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1、国际金融 期末复习 中英文p 30 The Special Drawing Right (SDR) is an international reserve asset created by the IMF to supplement existing foreign exchange reserves. (It serves as a unit of account for the IMF and is also the base against which some countries peg the exchange rate for their currencies. p 33 Euro
2、currency Interest Rates: LIBOR LIBOR is the reference rate of interest in the Eurocurrency market, and is now the most widely accepted rate of interest used in standardized quotations, loan agreements or financial derivatives valuations. LIBOR is officially defined by the British Bankers Association
3、. Dollarization the use of the US dollar as the official currency of the country. 只将美元用作官方通货。 Eurodollar is one of the European currency types，which refers to the dollar deposits in banks outside the united states是指存放在美国以外的银行中的美元存款，欧洲美元是欧洲货币的一种类型。 A direct quote is a home currency price of a unit of
4、 foreign currency. 直接报价法是用本币表示一单位外币的价格。 An indirect quote is a foreign currency price of a unit of home currency. 间接报价法是用外币表示一单位本币的价格。 A European option may be exercised only on its expiration date，not before. 只能在到期日那天执行的期权 An American option may be exercised at any time between the date of writing
5、and the expiration or maturity date. 可在包括到期日之前的任一天执行的期权。 市场价格期权费+合约价 Call option is the right of buying foreign currency or other financial contracts at a specific price within a particular period, but not the obligation. 在一个特定时期以特定价格买入 *或其他金融合约的权利，而非义务。 市场价格期权费+合约价 Put option is the right of sellin
6、g foreign currency or other financial contracts at a specific price within a particular period, but not the obligation. 在一个特定时期以特定价格卖出 *或其他金融合约的权利，而非义务 The theory states：the difference in the national interest rates for securities of similar risk and maturity should be equal to， but opposite in sign
7、 to, the forward rate discount or premium for the foreign currency, except for transactions costs. 这一理论认为：风险相同、期限相同的证券的名义利率差异应该等于负的去除交易成本的 *远期升贴水。 An option whose price is the same as the spot price of the underlying currency is said to be at-the-money (ATM). 当期权的执行价格等于现时市场价格时，该期权被称为到价。 An option th
8、at would be profitable, excluding the cost of premium, if exercised immediately is said to be in-the-money (ITM). 除去期权费用之后还能带来盈利的期权合约被称为是价内。 An option that would not be profitable, again excluding the cost of the premium, if exercised immediately is referred to as out-of-the-money (OTM). 除去期权费用之后不能带
9、来盈利的期权合约被称为是价外。 u IMF Exchange Rate Regime Classifications 汇率体制的分类 1 ) Exchange Arrangements with No Separate Legal Tender无独立法定货币的汇率安排: Currency of another country circulates as sole legal tender or member belongs to a monetary or currency union in which same legal tender is shared by members of the
10、 union 指一国采用另一国的货币作为唯一法定货币。如美元化 2 ) Currency Board Arrangements货币局汇率: Monetary regime based on implicit national commitment to exchange domestic currency for a specified foreign currency at a fixed exchange rate指货币当局规定本国货币与某一外国货币之间可以以一固定比率无限制兑换，货币发行当局要确保这一兑换义务实现的汇率制度。 3 ) Other Conventional Fixed Pe
11、g Arrangements传统的固定盯住汇率: Country pegs its currency (formal or de facto) at a fixed rate to a major currency or a basket of currencies where exchange rate fluctuates within a narrow margin or at most 1% around central rate以固定的汇率将其货币盯住另一货币或一货币篮子，国家当局通过直接或间接敢于维持固定平价, 汇率围绕中心汇率在+1%的狭窄范围内波动 4 ) Pegged Exc
12、hange Rates w/in Horizontal Bands有波幅的盯住汇率: Value of the currency is maintained within margins of fluctuation around a formal or de facto fixed peg that are wider than 1% around central rate 对单一货币或对货币篮子即期市场汇率的波幅能够保持在一个 1%的范围内 5 ) Crawling Peg爬行盯住汇率: Currency is adjusted periodically in small amounts
13、at a fixed, preannounced rate in response to changes in certain quantitative measures汇率按预先宣布的固定范围作较小的定期调整或对选定的定量指标的变化做定期的调整。 6 ) Exchange Rates within Crawling Peg有波幅的爬行盯住汇率: Currency is maintained within certain fluctuation margins around a central rate that is adjusted periodically 汇率围绕一个定期调整的中心汇率
14、，维持在在一定的利润范围内 7 ) Managed Floating with No Preannounced Path for Exchange Rate: 不带目的的管理浮动汇率Monetary authority influences the movements of the exchange rate through active intervention in foreign exchange markets without specifying a pre-announced path for the exchange rate 货币当局试图通过干预 *市场来对汇率的变动施加影响，
15、但没有事先确定干预路径 8 ) Independent Floating完全浮动汇率: Exchange rate is market determined, with any foreign exchange intervention aimed at moderating the rate of change and preventing undue fluctuations in the exchange rate, rather than at establishing a level for it 汇率由市场决定，官方的干预旨在缓解汇率的过度波动，不在于将汇率维持在某一水平。 u T
16、he accounts of the balance of payments 国际收支平衡表 A. Current account 经常账户 1. Goods trade 货物 2. Service trade 服务 3. Income 收入 4. Current transfers 经常转移 B. Capital account 资本账户 1. Transfers of financial assets 金融资产的转移 2. The acquisition and disposal of nonproduced/nonfinancial assets非生产/非金融资产的收买和放弃 Direc
17、t investment 直接投资 Portfolio investment 证券投资 C. Financial account Other investment assets/Liabilities 其他投资资产/负债 Reserve assets 储备资产 D.Net errors and Omissions 净误差与遗漏 u 金本位制与布雷顿森林体系的区别 金本位制：以黄金为本位币的货币制度。 实质各国货币与黄金挂钩 布雷顿森林体系：确立了以美元为中心的国际货币制度 美元与黄金挂钩 实质“双挂钩” 各国货币与美元挂钩 u The BOP & Exchange Rates 国际收支平衡与汇
18、率的关系 1. Fixed exchange rate countries Under a fixed exchange rate system, the government bears the responsibility to ensure that the BOP is near zero. If the sum of the current and capital accounts do not approximate zero, the government is expected to intervene in the foreign exchange market by buy
19、ing or selling official foreign exchange reserves. If the sum of the current and capital accounts is greater than zero, a surplus demand for the domestic currency exists in the world. To preserve the fixed exchange rate, the government must then intervene in the foreign exchange market and sell dome
20、stic currency for foreign currencies or gold so as to bring the BOP back near zero. If the sum of the current and capital accounts is negative, an excess supply of the domestic currency exists in the world markets. The government must intervene by buying the domestic currency with its reserves of fo
21、reign currencies and gold. 在固定汇率制度下，*需要承担确保国际收支余额接近0的责任。 如果经常账户和资本账户的余额之和不接近0，*就要在 *市场上买进或卖出 *储备来进行干预。 如果这两个账户的余额之和大于0，说明世界范围内本国货币供不应求。为了维持固定汇率，*必须在 *市场上干预，卖出本币换取外币或黄金，从而使国际收支余额接近0. 如果这两个账户的余额之和小于0，*则必须在 *市场上干预，卖出外币或黄金换取本币。 经常账户+资本账户余额0 *干预 经常账户+资本账户余额0 *干预 经常账户+资本账户余额0 *干预 2. Floating exchange rate
22、 countries Under a floating exchange rate system, the government of a country has no responsibility to peg its foreign exchange rate. 在浮动汇率制度下，*没有盯住汇率的责任。 3. Managed floats The countries operating with managed floats seek to alter the market activity, rather than through direct intervention in the f
23、oreign exchange market. 在实行有管理的浮动汇率制度下，*会通过影响市场行为的动机来改变市场对某一货币的估值，而不是在 *市场直接进行干预。 u Triangular arbitrage 三角套汇 P 109 PPT第五章34页 u Types of foreign exchange exposure/risk *风险的类型 Transaction Exposure交易风险 measures changes in the value of outstanding financial obligations incurred prior to a change in exc
24、hange rates but not due to be settled until after the exchange rate changes 交易风险是指以外币标价的交易合同，由于合同签订时与将来结算时的汇率不同，造成的相同金额的外币折算成本币时数量发生变化的风险。交易风险又可分为 *买卖风险和交易结算风险。 Operating Exposure经营风险 also called economic exposure, measures the change in the present value of the firm resulting from any change in exp
25、ected future operating cash flows caused by an unexpected change in exchange rates 经营风险是指由于意料之外的汇率变动，使企业在将来特定时期的收益发生变化的可能性。经营风险是由于汇率的变动影响企业的生产成本、销售价格，进而引起产销数量的变化，并由此最终带来获利状况的变化。经营风险中所说的汇率变动，仅指意料之外的汇率变动。 两者区别：交易风险是已合约化的现金流量变化；营运风险强调未合约化的预期现金流量变化 Translation Exposure折算风险 also called accounting exposur
26、e会计风险, is the potential for accounting derived changes in owners equity to occur because of the need to “translate” financial statements of foreign subsidiaries into a single reporting currency for consolidated financial statements 折算风险是指企业在会计处理和外币债权、债务决算时，将必须转换成本币的各种外币计价项目加以折算时所产生的风险。 Tax Exposure
27、税收风险 the tax consequence of foreign exchange exposure varies by country, however as a general rule only realized foreign losses are deductible for purposes of calculating income taxes u 画图题： Call option 看涨期权 Breakeven price 盈亏平衡价 收益为0 Buyer： Profit 收益无穷大 Maximum loss premium 损失至多为期权费 Area of unlimit
28、ed profit 无限收益区域 Area of limited loss有限损失区域 Seller： Loss 损失无穷大 Maximum profit 收益至多为期权费 注：盈亏平衡价是指市场价等于合约价。 u Tridents Transaction Exposure 泰鼎公司的 *风险 1. Unhedged position 1) Maria may decide to accept the transaction risk 2) If she believes that the future spot rate will be $1.76/, then Trident will r
29、eceive 1,000,000 x $1.76/ = $1,760,000 in 3 months time 3) However, if the future spot rate is $1.65/, Trident will receive only $1,650,000 well below the budget rate 2.Forward Market hedge 1) A forward hedge involves a forward or futures contract and a source of funds to fulfill the contract 2) The
30、 forward contract is entered at the time the A/R is created, in this case in March 3) When this sale is booked, it is recorded at the spot rate. 4) In this case the A/R is recorded at a spot rate of $1.7640/, thus $1,764,000 is recorded as a sale for Trident 5) If Trident does not have an offsetting
31、 A/P in the same amount, then the firm is considered uncovered 6) Should Maria want to cover this exposure with a forward contract, then she will sell 1,000,000 forward today at the 3 month rate of $1.7540/ 7) She is now “covered” and Trident no longer has any transaction exposure 8) In 3 months, Tr
32、ident will received 1,000,000 and exchange those pounds at $1.7540/ receiving $1,754,000 9) This sum is $6,000 less than the uncertain $1,760,000 expected from the Unhedged position 10) This would be recorded in Tridents books as a foreign exchange loss of $10,000 ($1,764,000 as booked, $1,754,000 a
33、s settled) 3.Money Market hedge 1) To hedge in the money market, Maria will borrow pounds in London, convert the pounds to dollars and repay the pound loan with the proceeds from the sale a. To calculate how much to borrow, Maria needs to discount the PV of the 1,000,000 to today b. 1,000,000/1+0.25
34、 = 975,610 (本息和) c. Maria should borrow 975,610 today and in 3 months time repay this amount plus 24,390 in interest (1,000,000) from the proceeds of the sale 2) Trident would exchange the 975,610 at the spot rate of $1.7640/ and receive $1,720,976 at once In order to compare the forward hedge with
35、the money market hedge, Maria must analyze the use of the loan proceeds First, if Trident is cash rich the loan proceeds might be invested at the US rate of 6.0% p.a. Second, Maria could use the loan proceeds to substitute an equal dollar loan that Trident would have otherwise taken for working capi
36、tal needs at a rate of 8.0% p.a. Third, Maria might invest the loan proceeds in the firm itself in which case the cost of capital is 12.0% p.a. Received today Invested in Rate Future value in 3 months $1,720,976 $1,720,976 $1,720,976 a. Treasury bill 6% p.a. or 1.5%/quarter Debt cost 8% p.a. or 2.0%
37、/quarter Cost of capital 12% p.a. or 3.0%/quarter $1,746,791 $1,755,396 $1,772,605 Because the proceeds in 3 months from the forward hedge will be $1,754,000, the money market hedge is superior to the forward hedge if Maria used the proceeds to replace a dollar loan (8%) or conduct general business
38、operations (12%) b. The forward hedge would be preferable if Maria were to just invest the loan proceeds (6%) c. We will assume she uses the cost of capital as the reinvestment rate A breakeven investment rate can be calculated in order to forgo numerous calculations and still aid Maria in her decis
39、ion (Loan proceeds) (1+rate) = (forward proceeds)$1,720,976 (1+r) = $1,754,000r=0.0192To convert this 3 month rate to an annual rate, 360 0.0192 x x 100 = 7.68% 90 In other words, if Maria can invest the loan proceeds at a rate equal to or greater than 7.68% p.a. then the money market hedge will be
40、superior to the forward hedge The following chart shows the value of Tridents A/R应到款项 over a range of possible spot rates both uncovered and covered using the previously mentioned alternatives 3.Option market hedge Maria could also cover the 1,000,000 exposure by purchasing a put option. This allows
41、 her to speculate on the upside potential for appreciation of the pound while limiting her downside risk Given the quote earlier, Maria could purchase 3 month put option at an ATM strike price of $1.75/ and a premium of 1.5% The cost of this option would be (Size of option)(Premium)(Spot price)=Cost
42、 of option 1,000,000 0.0151,7640=26,460 Because we are using future value to compare the various hedging alternatives, it is necessary to project the cost of the option in 3 months forward Using a cost of capital of 12% p.a. or 3.0% per quarter, the premium cost of the option as of June would be $26
43、,460 1.03 = $27,254 Since the upside potential is unlimited, Trident would not exercise its option at any rate above $1.75/ and would purchase pounds on the spot market If for example, the spot rate of $1.76/ materializes, Trident would exchange pounds on the spot market to receive 1,000,000 $1.76/
44、= $1,760,000 less the premium of the option ($27,254) netting $1,732,746 Unlike the unhedged alternative, Maria has limited downside with the option Should the pound depreciate below $1.75/, Maria would exercise her option and exchange her 1,000,000 at $1.75/ receiving $1,750,000 Less the premium of
45、 the option, Maria nets $1,722,746 Although this downside is less than that of the forward or money market hedge, the upside potential is not limited Put option strike price ATM option $1.75/ Option cost (future value) $27,254 Proceeds if exercised $1,750,000 Minimum net proceeds $1,722,746 Maximum net proceeds unlimited Break-even spot rate(upside) $1.7813/ Break-even spot rate(downside) $1.7221/
