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套期保值交易例题


Tek -- Italian account receivable
Tek wishes to hedge a 4,000,000 account receivable arising from a sale to Olivetti (Italy). Payment is due in 3 months. Tek’s Italian unit does not have ready access to local currency borrowing, eliminating the money market hedge alternative. Citibank has offered Tek the following quotes: Assumptions Account receivable due in 3 months, in euros () Spot rate ($/) 3-month forward rate ($/) 3-month euro interest rate 3-month put option on euros: Strike rate ($/) Premium, percent per year Tek's weighted average cost of capital Values 4,000,000.00 1.2000 1.2180 4.200% 1.2000 3.400% 9.800% a) Value b) Certainty?

What are the costs and risk of each alternative? 1. Do nothing and exchange euros for dollars at end of 3 months Amount of euro receivable If spot rate in 3 months is the same as the forward rate US dollar proceeds of receivable would be Amount of euro receivable If spot rate in 3 months is the same as the current spot rate US dollar proceeds of receivable would be 2. Sell euro receivable forward at the 3-month forward rate Amount of euro receivable forward rate US dollar proceeds of receivable would be 3. Buy a put option on euros Amount of euro receivable Current spot rate ($/euro) Premium on put option, % Cost of put option (amount x spot rate x percent premium) If the spot rate at end of 3-months is less than strike rate the option is exercised yielding gross dollars of Less cost of option (premium) plus US$ interest on premium Net proceeds of A/R if option is exercised (this is Minimum) Summary of Alternatives Do Nothing Sell A/R forward Buy Put Option c) If Tek wishes to play it safe, it should lock in the forward rate.

4,000,000.00 1.2180 $4,872,000.00 4,000,000.00 1.2000 $4,800,000.00

Very uncertain; Risky

Very uncertain; Risky

4,000,000.00 1.2180 $4,872,000.00

Certain; Locked-in

4,000,000.00 1.2000 3.400% $163,200.00 Minimum is guaranteed; could be greater. Certainty? Risky Certain Minimum

$4,800,000.00 (167,198.40) $4,632,801.60 Value $4,800,000.00 $4,872,000.00 $4,632,801.60

d) If Tek wishes to take a reasonable risk (definining 'reasonable' is another issue), and has a directional view that the dollar is going to depreciate versus the euro over the 3-month period, past $1.20/, then Tek might consider purchasing the put option on euros.


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