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

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

Berapa USD dijual  untuk dapat 10 million CAD Currency GM 10.000.000 / 1,5621= USD 6.382.842,92 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

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

lebih murah menggunakan forward Lebih murah menggunakan option

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 10.000.000/1,5667 = (10.000.000/Future Spot Rate) + 92.551,22 6.382.842,918 – 92.551,22 = 10.000.000/Future Spot Rate 6.290.291,70 = 10.000.000/Future Spot Rate Future Spot Rate = 1,5898

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

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% ??????

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

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

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

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

THANK YOU! ANY QUESTION ??