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  • Effect of Change in Interest Rates - GM

    Загружено:

    Godfrey Macwan
    16 просмотров2 страницы
    This document analyzes the effect of exchange rate volatility on projected cash flows (payables) under different hedge ratios. It shows the exchange rate, transaction exposure, gains/losses on hedged and unhedged amounts for CAD depreciating 3.1% against USD and appreciating 3.1% against USD under 50% and 75% hedge ratios. The total gain/loss is calculated for each scenario.

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    Effect of change in interest rates - GM

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    Effect of change in interest rates - GM

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    This document analyzes the effect of exchange rate volatility on projected cash flows (payables) under different hedge ratios. It shows the exchange rate, transaction exposure, gains/losses on hedged and unhedged amounts for CAD depreciating 3.1% against USD and appreciating 3.1% against USD under 50% and 75% hedge ratios. The total gain/loss is calculated for each scenario.

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    © All Rights Reserved
    Скачайте в формате XLSX, PDF, TXT или читайте онлайн в Scribd
    Отметить как неприемлемый контент
    16 просмотров2 страницы

    Effect of Change in Interest Rates - GM

    Загружено:

    Godfrey Macwan
    This document analyzes the effect of exchange rate volatility on projected cash flows (payables) under different hedge ratios. It shows the exchange rate, transaction exposure, gains/losses on hedged and unhedged amounts for CAD depreciating 3.1% against USD and appreciating 3.1% against USD under 50% and 75% hedge ratios. The total gain/loss is calculated for each scenario.

    Авторское право:

    © All Rights Reserved
    Скачайте в формате XLSX, PDF, TXT или читайте онлайн в Scribd
    Отметить как неприемлемый контент
    из 2

    Effect of exchange rate volatility on projected cash flows (payables)

    CAD unchanged 3.1% depreciation of CAD


    Exchange rate (USD/CAD) 1.578 1.6269
    CAD/USD 0.6337136 0.6146659
    Transactional exposure (Net cash flows in CAD) 1682 1682
    Net cash flow in USD 1065.906210393 1033.86809269162

    50% hedge ratio


    Amount to hedge 841 841
    Unhedged exposure (CAD) 841 841
    Unhedged exposure in USD 532.9531051965 516.934046345811
    Gain/Loss on unhedged exposure 16.01905885064
    Forward rate USD/CAD 1.5826
    Forward rate CAD/USD 0.631872
    Gain/Loss on forward contract -14.4699723575884
    Total Gain/Loss 1.5490864930516

    75% hedge ratio


    Amount to hedge 1261.5 1261.5
    Unhedged exposure (CAD) 420.5 420.5
    Unhedged exposure in USD 266.4765525982 258.467023172906
    Gain/Loss on unhedged exposure 8.00952942532001
    Forward rate USD/CAD 1.5826
    Forward rate CAD/USD 0.631872
    Gain/Loss on forward contract -21.7049585363826
    Total Gain/Loss -13.6954291110626
    yables)

    3.1% appreciation of CAD


    1.5291
    0.6539795
    1682
    1099.99346020535

    841
    841
    549.996730102675
    -17.0436249062237

    18.5927113992753
    1.54908649305161

    1261.5
    420.5
    274.998365051337
    -8.52181245311186

    27.889067098913
    19.3672546458011

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