €-denominated payable into a ￡-denominated payable with a 1-year maturity? Money Market Cross-Currency Hedge Sell pounds for dollars at spot exchange rate, buy euro at spot exchange rate with the dollars, invest in the euro zone for one year at i€ = 3%, all such that the future value of the investment equals €750,000. Using the numbers we have: Step 1: Borrow ￡564,320.39 at i￡ = 4%, Step 2: Sell pounds for dollars, receive $1,128,640.78 Step 3: Buy euro with the dollars, receive €728,155.34 Step 4: Invest in the euro zone for 12 months at 3% APR (the future value of the investment equals €750,000.) Step 5: Repay your borrowing with ￡586,893.20 Money Market Cross-Currency Hedge Where do the numbers come from? Exposure Netting Many multinational firms use a reinvoice center. Which is a financial subsidiary that nets out the intrafirm transactions. Once the residual exposure i