Aviandini Savitri Dommy admoko Pandji setianto Vida aisha

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

2 HEDGE WITH FORWARD / OPTIONS ????
NOMER 5 HEDGE RATIO 50% CAD 20 million 1 3 Sept 15,2001 CAD 10 million HEDGE WITH FORWARD / OPTIONS ????

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

4 Makin tinggi spot price makin murah karena pembagi makin besar
46 point CAD 10 MILLION USD/CAD spot price 1,5621-1,5624 FORWARD spot price 1,5667-1,5670 Makin tinggi spot price makin murah karena pembagi makin besar CAD 10 mil / 1,4000 (sesuai prevailing spot price) CAD 10 mill / 1,5667 Premi = 1,45% dari USD 6,382,842.92 (CAD 10 mill / 1,5667) + premium  option di exercise 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 10.000.000/1,5667 = (10.000.000/Future Spot Rate) + 92.551,22
Break-Event Point when Cash Outflow by Forward = Cash Outflow by Options /1,5667 = ( /Future Spot Rate) ,22 ,918 – ,22 = /Future Spot Rate ,70 = /Future Spot Rate Future Spot Rate = 1,5898

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

8 NOMER 6 Cash Flows (in CAD) Cash Inflows Canadian sales $10.564
Tax refunds (GST) $1.049 Cash Outflows (in CAD) Material purchase $10.180 Capital expenditures $113 Other structural costs $1.737 Tax expenditures $1.258 Other expenditures $6 Total Cash Outflows $13.294 3-month C$ cash flow -$1.682 HEDGE RATIO = 75% or HEDGE RATIO = 50% ??????

9 Outright exp + 75% forward +
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) / 1,5667) x 1,45% (25% x $1.261,50) / future spot price Outright exp + 75% forward + 25% options + premium

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

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14 Forward price = strike price
ASSUMPTIONS NO WACC Forward price = strike price

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

16 THANK YOU! ANY QUESTION ??