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  • AIFS Template

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    Anonymous FRxOWG2NF3
    81 просмотров13 страниц
    The document compares different foreign exchange hedging strategies when expecting sales revenues of 25,000 euro that could end up as high as 30,000 euro or as low as 10,000 euro depending on the dollar/euro exchange rate. Hedging with forwards ensures the expected revenues are received but any surprise volumes above or below expectations are exposed to exchange rate movements. Hedging with options subjects the expected revenues to some downside protection but limits upside from a stronger dollar. The total windfall from hedging or not hedging depends on whether the dollar ends up stronger or weaker than expected.

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    Оригинальное название

    AIFS template.xlsx

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    The document compares different foreign exchange hedging strategies when expecting sales revenues of 25,000 euro that could end up as high as 30,000 euro or as low as 10,000 euro depending on the dollar/euro exchange rate. Hedging with forwards ensures the expected revenues are received but any surprise volumes above or below expectations are exposed to exchange rate movements. Hedging with options subjects the expected revenues to some downside protection but limits upside from a stronger dollar. The total windfall from hedging or not hedging depends on whether the dollar ends up stronger or weaker than expected.

    Авторское право:

    © All Rights Reserved
    Скачайте в формате XLSX, PDF, TXT или читайте онлайн в Scribd
    Отметить как неприемлемый контент
    81 просмотров13 страниц

    AIFS Template

    Загружено:

    Anonymous FRxOWG2NF3
    The document compares different foreign exchange hedging strategies when expecting sales revenues of 25,000 euro that could end up as high as 30,000 euro or as low as 10,000 euro depending on the dollar/euro exchange rate. Hedging with forwards ensures the expected revenues are received but any surprise volumes above or below expectations are exposed to exchange rate movements. Hedging with options subjects the expected revenues to some downside protection but limits upside from a stronger dollar. The total windfall from hedging or not hedging depends on whether the dollar ends up stronger or weaker than expected.

    Авторское право:

    © All Rights Reserved
    Скачайте в формате XLSX, PDF, TXT или читайте онлайн в Scribd
    Отметить как неприемлемый контент
    из 13

    Stable 25,000 volume

    Stable Dollar Strong Dollar


    current rate (USD/EUR) 1.22 1.22
    future(USD/EUR) 1.22 1.01
    forward rate(USD/EUR) 1.22 1.22
    expecting to pay (euro) 25000 25000
    expecting to pay (USD) 30500 30500

    No hedging
    Actually paying
    windfall

    Hedging with 100% forwards


    Actually paying
    windfall

    Hedging with 100% options


    Actually paying
    windfall

    options:
    exercise rate(USD/EUR) 1.22 1.22
    option premium as % of notional value 5% 5%
    option premium 1,525 1,525
    exercise? yes/no-doesn't matter no- sell euro at 1.01USD/EUR
    Weal Dollar Hint
    1.22
    1.48
    1.22
    25000
    30500 Row 7*row4

    Row 7* row 5
    row 8-row11

    Row 7* row6
    row 8-row15

    if exercise: Row 7* row22*+option premium; if do not exercise: Row 7* row5*+opti


    row 8-row19

    1.22
    5%
    1,525
    yes-sell euro at 1.22USD/EUR
    ot exercise: Row 7* row5*+option premium
    30,000 final sales volume

    Final sales volume 30000


    Stable Dollar Strong Dollar
    current rate (USD/EUR) 1.22 1.22
    future rate(USD/EUR) 1.22 1.01
    forward rate(USD/EUR) 1.22 1.22

    Expected volume
    expecting to pay (euro) 25000 25000
    expecting to pay (USD) 30500 30500
    Surprise volume
    expecting to pay (euro) 5000 5000
    expecting to pay (USD) 6100 6100

    No hedging
    Expected volume
    Actually paying
    windfall
    Surprise volume
    Actually apying
    windfall
    Total windfall

    Hedging with 100% forwards


    Expected volume
    Actually paying
    windfall
    Surprise volume
    Actually paying
    windfall
    Total windfall

    Hedging with 100% options


    Expected volume
    Actually paying
    windfall
    Surprise volume
    Actually paying
    windfall
    Total windfall

    exercise rate(USD/EUR) 1.22 1.22


    option premium as % of notional value 5% 5%
    option premium 1,525 1,525
    exercise? yes/no-doesn't matter no- sell euro at 1.01USD/EUR
    Weal Dollar hint
    1.22
    1.48
    1.22

    25000
    30500

    5000
    6100

    Same as previous worksheet

    Row 13*future rate from row 6


    row14-row21
    expected+surprise

    Same as previous worksheet

    Note: the surprise amount is not hedged-same as row 21 an

    Same as previous worksheet

    Note: the surprise amount is not hedged-same as row 21 an

    1.22
    5%
    1,525
    yes-sell euro at 1.22USD/EUR
    not hedged-same as row 21 and 22

    not hedged-same as row 21 and 22


    30,000 final sales volume

    Final sales volume 10000


    Stable Dollar Strong Dollar
    current rate (USD/EUR) 1.22 1.22
    future rate(USD/EUR) 1.22 1.01
    forward rate(USD/EUR) 1.22 1.22

    Expected volume
    expecting to pay (euro) 25000 25000
    expecting to pay (USD) 30500 30500
    Surprise volume
    expecting to pay (euro) -15000 -15000
    expecting to pay (USD) -18300 -18300

    No hedging
    Expected volume
    Actually paying
    windfall
    Surprise volume
    Actually apying
    windfall
    Total windfall

    Hedging with 100% forwards


    Expected volume
    Actually paying
    windfall
    Surprise volume
    Actually paying
    windfall
    Total windfall

    Hedging with 100% options


    Expected volume
    Actually paying
    windfall
    Surprise volume
    Actually paying
    windfall
    Total windfall

    exercise rate(USD/EUR) 1.22 1.22


    option premium as % of notional value 5% 5%
    option premium 1,525 1,525
    exercise? yes/no-doesn't matter no- sell euro at 1.01USD/EUR
    Weal Dollar hint
    1.22
    1.48
    1.22

    25000
    30500

    -15000
    -18300

    Same as previous worksheet

    Row 13*future rate from row 6


    row14-row21
    expected+surprise

    Same as previous worksheet

    Note: the surprise amount is not hedged-same as row 21 an

    Same as previous worksheet

    Note: the surprise amount is not hedged-same as row 21 an

    1.22
    5%
    1,525
    yes-sell euro at 1.22USD/EUR
    not hedged-same as row 21 and 22

    not hedged-same as row 21 and 22

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