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GM FX HEDGING Aviandini Savitri Dommy admoko Pandji setianto Vida aisha.

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Presentasi berjudul: "GM FX HEDGING Aviandini Savitri Dommy admoko Pandji setianto Vida aisha."— Transcript presentasi:

1 GM FX HEDGING Aviandini Savitri Dommy admoko Pandji setianto Vida aisha

2 31 CAD 20 million HEDGE WITH FORWARD / OPTIONS ???? HEDGE RATIO 50% CAD 10 million Sept 15,2001

3 Currency GM USD GM canada butuhnya CAD CAD USD/CAD spot price 1,5621-1,5624 USD lebih kuat dari CAD  keluarin US lebih dikit dari 10 mill CAD 10 million Dirubah Berapa USD dijual  untuk dapat 10 million CAD Bank beli USD-nya GM lalu memberikan CAD / 1,5621= USD ,92

4 CAD 10 mil / 1,4000 (sesuai prevailing spot price) CAD 10 mill / 1,5667 Premi = 1,45% dari USD 6,382, (CAD 10 mill / 1,5667) + premium  option di exercise CAD 10 MILLION FORWARD spot price 1,5667-1,5670 USD/CAD spot price 1,5621-1, point Makin tinggi spot price makin murah karena pembagi makin besar CAD 10 mill / 1,5898  option NOT exercise Forward lebih menguntungkan jika prevailing spot price 1,4000 – 1,5898 Option lebih menguntungkan jika prevailing spot price 1,5898 – 1,8000

5 lebih murah menggunakan forward Lebih murah menggunakan option

6 Break-Event Point when Cash Outflow by Forward = Cash Outflow by Options /1,5667 = ( /Future Spot Rate) , ,918 – ,22 = /Future Spot Rate ,70 = /Future Spot Rate Future Spot Rate = 1,5898

7 ketika future spot rate > strike price ketika future spot rate > strike price USE OPTION

8 Cash Flows (in CAD) Cash Inflows Canadian sales $ Tax refunds (GST) $1.049 Cash Outflows (in CAD) Material purchase $ Capital expenditures $113 Other structural costs $1.737 Tax expenditures $1.258 Other expenditures $6 Total Cash Outflows $ month C$ cash flow-$1.682 HEDGE RATIO = 75% or HEDGE RATIO = 50% ??????

9 1.HEDGE RATIO = 75% dari -1,682 1.HEDGE RATIO = 75% dari -1,682 Hedge Ratio 75% $1.261,50 Outright Exposure $420,50 $420,50 / 1,4000 (75% x $1.261,50) / 1,5667 (25% x $1.261,50) / 1,5667 (strike price) (25% x $1.261,50) / future spot price ((25% x $1.261,50) / 1,5667) x 1,45% Outright exp + 75% forward + 25% options + premium

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11 1.HEDGE RATIO = 50% dari $-1,682 1.HEDGE RATIO = 50% dari $-1,682 Hedge Ratio 50% $ 841 Outright Exposure $ 841

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14 NO WACC Forward price = strike price

15 TUJUAN HEDGING Mengurangi volatilitas Tingkat volatilitas 75%  lebih rendah Tingkat volatilitas 50%  lebih tinggi APPROVE FELDSTEIN PROPOSAL

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