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FX/ Interest Risk & Hedging

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(1)

Financial Market Sales 14,June 2012

FX/ Interest Risk & Hedging

Strategy

in India

(2)

USD/INR in the last 1Y High 56.50 (24 May 12)

Low 43.85 (27 Jul 11)

USD/KRW in the last 1Y High 1199 (05 Oct 11)

Low 932 (08 Aug 11)

Exchange Risk & Exchange Exposure

(3)

3 Corporate Sales

Exchange Risk & Exchange Exposure

Exchange Risk (환위험)

환위험이라함은 기업이 가지고 있는 외화표시자산/부채 또는 손익 흐름 등의 가치가 환율변동으로 인해 절하되는 환차손위험을 기준으로 하는 것

Exchange Exposure (환노출)

환율변동에 의한 환차익의 개념까지 포함하는 개념

⇒ 환율변동에 영향을 받을 수 있는 기업이 가지는 외화표시자산/부채 그리고 손익흐름의 Net Position이 환노출 (Exchange Exposure)

1. 거래노출 (Transaction Exposure)

외화로 표시된 거래의 체결과 결제의 시차에 의한 환율변동에서 생기는 위험성 - 외화표시 Accounts Payable, Accounts Receivable

2. 환산노출 (Translation Exposure)

외화로 표시된 자산/부채 등의 취득/발생 시점과 환산시점간의 환율변동에 따른 위험성

- 회계년도말에 본사와 현지법인간의 연결재무제표 작성시 자국통화로의 환산 시 환율변동에 의하여 생기는 차손익의 위험성

3. 경제적노출 (Transaction Exposure)

예상치 못한 환율의 변동으로 인한 기업의 기대현급 흐름이 변화할 수 있는 가능성

(4)

Foreign Exchange Position

외환 Position이라 함은 기업의 입장에서는 경상거래와 자본거래의 영업활동에서 일어날 수 있는 외화자산과 외화부채의 차이 즉 환율변동의 위험성에 노출된 부분을 말한다.

다시말해 어느 일정시점에서 기업이 가지는 외환표시가치의 Net Position을 가진다.

외환 Position의 형태

Long Position (overbought position)

외화자산>외화부채 = 환율이 오르면 환차익 발생, 내리면 환차손 발생 Shot Position (oversold position)

외화자산<외화부채 = 환율이 내리면 환차익발생 Square Position (flat position)

외화자산 = 외화부채

외화 Position 조정 외환거래의발생

구 분 Long Short Square

보유통화 가치상승 환차익 환차손 무영향

보유통화 가치하락 환차손 환차익 무영향

(5)

5 Corporate Sales

Exchange Exposure의 결정요인

외환포지션 (Foreign Exchange Position)의 규모

외환포지션의 규모가 클수록 환율변동에 의해 발생할 수 있는 환 Exposure의 규모가 커짐.

지속기간

외화표시 자산/부채의 지속기간이 길수록 환율변동에 의한 순자산의 가치가 큰 폭으로 변동할 가능성이 높아지기 때문에 부담하게 되는 환 Exposure는 커짐.

환율변동성(Volatility)의 크기

외환포지션의 규모가 클수록 환율변동에 의해 발생할 수 있는 환 Exposure의 규모가 커짐.

(6)

What is “Hedge”?

Insurance

. When people decide to hedge, they are insuring themselves against a negative event.

This doesn’t prevent a negative event from happening, but if it does happen and you’re properly hedged, the impact of the event is reduced.

In financial markets, Hedging against the risks means strategically using instruments in the market to offset the risk of any adverse price movement.

HEDGE RISK

Fixed Cost

 =

(7)

7 Corporate Sales

만기환율

58

55

52

Open

달러당 INR 3 환차익 발생

당기순이익 증가

환차손 Zero

당기순이익 불변

달러당 INR 3 환차손 발생

 당기순손실 증가

Hedge

달러당 INR 3 환차익/파생상품 손실

당기순이익 불변

파생상품익 Zero

 당기순이익 불변

달러당 INR 3 파생상품익/환차손

 당기순이익 불변 계약(수주)환율

55

Best Case

Worst Case 예) USD Receiveable 헤지를 위해 Forward(선물환) Sell 거

래를 함

환 헤지란? 환 위험을 피하기 위해 행하는 거래

Hedge 기업은 Best case의 기회이익을 포기할 뿐이지만,

Open한 기업은 Worst case 발생 위험 내포

What is “Hedge”?

(8)

만기환율

58

55

52

Open

달러당 INR 3 환차손 발생

당기순손실 증가

환차손 Zero

당기순이익 불변

달러당 INR 3 환차익 발생

 당기순이익 증가

Hedge

달러당 INR 3 환차익/파생상품 이익

당기순이익 불변

파생상품익 Zero

 당기순이익 불변

달러당 INR 3 환차손/파생상품 손실

 당기순이익 불변 계약(수주)환율

55

Worst Case

Best Case 예) USD Payable 헤지를 위해 Forward(선물환) Buy 거래를 함

환 헤지란? 환 위험을 피하기 위해 행하는 거래

What is “Hedge”?

(9)

9 Corporate Sales

1. 미래환율에 대한 예측을 하지 않는 것이 원칙

 환에 대한 기대심리를 심어줄 수 있는 단기 환율 전망은 하지 않으며 장기 경영계획 환율에 대해서만 예측

2. 순수 영업이익이 아닌 환차에 의한 어떠한 기대이익도 도모하지 않음

 환 익스포져 확인 시 지체 없이 환 헤지를 해야 함 Euro 위기 이후

환율 변동성 확대

기업의 국제화 진전에 따른 대외거래규모

확대

환차손익이 기업의 경상이익에 미치는

영향 증대

환율이 불리한 방향으로 움직이더라도 환 위험 관리를 통해 환차손을 최소화함으로써 기업의 안정성을 확보한다는 인식 필요

환 리스크 관리의 원칙 환 리스크 관리의 필요성

What is “Hedge”?

(10)

Hedge Instruments

내부적 관리기법

Net 외화포지션를 기업 내부적으로 조정하여 환 Exposure의 규모를 조정하는 방법

■ Matching

■ Leading & Lagging

■ Netting

■ Pricing Policy

구 분 환율상승 전망 시 환율하락 전망 시

수 출 업 자 수출Nego를 지연 수출Nego를 앞당김

수 입 업 자 수입결제를 앞당김 수입결제를 지연

(11)

11 Corporate Sales

Hedge Instruments

외부 관리기법

■ FX Market

- Spot (현물환)

- Outright Forward / Futures (선물환 / 선물) - FX Swap (외환스왑)

■ Derivatives Market

- Currency ; Currency Swap, Currency Option, Currency Futures - Interest ; Interest Swap, Interest Option, Interest Futures

- Equity Dev., Credit Dev.

(12)

Hedge Instruments

Spot (현물환거래)

FX Swap

Money Market (자금시장)

Outright Forward(선물환거래)

Currency Futures(통화선물)

Currency Option(통화옵션)

Currency Swap(통화스왑) Interest Rate Swap(이자율스왑)

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13 Corporate Sales

Alternative Choices

Wants to cover FX risk under

current level

Selecting Optimal Hedging Strategy

Wants to fix the cost

Range Forward Seagull

yes

yes no

Wants to cover FX risk under

current level

Selecting Optimal Hedging Strategy

Wants to fix the cost

Outright Forward Pure Call/Put -Option

Buy

Range Forward Seagull Call Spread

yes

yes no

no Stay unhedged

(14)

FX Market in India

(15)

15 Corporate Sales 15

India

General

Monetary authority

Policy target

Policy rate

Deciding body

Exchange rate regime

Exchange rate target

Intervention instruments

Economic Overview – Recent data releases indicate a significant slowdown in economic growth.

Rapid inflation is exerting downward pressure on growth in private consumption (the main driver of economic expansion, accounting for nearly 60% of nominal GDP), while high interest rates are

deterring capital investment.

Reserve Bank of India

Medium-term WPI inflation of 4.0- 4.5%

Repo rate

RBI governor, supported by a Technical Advisory Council Floating (IMF)

No target and seldom FX

intervention to mitigate volatility Spot USD-INR and FX forwards Economic and financial indicators*

*Fiscal year starts in April, **Yearly average, *** Months of imports, ****Year-end; Sources:

CSO, RBI, IMF, Standard Chartered Research

2009 2010 2011 2012F

Real GDP, change 7.4 8.5 7.7 8.3 CPI inflation** 3.9 9.6 8.4 6.0 Current account/GDP -2.9 -2.6 -2.8 -2.5 FX res./imports*** 11.2 9.5 9.8 10.0 Fiscal balance/GDP -9.7 -9.2 -8.5 -8.1 Primary balance/GDP -4.9 -4.7 -3.9 -3.0 Gen. govt. debt/GDP 73.0 68.1 66.2 65.9 External debt/GDP 18.0 17.3 17.0 16.8

Repo rate **** 4.75 6.25 8.50 8.00

Country ra ting

S&P BBB- BBB- BBB- BBB- Moody’s Baa3 Baa3 Baa3 Baa3 Fitch BBB- BBB- BBB- BBB-

(16)

India – Market and Requirements

- Regulatory Requirements

For Onshore Deliverable CCS, the client needs to face SCB India RBI guideline: Board resolution for dealing in derivatives needed ISDA / Periodic Stat Auditor Certificate on outstanding derivatives Proof of underlying in case the lending is not through SCB

Notional & Tenor cannot exceed the underlying

- Market Liquidity

FX market is liquid with daily volume of USD 4bn Spot and USD 8bn Forward

In shorter tenor (less than 1 year), INR bid-offer is 0.02 up to USD 100mn notional Longer tenor has liquidity up to 10 years with interbank daily volume of 50 mn USD Lot sizes are USD 25-50 mn for longer tenors

Swap to other currencies are derived from USD basis curve

Due to short-term USD liquidity shortage, the short end is extremely steep and flattish longer term

(17)

17 Corporate Sales

Spot

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Hedge Instruments (Spot)

Spot (현물환거래)

거래체결 후 제2영업일 이내의 결제일을 가진 외환거래를 말함.

■ A binding obligation to buy or sell a certain amount of foreign currency at the market

rate, for settlement in two business days time.

■ 기본요소

- 거래일자 (Trade Date) - 거래상대방 (Counterparty) - 두가지의 통화 (Currency Pair) - 현물환환율 (Spot Rate)

- 거래금액 (Amounts)

- 자금결제일 (Value Date/ Settlement Date) - 자금수도/결제방법 (Payment Instruction)

(19)

19 Corporate Sales

Hedge Instruments (Spot)

Spot

(현물환거래)

■ KR Company dealt done a Spot transaction with SCB India as follows ;

Assumption Spot USDINR 56.40 Trade Date

31 May 2012

Deal Details

KR

buys USD 2 mio against INR at 56.40, value on 04 Jun 2012.

Payment Instruction

HM asks “please pay my USD to Citi bank, Delhi Br.”.

(20)

FX Swap (FX 스왑 )

(21)

21 Corporate Sales

Hedge Instruments (FX Swap)

FX Swap (외환스왑)

■ Swap ?

Swap의 사전적인 의미는 “무엇을 교환한다”라는 뜻이며 국제금융시장에서는 교환상품에 따라 FX Swap/Currency Swap(통화의 교환), Interest Swap(금융이자 흐름의 교환), Equity Swap(주 식권리의 교환) 그리고 Commodity Swap(상품의 교환)등으로 구분됨.

주로 반대되는 Cash Flow의 시간차이의 조정을 위하여 사용되어짐.

■ 거래의 매개체 Swap Margin (Swap Points,Forward Points,pips)으로 거래가 이루어짐

*please see the next page*

■ 기본요소

Spot(현물환)과 Forward(선물환)거래가 동시에 이루어짐.

- 거래일자 (Trade Date) - 거래상대방 (Counterparty) - 두가지의 통화 (Currency Pair)

- 두가지의 거래환율 : 현물환환율 (Spot Rate) ± (Swap Margin) = 선물환환율 (Forward Rate) - 거래금액 (Amounts)

- 두개의 자금결제일 (Spot : Forward Value Dates) - 자금수도/결제방법 (Payment Instruction)

(22)

Hedge Instruments (FX Swap)

FX Swap (외환스왑)

■ Swap Margin

모든 통화는 그 고유의 가치(이자율)를 가지고 있으며, 이들의 교환거래(Swap)에는 필연적으로 모든 시장 참여자들에게 공정하게 적용되어지는 보상기준이 있어야 하 며, 이것을 Swap Margin (Swap Points, Forward Points)이라 함

실무에서 쓰기 편한 간편식은 ,

[Spot X Interest rate differential* X Day counts] / [100 X Annual basis]

Interest rate differential은 항상 ( Counter Ccy – Base Ccy )가 된다. 대부분 Base currency는 USD가 되지만, GBP/ EUR/AUD/NZD의 경우에는 이들 통화가 Base currency 됨.

주요통화의 Swap Margin은 결코 미래에 대한 시장의 예상이 배제된 순수하게 위의 계산식에 의하여 만들어지며, Reuters/Bloomberg등 세계유수의 통신사에 의해 통화간의 이자율 차이를 실시간 반영한 Swap Margin이 고시되어 짐. Emerging 통화의 경우 자본이동의 부자유로 이자율 격차 이외에 수급에 의해 Swap시장이 영향을 받을 수 있으며,유동성 부족/ 신용도에 따른 추가비용이 발생할 수 있습니다.

√ 1 month Interest INR 9.2% USD 0.25% / USD/INR Spot 56.38

⇒ [56.38 X (9.2 – 0.25) X 30] / [100 X 360] = 41 (1 Month USD/INR Swap Margin)

(23)

23 Corporate Sales

Hedge Instruments (FX Swap)

Assumption

USDINR EURUSD

Spot 56.40 1.2390

FX Swap

3 Month 1.00 0.0010

6 Month 1.70 0.0030

(24)

Hedge Instruments (FX Swap)

FX Swap (외환스왑)

■ XYZ는 현재 USD 5 mio를 수출Nego대전으로 수취하였으며, 자금 스케줄을 확인한 결과 3개월 뒤 본사에서의 부품수입에 따른 USD 5 mio의 결제가 예정되어있음.

Trading Date 14 Jun 2012

Trading Rate USDINR Spot 56.40

+

3 mth Swap Margin 1.00 = 3 mth Forward Rate 57.40 Deal Details

⇒ XYZ Sell & Buy USD 5 mio against INR, Rates 56.40/57.40, Value on 14 Jun/ 14 Sep 2012.

Cash flow Spot Spot+3개월

+ USD 5 mio - USD 5 mio

XYZ Sell USD 5 mio Buy USD 5 mio

Buy INR 282 mio Sell INR 287 mio

SCB Buy USD 5 mio Sell USD 5 mio

(25)

25 Corporate Sales

FX Forward ( 선물환 )

(26)

Hedge Instruments (Outright Forward)

Outright Forward (선물환)

■ An agreement between two parties to exchange a fixed amount of two particular

currencies at a particular date/ time in the future.

FX Swap과 달리 미래에 발생하는 일방향의 현금흐름에 대한 헤지를 위하여 사용

■ 기본요소

- 거래일자 (Trade Date) - 거래상대방 (Counterparty) - 두가지의 통화 (Currency Pair)

- 선물환환율 (Outright Forward Rate) - 거래금액 (Amounts)

- 자금결제일 (Value Date/ Settlement Date) - 자금수도/결제방법 (Payment Instruction)

(27)

27 Corporate Sales

Hedge Instruments (Outright Forward)

Outright Forward

(선물환거래)

■ (주)IS철강은 유럽에서 원자재인 Hot Coil (EUR 1 mio)를 3개월 유산스 LC로 수입하여, 3개월 뒤 이를 결제 하여야 한다.

(주)IS철강

dealt done a Outright Forward transaction with SCB India as follows ;

Trading Date 14 Jun 2012

Trading Rate Forward Rate 1.2400 (EURUSD Spot 1.2390 + 3 mth Swap Margin +0.0010)

Deal Details

⇒ (주)IS철강 buy EUR 1 mio against USD, Rates 1.2400, Value on 16 Sep 2012.

⇒ 위의 거래는 다음 두 단계를 가진다.

 Spot 시장에서 ㈜IS철강 buy EUR 1 mio against USD at 1.2390  FX Swap 시장에서 ㈜IS철강 sell and buy EUR 1 mio against USD

- value 18 Jun (Spot) – value 18 Sep (3개월) - rates are 1.2390 (Spot) /

1.2400 (Forward)

(28)

Hedge Instruments (FX Swap vs. FX Forward)

FX Swap(외환 Swap) vs. Outright Forward (선물환)

■ OTC시장에서는 선물환 거래 시장은 존재하지 않으며, Spot(현물환) 시장과 FX Swap시장을 통하여 선물환 거 래가 이루어 진다.

FX Spot Market Money Market

(FX Swap Market)

Outright Forward (선물환거래)

Value Date

FX Swap : Near(1st) Leg와 Far(2nd) Leg를 가진다.

Outright Forward : 미래의 특정일자(특정기간)으로 표시된다.

거래형태

FX Swap : Buy/Sell또는Sell/Buy가 동시에 이루어진다.

환율변동에 의한 Risk “zero”

Outright Forward : Buy 또는 Sell이 하나만 존재한다.

환율변동에 의한 Risk 존재

(29)

29 Corporate Sales

Hedge Instruments (FX Swap vs. FX Forward)

계약환율의 형태

FX Swap : Near(1st) Leg Spot @ X ( Buy or Sell ) Swap Margin Y pips

Far(2nd) Leg 선물환환율 @ X ± Y pips ( Sell or Buy )

e.g. ㈜ HM은 현재(6월14일) 다음과 같은 Cash Flow가 예상되어진다.

6월 14일 (Spot) 수출대전 입금 USD 1 mio 9월 18일 (3개월) 원자재수입결제 USD 1 mio

6월14일

INR 자금운영의 조달과 환 리스크 헤지를 위하여 FX Swap 계약을 체결하기로 하고, SCB에 가격 의뢰/체결

( SCB 제시가격 )

USD/INR Spot 환율 56.40 Swap Margin (3개월) 1.00 ( SCB 계약체결 )

 ㈜ HM sell and buy USD 1 Mio against INR, value 6/14 (Spot) – value 9/18 (3개월), rates are 56.40 (Spot) / 57.40 (Forward)

FX Swap계약 체결 시 위에서 보듯 Spot 환율은 큰 의미를 가지지 못하며, Swap Margin의 값이 중요 시 됨. Spot 환율은 시장과 크게 괴리를 가지지 않는다면 계약은행과의 계약체결 시 조정할 수 있다.

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Hedge Instruments (FX Swap vs. FX Forward)

Outright Forward : 선물환환율 하나만 존재

e.g. ㈜HS철강은 현재(7월15일) 다음과 같은 Cash Flow가 예상되어진다.

⇒ 원자재인 Hot Coil (USD 1 mio)을 6개월 유산스L/C로 수입 하여, 6개월뒤(12/18) 이를 결제

6월14일

USD 환율상승에 의한 환 리스크 헤지를 위하여 선물환 계약(Outright Forward Contract)을 체결하기로 하 고 , SCB에 가격의뢰/체결

( SCB 제시가격 )

USD/INR Spot 환율 56.40 Swap Margin (6개월) + 1.70 ( SCB 계약체결 )

 ㈜HS buy USD 1 Mio against USD, value 12/18 (6개월), rate should be

58.10

(= 56.40 + 1.70)

선물환계약은 FX Swap거래와는 달리 한 방향(buy)의 거래만이 이루어진다. 즉, Spot(현물환) 거래를 통 해 Buy 또는 Sell를 결정하고, FX Swap시장을 이용하여 결제시점을 미래일정 시점에 연장하는 것이다.

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31 Corporate Sales

Currency Option

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Currency Option의 개념

■ An agreement between two parties – the option buyer and option seller.

: 계약당사자간에 정하는 바에 따라 일정한 기간내에 미리 정한 가격으로 기초통화을 사거나 팔 수 있는 권 리를 사고 파는 계약

- Option Buyer has the right to demand purchase or sales of the specified currency but has no obligation to do so. The Buyer pays some premium in return for the right to Seller.

- Option seller is obligated to purchase or sell the named currency demand.

■ 구성요소

- 기초자산 (Underlying Currency)

- 행사가격 (Strike Price, Exercise Price) - 만기일 (Expiry Date, Maturity)

- 결제일 (Value date, Settlement Date) - Premium

- Call Option vs. Put Option

- 매입자 (Buyer, Holder) vs. 매도자 (Seller, Writer, Grantor) - 표준 (Vanilla) vs. 이색 (Exotic)

Hedge Instruments (Currency Option)

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33 Corporate Sales

Hedge Instruments (Currency Option)

Currency Option의 개념

■ Outright Forward(선물환)과의 차이점

-

선물환 거래 “권리 / 의무” 동시 보유

- 옵션거래 매입자는 “권리”, 매도자는 “의무” 보유

■ Option별 권리와 의무

팔 의무 (Exporter) 살 의무

(Importer) 매 도 자

(의무 보유 및 프리미엄 수취)

살 권리 (Importer) 팔 권리

(Exporter) 매 입 자

(권리 보유 및 프리미엄지급)

Call Option Put Option

구 분

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Hedge Instruments (Currency Option)

Currency Option 가치

■ 구성요인

- 기초자산 (Underlying Currency)의 현물환 가격 (Spot) - 행사가격 (Strike Price, Exercise Price)

- 만기일까지의 기간 (Maturity) - 변동성 (Volatility)

- 외국통화 이자율 / 현지통화 이자율

■ 결정요인

옵션의가치(Premium) = 내재가치 (Intrinsic Value) + 시간가치(Time value)

내재가치 (Intrinsic Value)

: 현재의 옵션행사 가치로써 지금 당장 행사 하였을 때 얻을 수 있는 이익.

 시장가격과 행사가격과의 차이 (Strike 와 선물환환율(또는 Spot)과의 차이) 시간가치 = 옵션프리미엄 – 내재가치

: 옵션 만기까지 남아있는 시간내에 이익을 얻을 수 있는 기회가치로, 만기까지의 기간이 길 수록 변동성이 크므로 계산된 가치인데 만기가 다가옴에 따라 시간 가치는 감소하게 되고, 만기가 되면 시간가치는 “0”이 됨.

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35 Corporate Sales

Hedge Instruments (Currency Option)

Currency Option 가치

■ In The Money (ITM) Option : 내가격옵션

→ 옵션 소유자가 즉시 권리를 행사하면 이익이 발생하는 옵션 (수출업체인 경우 : Strike Price >선물환율)

■ At The Money (ATM) Option : 등가격옵션 → 대상자산 가격과 권리행사 가격이 같은 옵션 (Strike Price = 선물환율)

■ Out of The Money (OTM) Option : 외가격옵션

→ 옵션 소유자가 즉시 권리를 행사하면 손실이 발생하는 옵션 (수출업체인 경우 : Strike Price< 선물환율)

(36)

Hedge Instruments (Call Option)

Call Option

■ A Call option gives the buyer the right to buy a set amount of one currency for another at a specific rate (Strike) on a certain date (expiration)

■ Call Option 매입자의 경우 일정비용(Option Premium)을 매도자에게 지불함으로서 외국 통화의 평가절상으로 인한 손실에 대비할 수 있다.

⇒ 외국통화 Short Position의 헤지 수단

Assumption) USDINR Spot 56.40

6 month Swap +1.70

6 month 선물환율 58.10

ATMF* Call Option Premium Strike 58.10*

USD 32,000 per Notional USD 1 mio

√ ATMF(at-the-money-forward) means “ Option Strike = Forward Rate”.

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37 Corporate Sales

√ HM은 6개월 후에 있을 USD 1 mio 수입결제를 위하여 USD Call Option매입계약을 SCB와 체결하였다.

Trading Date 14 Jun 2012

거래형태 HM buys USD 1 mio Call / INR Put, Strike at 58.10 Maturity Date 18 Dec 2012

P&L +

-

USD/INR

Strike 58.10

Premium USD 32,000

At Maturity Date,

⌂ Strike 58.03 < Spot, HM은 보유 Call Option 의 권리를 행사

⇒ HM’cost rate : 58.10

⌂ Strike 58.03 > Spot, HM은 보유 Call Option 의 권리포기하고, 시장에서 USD매입

⇒ HM’cost rate : Prevailing Market Rate Key Advantage for purchasing Call Option

Known Risk

Unlimited Profit Potential

Flexibility

60.02

미래의 여하간의 환율변동에도 USD수입결제의 원가환율은

Max.@ 58.10

Hedge Instruments (Call Option)

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Put Option

■ A Put option gives the buyer the right to sell a set amount of one currency for another at a specific rate (Strike) on a certain date (expiration)

■ Put Option 매입자의 경우 일정비용(Option Premium)을 매도자에게 지불함으로서 외국 통화의 평가절하로 인한 손실에 대비할 수 있다.

⇒ 외국통화 Long Position의 헤지 수단

Assumption) USDINR Spot 56.40

6 month Swap +1.70

6 month 선물환율 58.10

ATMF* Put Option Premium Strike 58.10*

USD 37,000 per Notional USD 1 mio

√ ATMF(at-the-money-forward) means “ Option Strike = Forward Rate”.

Hedge Instruments (Put Option)

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39 Corporate Sales

√ HM은 6개월 후에 있을 USD 1 mio 수출Nego를 위하여 USD Put Option매입계약을 SCB와 체결하였다.

Trading Date 14 Jun 2012

거래형태 HM buys USD 1 mio Put / INR Call, Strike at 58.10 Maturity Date 18 Dec 2012

P&L +

-

USD/INR

Premium USD 37,000

At Maturity Date,

⌂ Strike 58.10 < Spot, HM은 보유 Put Option 의 권리포기하고, 시장에서 USD 매도

⇒ HM’cost rate : Prevailing Market Rate

⌂ Strike 58.10 > Spot, HM은 보유 Put Option 의 권리를 행사

⇒ HM’cost rate : 58.10

Key Advantage for purchasing Put Option

Known Risk

Unlimited Profit Potential

Flexibility

56.01

Strike 58.10

미래의 여하간의 환율변동에도 USD수출Nego의 판가환율은

Min. @ 58.10

Hedge Instruments (Put Option)

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Call

A call option gives the holder the right to buy an agreed amount of currency at a pre-agreed rate within a defined period.

Value of call option will appreciate when the value of the underlying asset/commodity/currency appreciates.

Put

A put option gives the holder the right to sell an agreed amount of currency at a pre-agreed rate within a defined period.

Value of put option will appreciate when the value of the underlying asset/commodity/currency depreciates.

Premium

For the holder to own an option contract, the holder needs to pay a price to the seller (writer). The price is called the premium of the option contract.

Usually the premium is settled on the spot date.

Strike

This is the pre-agreed rate in an option contract that allows the buyer of the options to buy/ sell the currency with the seller of the options.

FX Option Definitions

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41 Corporate Sales

Rates Hedging Instrument

- Interest Rate Swap (IRS)

(42)

- Interest Rate Swap (IRS)

Interest Rate Swap의 개념

■ An agreement between two parties to exchange a stream of cash flow at specified

intervals based upon a notional amount but there wouldn’t exchange the principal.

Typically, IRS allows a liability (asset) manager to convert their floating (or fixed) rate

liability (asset) into a fixed (floating) rate one or vise versa. The payments are denominated in the same currency – an Interest Rate Swap hedges only interest rate risk and not FX risk (cf. Cross Currency Swap).

■ 구성요소

- 기초자산 (Underlying One Currency) - Periodic Interest Payment

- Swap Rate (normally Fixed rate which be exchanged with Floating Rate) - Two Counterparties

 Fixed Rate Payer

 Floating Rate Receiver

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43 Corporate Sales

Coupon Swap

- 일반적인 IRS Type 이며, Libor 등 과 교환 되어지는 고정금리로 표시됨

PAYER of Fixed (RECEIVER of

Floating)

RECEIVER of Fixed (Payer of Floating) Pays Fixed Rate

Receive Floating Rate

- Interest Rate Swap (IRS)

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Interest Rate Swap의 이용

■ HM Company는 3년 만기 USD 변동금리 차입 (3M Libor)을 하기로 하였으며, 금리상승의 위험 을 헤지하기 위하여 USD 이자율스왑( IRS)을 실행하였다.

⇒ Assumption 3M Libor 0.47%, 3Year USD IRS 0.75%

SCB HM Company

Fixed Rate 0.75%

3M Libor

USD변동차입 (3M Libor) 3M Libor

HM은 미래의 여하의 금리변동과 관계없이 IRS 거래를 통하여 이자율 리스크를 헤지할 수 있다.

즉, USD변동금리부부채를 IRS를 통하여 USD고정금리 부채로 전환한 것이다.

- Interest Rate Swap (IRS)

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45 Corporate Sales

- Interest Rate Swap (IRS)

USD 3 mth Libor in last 1Y High 0.581 (30 Dec 11)

Low 0.2453 (13 Jun 11)

USD 3Y IRS in last 1Y High 0.885 (21 Nov 11)

Low 0.57 (21 Jan 12)

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Liabilities Hedging Instrument

- Call Spread

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47 Corporate Sales

4 7

Maturity 5y (amortizing)

USD Notional USD 10 mio Client

receives USD 3m LIBOR + 3%

Client pays INR 10.55% p.a. on the outstanding INR notional

Indicative Terms and Conditions

Rationale

Transaction Client buys USD Call at Strike Rate in USD Repayment Amount (625,000)

Client sells USD Call at Cap Rate in USD Repayment Amount (625,000)

Strike Rate 56.00

Cap Rate 70.00

Spread Cap Rate – Strike Rate (i.e. Rs.14 / USD)

Payoff

(Expiry Reference Rate = ERR)

If ERR < Strike Rate,

Client buys USD Notional at ERR

If Strike Rate <= ERR < Cap Rate, Client Buys USD Notional at 56.00

If ERR >= Cap Rate,

Client buys USD Notional at ERR – 14.00 Indicative Terms and Conditions (Call spread)

With the recent rupee volatility, it might seem prudent to ta ke a hedge as given in the CCS structure. However there is a possibility of INR recovering in the medium term

In this context (esp. since this a long term liability), it mak es imminent sense to look for a hedging solution, that (a) r educe the headline cost (b) and allows you to enjoy the up side in case INR does recover eventually.

The above structure offers protection on the principal agai nst INR depreciation upto 70.00, at the same time allowing you to participate in INR appreciation

Additionally, Interest rate risk is fully covered and exchang e rate risk on the Interest payments is fully covered

USD/INR Strike Rate

Premium Cap Rate

Call Spread

Call Spread

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Cost reduction structures involve simultaneous buying and selling of options e.g. range forward, seagull, call spread, put spread etc. which reduce the amount or premium or make the structure zero – cost

Criteria for entering into Call Spreads :

AS – 30: Already following AS 30 OR

Non AS – 30

Fair Value of all Derivatives & Adoption of Accounting Standards as per Section 211 3c and following principles of prudence & MTM on derivatives in Annual Report OR Satisfactory clarification for the absence of the same AND

Mandatory Disclosures as per ICAI Press Release dated December 2005 on Product-wise

quantitative data (Notionals) on outstanding derivatives instruments, additional info on currency- wise break-up is desirable

Purpose of derivative instruments

Details of unhedged foreign currency exposures AND

Listed entity OR Subsidiary/JV/Associate of a listed entity with common treasury and Consolidated Balance sheet OR Unlisted entity with Networth >= INR 200 crs

Structured Derivative Board resolution

Call Spread – Criteria for corporates

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49 Corporate Sales

A structured derivative BR should cover the following:

Corporate has in place a Risk Management Policy approved by its Board which contains the following

Guidelines on risk identification, measurement and control;

Guidelines and procedures to be followed with respect to revaluation and monitoring of positions

Designation of officials authorized to undertake transactions and limits per transaction assigned to them and a requirement that the assignment of limits to an official would be on per transaction basis

Accounting policy and disclosure norms to be followed in respect of derivative transactions

A requirement to disclose the MTM valuations appropriately

A requirement to ensure separation of duties between front, middle and back office

Mechanism regarding reporting of data to the Board including financial position of transaction etc

Corporate has laid down clear guidelines

For conducting the transactions and institutionalized the arrangements for a periodical review of operations and annual audit of transactions to verify compliance with the regulations

Board Resolution for Call Spread

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Deferred premium criteria – RBI Guidelines

Premium for Option contracts with tenure of more than 1 year can be deferred, provided the premium payment period does not extend beyond the maturity date of the contract.

The premium payment should be uniformly received over the maturity of the contract and its periodicity should be at least once in a quarter.

This facility should not be allowed for the contracts which are based on past performance basis.

Decision to permit the counterparty to defer the premium on options, is on the Bank’s credit

department. They may impose any other condition if required.

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51 Corporate Sales

5 1

Disclaimer

This communication is issued by Standard Chartered Bank (“Standard Chartered” or “we”), a firm authorised and regulated by the United Kingdom’s F inancial Services Authority. It is only addressed to persons in the European Union (“EU”) who come within the exemption of Article 4 of the Prospectus Directive 2003/71/EC and must not be acted on or relied on by other persons in the EU. Outside of the EU, it is directed at persons who have experienc e in matters relating to investment. It has not been prepared in accordance with legal requirements designed to promote the independence of investme nt research and is not subject to any prohibition on dealing ahead of the dissemination of investment research. It is provided to assist interested partie s in making a preliminary analysis of the proposed transaction(s) or structure(s) and does not purport to be all-inclusive or to contain all of the informa tion that a prospective investor may require to make a full analysis of the proposed transaction(s) or structure(s) This information is for discussion pur poses only and it does not constitute either an offer to sell or the solicitation of an offer to buy any security or any financial instrument or enter into an y transaction.

Information (including market data and statistical information) appearing herein have been obtained from various public sources believed to be reliable . We do not represent or warrant that this information is accurate or complete. Accordingly, it should not be relied upon as such. Any analysis containe d herein is not comprehensive and could be affected by changes in market parameters. All analysis and opinions contained herein have been derived b y SCB using models, empirical data and assumptions that we believe to be accurate and reasonable at the date specified and are subject to change wit hout notice. The information contained herein does not purport to identify or suggest all the risks (direct or indirect) that may be associated with the pr oposed transaction(s) or structure(s). You are advised to exercise your own independent judgment (with the advice of your professional advisers as ne cessary) with respect to the risks and consequences of any matter contained herein. We expressly disclaim any liability and responsibility for any loss es arising from any uses to which this communication is put and for any errors or omissions in the communication.

© Copyright 2009 Standard Chartered Bank. All rights reserved. All copyrights subsisting and arising out of these materials belong to Standard Charter ed Bank and may not be reproduced, distributed, amended, modified, adapted, transmitted in any form, or translated in any way without the prior writte n consent of Standard Chartered Bank.

(52)

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