선물환헷징과 단기금융시장헷징 비교

1. Case 1: 일본의 J회사가 미국에 100만불 수출하고 선물환헷징과 단기금융시장헷징 비교 1. Case 1: 일본의 J회사가 미국에 100만불 수출하고 수출대금은 3개월 후에 수령예정 2. Market Condition 1) Spot Rate: USD/JPY 110.00 2) 3 Months Forward Rate: USD/JPY 108.30 3) 3 Months Expected Rate: USD/JPY 109.00 4) 3 Months USD Interest rate: 7% 5) 3 Months JPY Interest rate: 1%

선물환헷징과 단기금융시장헷징 비교 3. 환위험 관리전략 1) Do Nothing(or No Hedge): USD/JPY 109.00 Expected ≠ Realized 2) USD Forward Selling: USD/JPY 108.30 Hedging Cost: Spot Rate – Forward Rate = 1 Yen 3) Forward Speculation(USD Forward Buying) Expected Profit=Expected rate-Forward rate =0.7YEN USD Spot Selling at USD/JPY109.00 4) Money Market Hedging (1) USD 차입: $982,800.98{$1,000,000/(1+0.07/4)} (2) $982,800.98 Selling at JPY110.00(=JPY108,108,107.8) (3) JPY108,108,107.8 3 Months 예금(=JPY108,378,378.07) {108,108,107.8*(1+0.01/4) = JPY108.378.378.07)

선물환헷징과 단기금융시장헷징 비교 4. Hedging 결과 (1) Do Nothing(or No Hedge): USD/JPY 109.00 (2) USD Forward Selling: USD/JPY 108.30 (3) Forward Speculation(USD Forward Buying): USD/JPY 109.70 (4) Money Market Hedging: USD/JPY 108.38

1. Case 2: 미국의 Q사가 일본으로부터 자동차를 선물환헷징과 단기금융시장헷징 비교 1. Case 2: 미국의 Q사가 일본으로부터 자동차를 수입하고 6개월 후에 엔화대금 지급예정 2. Market Condition 1) Spot Rate: USD/JPY 109.80 ~ 109.90 2) 6 Months Forward Rate: USD/JPY 106.70 ~ 106.90 3) 6 Months Euro USD Interest rate: 6.50% ~ 6.625% 5) 6 Months Euro JPY Interest rate: 1.25% ~ 1.50

선물환헷징과 단기금융시장헷징 비교 3. Action 1) JPY Forward Buying at 106.70 Hedging Coast = {(109.80 -106.70)/109.80}*2*100 =5.65% 2) Money Market USD 차입, USD Selling, JPY Deposit (1) USD 차입 at 6.625% (2) JPY Deposit at 1.25% (3) Hedging Cost 5.375% 3) Money Market Hedging is Better

선물환헷징과 단기금융시장헷징 비교 1. Case 3: 미국회사가 멕시코에 수출하고 2개월 후에 멕시코 페소화로 수출대금 수령예정 2. Market Condition 1) Spot Rate: USD/MXN 9.45 ~ 9.46 2) 2 Months Forward Rate: USD/MXN 9.64 ~ 9.65 3) 2 Months USD Interest rate: 6.50% ~ 6.625% 5) 2 Months MXN Interest rate: 18.5% ~ 18.75%

1) MXN Forward Selling at 9.46 선물환헷징과 단기금융시장헷징 비교 3. Action 1) MXN Forward Selling at 9.46 Hedging Coast = {(9.65 - 9.46)/9.46}*6*100 =12.05% 2) Money Market MXN 차입, USD Buying,USDDeposit (1) MXN 차입 at 18.75% (2) USD Deposit at 6.5% (3) Hedging Cost 12.25% 3) MXN Forward(Selling) Hedging is Better

선물환헷징과 단기금융시장헷징 비교 1. Case 4: 미국회사가 독일에서 자동차를 수입하고 3개월 후에 EURO화를 지급할 예정 2. Market Condition 1) Spot Rate: EUR/USD 0.8460 ~ 0.8470 2) 3 Months Forward Rate: EUR/USD 0.8500 ~ 0.8510 3) 3 Months USD Interest rate: 6.50% ~ 6.60% 5) 3 Months EUR Interest rate: 5.0% ~ 5.10%

선물환헷징과 단기금융시장헷징 비교 3. Action 1) Forward Hedging (1) 1USD Deposit{=$1(1+0.065/4)} (2) $1(1+0.065/4) Forward Selling at $0.8510 = EUR 1.1942 2) Money Market with $1.00 (1) EUR Buying at $0.8470 = EUR(1.00/0.8470) (2) EUR Deposit at 5.0% = EUR(1.00/0.8470)*{1+0.05/4) = EUR 1.1954 3) Money Market Hedging is Better