讲义汇总afmruth单部分2021mj q

2021MJQ3AdviseGogarthCoon,andmend,anappropriatehedgingstrategyforitsUS$cashflowson31August.Includerelevantcalculations.15DiscusstheadvantagesanddisadvantagesforGogarthCoinusingexchange-tradedcurrencyoptionscomparedwithusingover-the-countercurrencyoptions. (5marks)DiscusstheroleofGogarthCo'streasuryfunctioninrelationtothemanagementofeconomicrisk.(5marks)2021MJQ3Exhibit1:GogarthCo’scurrencyriskGogarthCoisanelectricalequipmentmanufacturer,basedinMalaysia,lookingtodevelopitsoperationsabroad.OneofitsbiggestsalesmarketsistheUSAandGogarthCoalsoimportscomponentsfromtheUSA.GogarthCoregularlyhedgestransactionsinforeigncurrencies.Itiscurrently1May.On31August,GogarthCoisduetopay$14,500,000toanAmerican randreceive$37,400,000fromanAmericanNet$37,400,000-$14,500,000=2021MJQ3ThefollowingquotationshavebeenExchangerates(quotedasUSdollarperMalaysianRinggitFourmonths

0.2355- ： ：sell$buyCC:Currencyfutures(contractsizeMR500,000,futurespricequotedCC:SpotSpotbuyLongpostiononfuture，call

Futuresprice2021MJQ3Currencyoptions(contractsizeMR500,000,exercisepricequotedasUS$/MR1,premium:UScents/MR1)Exerciseprice

Futuresandoptionscontractsmatureatthemonthend.Thenumberofcontractstobeusedshouldberoundedtothenearestwholenumberincalculations.Iftheamountcannotbehedgedusinganexactnumberoffuturesoroptionscontracts,theamountunhedgedorover-hedgedshouldbehedgedusingtheforwardmarket.Forthepurposesofthecalculations,itshouldbeassumedthattheoptionsareexercised.2021MJQ3Exhibit2:BoardqueriesaboutriskTheheadofGogarthCo'streasuryfunctiongaveapresentationaboutthetreasuryfunctionandwhatitdoestomanageforeignexchangeriskatthelastboardmeeting.Directorshavesubsequentlyraisedtwoquestions:ThemarketingdirectorhasaskedwhetherGogarthCoshouldconsiderusingover-the-countercurrencyoptionstohedgeexchangeraterisk.Anewnon-executivedirectorhasstatedthatheunderstandswhatthetreasuryfunctiondoesinrelationtothemanagementoftransactionrisk,butisunclearonthetreasuryfunction'sroleinthemanagementofeconomicrisk.Solution:(a)Forexriskhedging(1)ForwardNetreceiptonAug$37,400,000–$14,500,000=Forward$22,900,000/0·2374=净 ForwardMRbuySolution:(a)Forexriskhedging(2)FuturesBuyMRSeptemberAssumethatbasisreducestozeroatcontractmaturityinalinearfashion.Predictedfuturesrate=0·2366+([0·2378–0·2366]x2/3)=0·2374Alternatively,usespotrate,0·2358+([0·2378–0·2358]x4/5)=0·2374Expectedreceipt=$22,900,000/0·2374=MR96,461,668Numberofcontracts=MR96,461,668/MR500,000=192·9,say193Amountover-hedged=(500,000x193x$0·2374)–$22,900,000=$9,100Paymentatforwardrate=$9,100/0·2370=MR38,397买多了，这里用Forward买多了，这里用ForwardMRsellSolution:(a)Forexriskhedging(2Futures eFutures(500,000xPaymentonforward(38,397Solution:(a)Forexriskhedging2)FuturesStep1.TheeffectiveCurrentfuture+ClosingStep2.Noof=AmountofnonCC/Effectiverate/Contract=$22,900,000/0·2374/MR500,000=192·9,sayExpectedreceipt=193*MR500,000=Solution:(a)Forexriskhedging2)FuturesStep3.forward(over买多了，这里用ForwardMRsellAmountover-hedged=(500,000*193*$0·2374)–$22,900,000买多了，这里用ForwardMRsellStep4NetMR96,500,000–MR38,397=Solution:(a)Forexriskhedging(2)FuturesStep1:SetupBuyorSell:SpotMarket:

CCBuyBuyCCfutureopenfuturerateNoof=AmountofnonCC/Effectiverate/Contract=$22,900,000/0·2374/MR500,000=192·9,saySolution:(a)Forexriskhedging(2)FuturesStep ySpotrate

Profit/ForwardrateMRBuy1stOpenbasis=0.2358-0.2378=2ndClosingbasis=(0.0020)*1/5=3rdClosingfutureprice=0.2374-(0.0004)=Solution:(a)Forexriskhedging(2)FuturesStep3.Profitorloss(Nil)Step4.ThecashflowsActualreceiptsatspotrateatdateof$22,909,100(193手）/0·2374ForwardrateProfitonfutureLessover-hedgedlockedatforwardsellrate(500,000x193x$0·2374)–$22,900,000=$9,100$9,100/0·2370Thecash

MREffectiverate=$22,900,000/MR96,461,603=$/MRSolution:(a)Forexriskhedging(2)FuturesStep5.TheeffectiveCurrentfuture+ClosingSolution:(a)Forexriskhedging(3)OptionsPurchaseMRSeptembercallReceipt=$22,900,000/0·2368=Numberofcontracts=MR96,706,081/MR500,000=193·4contracts, y193contractsPremium=193x$0·0014x500,000=PremiuminMR,translatedatspotrate=$135,100/0·2355=MR573,673Amountunder-hedged=$22,900,000–(193x500,000x$0·2368)=$48,800Translatedatforwardrate=$48,800/0·2374=MR205,560Solution:(a)Forexriskhedging(3)Optionse,assumingoptionsareOptions(500,000x193)Receiptonforwardmarket

(573,673Solution:(a)Forexriskhedging(3OptionsStep1：SetuptheCallsorPuts:Spotmarket:

Buying Options:BuyCCExercise No.of=NonCCamount/Exerciseprice/Contract$22,900,000/0·2368/MR500,000193·4取整=$22,900,000–(193x500,000x$0·2368)=Translatedatforwardrate=$48,800/0·2374=MRMRforwardBuySolution:(a)Forexriskhedging(3OptionsStep2：CostoftheOption=$0.00xx(0.xxcents)xSizeofcontractxNo.ofcontracts=in=$0·0014x193x500,000=AssumetheoptionpremiumispayableConverttheimmediatepremiumcostin$satspottocalculatethecostinthehomecurrency.CCMRsellCCMRsellrateNonCC$buySolution:(a)Forexriskhedging(3OptionsStep3：ExerciseorlapseYouwouldexerciseyourrighttobuy(acalloption)whentheexercisepriceischeaperthanthespotrateonconversion.SpotonBuyaSolution:(a)Forexriskhedging(3OptionsStep4.ThecashReceipt/paymentonexerciseoption(CCMR本币，直接*合约数量(Contractsize500,000×no.ofcontractCostofoption+shortfalllockedby=NetcashSolution:(a)Forexriskhedging(3OptionsTheforwardcontractgivesamarginallyhigherreceiptthanthefutures.Futureswouldbesubjecttobasisrisk,theriskthatthedifferencebetweenthefuturespriceandspotratedoesnotdecreaselinearlytowardsthematurityoffutures.Thismeansthatthereceiptmaybeuncertain.Futuresalsorequireamarginpayment,aninitialpaymentofcashintoamarginaccountoperatedbythefuturesexchange,withfurtherpaymentsiflossesaremadeoncontracts.Solution:(a)Forexriskhedging(3OptionsOptionsgivealowerreceipt,becauseoftheneedtopayapremium.GogarthComayconsideroptionsifitconsidersthereisachancethatthedollarwillbeinastrongerpositionagainsttheMalaysianringgitthansuggestedbytheforwardrate,orifoneorothertransactionislikelytofallthrough.Overall,GogarthCoshouldchoosetheforwardcontractasitoffersthemarginallyhigherreceiptandisnotsubjecttobasisrisk.Note:OthervalidmendationscouldbeSolution:(b)Advantagesofexchange-tradedoptions Thepriceandcontractdetailsofexchange-tradedoptionsarereadilyavailableanddonotneedtobenegotiatedbyGogarthCo,unlikeover-the-counteroptions. GogarthCocansellexchange-tradedoptionsatanytimebeforeexpiry.Itmaynotbepossibletosellover-the-counteroptions,althoughtheycanbeallowedtolapseifnotrequired. Exchange-tradedoptionsarelessriskyforGogarthCothanover-the-counteroptions,duetotheirbeingsubjecttotransparencyandotherregulationssetbytheexchange.Theexchangealsorequiresparticipantstosetupaninitialmargin,sothatcounterpartyriskshouldnotbeaproblem,althoughmarginrequirementswillimpactGogarthCo’scashSolution:(b)Advantagesofexchange-tradedoptions Exchange-tradedoptionsaregenerallyAmericanstyleoptions,whichmeansthattheycanbeexercisedatanytimebeforetheirexpirydate.ThismaybeusefulforGogarthCoiftransactionsettlementdatesareuncertain.Over-the-counteroptionstendtobeEuropeanstyleoptions,whichmeansthattheycanonlybeexercisedontheirexpiry.Solution:(b)Disadvantagesofexchange-tradedoptions Thecontractsizesandmaturitydateofexchange-tradedoptionsarefixed,whereasthoseofover-the-counteroptionscanbenegotiatedtomeetGogarthCo’sriskexposure.Thestandardisationofexchange-tradedoptionsalsomeansthattheyaresubjecttohedgeinefficienciesiftheexactamountbeinghedgedisnotmatchedbytheoptioncontracts. Over-the-counteroptionshaveagreaterrangeofcurrenciesthanexchange-tradedoptions.ThismaybeusefulforGogarthCoifitislookingtoexpandsignificantlyabroad. Exchange-tradedoptionstendtobeforshortertermsthanavailableforover-the-counteroptions.Longer-termoptionsmaybebetterforGogarthCodependingontransactionsettlementarrangements.Solution:(c)EconomicriskEconomicriskisthelonger-termriskthatthepresentvalueoffuturecashflowsmaybeincreasedorreducedbyexchangeratemovements.Thetreasuryfunctionwillbeinvolvedinthedevelopmentoflonger-termresponses,asthederivativesthetreasuryfunctionwilluseforhedgingofshort-termexchangeriskwillnotbeappropriate.Solution:(c)EconomicriskRiskThetreasuryfunctionneedstoidentifythecashflowswhichmaybeaffectedbyexchangeratemovements.Thesemaynotjustincludetransactionswithoverseascustomersandrs.Homemarketsalescanalsobeaffectedif,forexample,thecurrencyofthecountrywhereaforeigncompetitorisbasedweakensagainsttheringgitthecompetitorcanthenaffordtochargecheaperringgitprices.Solution:(c)EconomicriskThetreasuryfunctionmustalsoidentifythefactorsaffectingexchangeratemovementsinthelongertermandassesswhattheirimpactislikelytobe.Thiscouldincludepredictedmovements,forexample,changesineconomiccycle,andalsotheimpactofsuddeneconomicThetreasuryfunctionwillneedtoassesstheimpactoftheseexc