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선물환헷징과 단기금융시장헷징 비교
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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 2) 3 Months Forward Rate: USD/JPY 3) 3 Months Expected Rate: USD/JPY 4) 3 Months USD Interest rate: 7% 5) 3 Months JPY Interest rate: 1%
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선물환헷징과 단기금융시장헷징 비교 3. 환위험 관리전략
1) Do Nothing(or No Hedge): USD/JPY Expected ≠ Realized 2) USD Forward Selling: USD/JPY 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, Selling at JPY110.00(=JPY108,108,107.8) (3) JPY108,108, Months 예금(=JPY108,378,378.07) {108,108,107.8*(1+0.01/4) = JPY )
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선물환헷징과 단기금융시장헷징 비교 4. Hedging 결과
(1) Do Nothing(or No Hedge): USD/JPY (2) USD Forward Selling: USD/JPY (3) Forward Speculation(USD Forward Buying): USD/JPY (4) Money Market Hedging: USD/JPY
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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 ~ 2) 6 Months Forward Rate: USD/JPY ~ 3) 6 Months Euro USD Interest rate: 6.50% ~ 6.625% 5) 6 Months Euro JPY Interest rate: 1.25% ~ 1.50
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선물환헷징과 단기금융시장헷징 비교 3. Action 1) JPY Forward Buying at 106.70
Hedging Coast = {( )/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
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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%
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1) MXN Forward Selling at 9.46
선물환헷징과 단기금융시장헷징 비교 3. Action 1) MXN Forward Selling at 9.46 Hedging Coast = {( )/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
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선물환헷징과 단기금융시장헷징 비교 1. Case 4: 미국회사가 독일에서 자동차를 수입하고
3개월 후에 EURO화를 지급할 예정 2. Market Condition 1) Spot Rate: EUR/USD ~ 2) 3 Months Forward Rate: EUR/USD ~ 3) 3 Months USD Interest rate: 6.50% ~ 6.60% 5) 3 Months EUR Interest rate: 5.0% ~ 5.10%
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선물환헷징과 단기금융시장헷징 비교 3. Action 1) Forward Hedging
(1) 1USD Deposit{=$1( /4)} (2) $1( /4) Forward Selling at $0.8510 = EUR 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 3) Money Market Hedging is Better
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