bai tap kinh doanh ngoai hoi

1

BT 4 chng III, gio trnh :* Tnh t gi AUD/CHF k hn 6 thng c yt trn th trng : V im k hn mua vo l 200 im < im k hn bn ra l 210 im nn t gi AUD/CHF k hn 6 thng c tnh nh sau :

Fb 6m (AUD/CHF) = 0.8475 + 0.0200 = 0.8675Fa 6m (AUD/CHF) = 0.8515 + 0.0210 = 0.8725

Nh vy, F6m (AUD/CHF) = 0.8675 0.8725a. Nh nhp khu c c khan phi tr bng ngai t l 500,000

CHF vo 6 thng ti, nh vy anh ta s i mt ri ro t gi : ngai t (l CHF) s tng gi trong tng lai, tc t gi AUD/CHF tng ln trong tng lai th anh ta s phi chi ra s AUD nhiu hn thanh tan cho khan phi tr 500,000 CHF.

Nh vy, phng nga ri ro ng CHF tng gi trong tng lai, anh ta s bo him ri ro bng cch mua k hn 6 thng cho khan phi tr l 500,000 CHF ti mc t gi k hn bn ra 6 thng l 0.8725 AUD/CHF.

S AUD anh ta chi ra mua 500,000 CHF khi s dng hp ng khn bo him ri ro t gi :

500,000 CHF x 0.8725 = 436,250 AUD

BT 4 chng III, gio trnh :b. Nh cu 1 phn tch, nh nhp khu c i mt ri ro t gi l

CHF tng gi (hay t gi AUD/CHF tng). Nu CHF tng gi cng mnh (tc t gi AUD/CHF tng cng ln) th anh ta cng b thit hi nhiu hn tc phi chi ra s AUD nhiu hn mua 500,000 CHF.

T gi giao ngay k vng vo 6 thng sau l 0.8975 0.9025 AUD/CHF, nu 6 thng sau anh ta mua 500,000 CHF theo t gi giao ngay ths mua ti mc t gi giao ngay bn ra l 0.9025 AUD/CHF. Mc giny > mc t gi k hn 6 thng l 0.8725 AUD/CHF m anh ta mua k hn cho 500,000 CHF.

iu ny c ngha l nu anh ta mua 500,000 CHF trn th trng giao ngay 6 thng sau th s phi chi ra nhiu AUD hn so vi vic anh ta mua 500,000 CHF theo hp ng k hn 6 thng.

Nh vy, trong trng hp ny, anh ta s dng hp ng k hn l chiu qu.

** Tng t, nu t gi giao ngay k vng vo 6 thng sau l 0.7975 0.8025 AUD/CHF, mc t gi giao ngay bn ra l 0.8025 AUD/CHF < mc t gi k hn 6 thng l 0.8725 AUD/CHF.

iu ny c ngha l nu anh ta mua 500,000 CHF trn th trng giao ngay 6 thng sau th ch chi ra t AUD hn so vi vic anh ta mua 500,000 CHF theo hp ng k hn 6 thng. Nh vy, trong trng hp ny, anh ta s dng hp ng k hn l khng hiu qu.

2

BT 4 chng III, gio trnh :c. T gi giao ngay k vng vo 6 thng sau l 0.8975 0.9025

AUD/CHF, anh ta mua 500,000 CHF trn th trng giao ngay theo t gi giao ngay bn ra l 0.9025 AUD/CHF th s AUD anh ta chi ra l :

500,000 CHF x 0.9025 = 451,250 AUDTrong khi , theo cu 1, chng ta bit l nu s dng hp ng

k hn, anh ta ch chi ra mt s tin t hn l 436,250 AUD mua 500,000 CHF.

Nh vy, khi mua 500,000 CHF theo hp ng k hn th anh ta li c (hay tit kim c) mt khan AUD so vi khi anh ta mua theo t gi giao ngay trn th trng vo thi im n hn thanh tan 6 thng sau. Mc li trong trng hp ny l :

451,250 AUD 436,250 AUD = 15,000 AUD** Tng t, nu t gi giao ngay k vng vo 6 thng sau l 0.7975

0.8025 AUD/CHF, anh ta s dng hp ng k hn l khng hiu qu hay anh ta s b l khi s dng hp ng k hn v mc l trong trng hp ny s l :

(0.8725 0.8025) x 500,000 CHF = 35,000 AUD

BT 5 chng III, gio trnh :a. Tnh t gi k hn 3 thng mua vo v bn ra ha vn :

Fb3m hv = 110.20 x (1 + 2.25% x 3/12) / (1 + 3.75% x 3/12) = 109.79 JPY/USD Fa3m hv = 110.50 x (1 + 2.75% x 3/12) / (1 + 3.25% x 3/12) =

110.36 JPY/USDNh vy, F3m (JPY/USD) hv = 109.79 110.36Ta thy F(JPY/USD)3m = 109.79 110.36 < S(JPY/USD) =

110.20 110.50 nn USD c im k hn khu tr.**(Nu bi yu cu tnh thm im k hn 3 thng mua vo v

bn ra ha vn th s tnh nh sau) :FMb 3m hv = Fb Sb = 109.79 - 110.20 = - 0.41 JPY/USD hay

USD c im k hn khu tr 3 thng mua vo ha vn l 41 im.

FMa 3m hv = Fa Sa = 110.36 - 110.50 = - 0.14 JPY/USD hay USD c im k hn khu tr 3 thng bn ra ha vn l 14 im.

3

BT 5 chng III, gio trnh :

b. Cng ty Mitsui c khan phi thu bng ngai t l 1,000,000 USD sau 3 thng na nn i mt ri ro t gi l USD (ngai t) gim gi, tc t gi gim xung khin cho s tin JPY thu c khi chuyn khan thu xut khu 1,000,000 USD sang JPY s gim i . Nu s dng giao dch ngai hi k hn bo him ri ro t gi, cng ty Mtsui s bn k hn 3 thng 1,000,000 USD ti mc t gik hn mua vo 3 thng do ngn hng yt cho cng ty.

Nh vy, ngn hng s yt t gi k hn mua vo 3 thng JPY/USD cho cng ty Mtsui. Nu ngn hng mun c li nhun l 5 im th s phi gim t gi k hn mua vo 3 thng ha vn i 5 im (tc gim t gi Fb3m hv (JPY/USD) 5 im). Vy mc t gik hn mua vo 3 thng JPY/USD m ngn hng yt cho cng ty Mitsui l :

Fb 3m = 109.79 0.05 = 109.74 JPY/USD

S JPY cng ty Mitsui thu c nu k hp ng bn USD k hn 3 thng vi N.Hng bo him ri ro t gi cho khan thu XK :

1,000,000 USD x 109.74 JPY/USD = 109,740,000 JPY


* S dng H k hn bo him ri ro t gi :

Theo bi, F6m (CHF/USD) = 1.2440 1.2450

a. Nh nhp khu M c khan phi tr bng ngai t l 1,000,000 CHF vo 6 thng ti, nh vy anh ta s i mt ri ro t gi : ngai t (l CHF) s tng gi trong tng lai. V CHF ng vai tr ng tin nh gi trong t gi CHF/USD nn CHF tng gi c ngha l tgi CHF/USD gim xung trong tng lai th anh ta s phi chi ra s USD nhiu hn thanh tan cho khan phi tr 1,000,000 CHF.

Nh vy, phng nga ri ro ng CHF tng gi trong tng lai, anh ta s bo him ri ro bng cch mua k hn 6 thng cho khan phi tr l 1,000,000 CHF ti mc t gi k hn mua vo 6 thng c yt l 1.2440 CHF/USD.

S USD anh ta chi ra mua 1,000,000 CHF khi s dng hp ng k hn bo him ri ro t gi :

1,000,000 CHF / 1.2440 = 803,859 USD

4

7

BT 6 chng III, gio trnh, S DNG TH TRNG TIN T bo him ri ro t gi : PHN TCH

- c 1,000,000 CHF thanh ton tin hng NK vo 6 thngsau, nh NK M cn mua giao ngay CHF v u t s CHF ny vi li sut 1.25%/nm sao cho 6 thng sau, s tin ut v li u t s ng bng s tin thanh ton NK l1,000,000 CHF. Nh vy, s tin CHF cn mua giao ngay u t s l 1,000,000/(1+1.25%x6/12) = 993,789 CHF.

- mua giao ngay 993,789 CHF, cn bn USD theo t gigiao ngay mua vo l 1.2600 CHF/USD. Nh vy, s USD cn c mua CHF l : 993,789 CHF / 1.2600 = 788,721 USD.

- Mun c s USD ny, nh NK s i vay v vay ng s tin788,721 USD vi li sut 4.75%/nm. S n vay v li vayUSD phi tr vo 6 thng sau s l 788,721 USD x(1+4.75%x6/12) = 807,453 USD.

Thiim

Giao dchLung tin

USD CHF

Hinti

Vay USD 6 thng (4.75%/nm)

Mua giao ngay CHF(1.2600)

u t CHF 6 thng (1.25%/nm)

Lung tin rng

6 thngsau

Thu hi vn + li u t CHF

Thanh ton NK bng CHF

Han tr n + li vay USD

Lung tin rng


+ 788,721

+ 993,789- 788,721

- 993,789

00

+1,000,000

-1,000,000

- 807,453

0- 807,453

5

9


b. Theo phn tch trn, nu s dng giao dch ngai hi k hn bo him ri ro t gi th s chi ra 803,859 USD vo 6 thng sau mua khan phi tr1,000,000 CHF.

- Cn nu s dng th trng tin t (tc s dng ch yu l giao dch i vay v cho vay) bo him ri ro t gi th s chi ra 807,453 USD c c khan phi tr 1,000,000 CHF vo 6 thng sau.

- Nh vy, phng n s dng giao dch ngai hi khn bo him ri ro t gi s hiu qu hn v sUSD chi ra t hn.

BT 7 chng III, gio trnh :* Tnh t gi JPY/AUD k hn 6 thng c yt trn th trng : V im k hn mua vo l 200 im > im k hn bn ra l 190 im nn t gi JPY/AUD k hn 6 thng c tnh nh sau :

Fb 6m (JPY/AUD) = 110.10 2.00 = 108.10Fa 6m (JPY/AUD) = 110.30 1.90 = 108.40

Nh vy, F6m (JPY/AUD) = 108.10 108.40a. Nh xut khu Nht c khan phi thu bng ngai t l 1,000,000

AUD vo 6 thng ti, nh vy anh ta s i mt ri ro t gi : ngai t (l AUD) s gim gi trong tng lai, tc t gi JPY/AUD gim xung trong tng lai th s JPY anh ta thu c khi chuyn khan thu xut khu 1,000,000 AUD sang JPY s gim i . Nu s dng giao dch ngai hi k hn bo him ri ro t gi, anh ta s bn k hn 6 thng 1,000,000 AUD ti mc t gi k hn mua vo 6 thng l 108.10 JPY/AUD.

S JPY anh ta thu c khi s dng hp ng k hn bo him ri ro t gi cho khan thu XK 1,000,000 AUD :

1,000,000 AUD x 108.10 = 108,100,000 JPY

6

11

BT 7 chng III, gio trnh, S DNG TH TRNG TIN T bo him ri ro t gi : PHN TCH

- V s c khan thu 1,000,000 AUD sau 6 thng na, nnngay t by gi, nh XK Nht c th vay 6 thng AUD vi lisut 5.25%/nm sao cho 6 thng sau, s tin vay v li vay sng bng s tin XK thu c l 1,000,000 AUD. Nh vy, s tin AUD c th vay t by gi s l 1,000,000/(1+5.25% x 6/12) = 974,421 AUD.

- Nh XK Nht s dng s tin AUD vay c l 974,421 AUD mua giao ngay JPY vi t gi giao ngay mua vo l 110.10JPY/AUD. S tin JPY thu c l 974,421 AUD x 110.10JPY/AUD = 107,283,752 JPY.

- Nh XK s u t 6 thng s tin 107,283,752 JPY vi lisut 1,00%/nm. S tin u t v li u t vo 6 thng saus l 107,283,752 x (1+1.00%x6/12) = 107,820,171 JPY

Thiim

Giao dchLung tin

AUD JPY

Hinti

Vay AUD 6 thng (5.25%/nm)

Mua giao ngay JPY (110.10)

u t JPY 6 thng (1.00%/nm)

Lung tin rng

6 thngsau

Thu hi vn + li u t JPY

Thu XK bng AUD

Han tr n + li vay AUD

Lung tin rng


+ 974,421+107,283,752- 974,421

00

+1,000,000

-1,000,000

0

-107,283,752

+107,820,171

+107,820,171

7

13


b. Theo phn tch trn, nu s dng giao dch ngai hi k hn bo him ri ro t gi th s thu c 108,100,000 JPY vo 6 thng sau khi bn khan thu XK l 1,000,000 AUD.

- Cn nu s dng th trng tin t (tc s dng ch yu l giao dch i vay v cho vay) bo him ri ro t gi th s thu c 107,820,171 JPY khi ckhan thu XK l 1,000,000 AUD vo 6 thng sau.

- Nh vy, phng n s dng giao dch ngai hi khn bo him ri ro t gi s hiu qu hn v s JPY thu c nhiu hn.

1

Bi tp 2 Gio Trnh Chng IV Han ia. im han i (im k hn) mua vo ha vn :

16035 x (8.50%x3/12 6.25%x3/12) /(1 + 6.25%x3/12) = 89 VND/USD (hay 89 im) im han i (im k hn) bn ra ha vn :

16045 x (9.25%x3/12 5.50%x3/12) /(1 + 5.50%x3/12) = 148 VND/USD (hay 148 im)Vy USD c im k hn (im han i) gia tng mua vo ha vn l 89 im v bn ra ha vn l 148 im.b. Nu mun c li nhun 7 im chiu mua vo th ngn hng sgim im han i mua vo ha vn i 7 im. Vy ngn hng syt im han i mua vo cho khch hng l :

89 7 = 82 VND/USD (hay 82 im)Hoc : 89 im - 7 im = 82 im

Nu mun c li nhun 7 im chiu bn ra th ngn hng s tng im han i bn ra ha vn ln 7 im. Vy ngn hng s yt im han i bn ra cho khch hng l :

148 + 7 = 155 VND/USD (hay 155 im)Hoc : 148 im + 7 im = 155 im

Bi tp 2 Gio Trnh Chng IV Han i

c. Cng ty Vimex s s dng giao dch han i ngai hi nhm ko di 3 thng thi hn trng thi ngai hi cho khan phi tr, cng ty Vimex s l bn :

- Bn giao ngay 500,000 USD theo t gi giao ngay bnh qun l 16,040 VND/USD

- Mua k hn 3 thng cho 500,000 USD theo t gi k hn l16,195 VND/USD (tnh bng cch ly t gi giao ngay bnh qun 16,040 VND/USD + im han i bn ra m NH yt cho cng ty Vimex l 155 im (im han i c li nhun).

d. Bng lung tin (xem slide k tip)

e. T gi thc t m Vimex mua 500,000 USD l :

8,153,800,000 VND/ 500,000 USD = 16,308 VND/USD

2


Cu d) Thc hin giao dch han i ngai hi ko di trng thi ngai hi :

Lung tin rng

3thngsau

Lung tin rng

Hinti

USDVND

Lung tinGiao dch

Thiim

- 8,075 + 0.5

00

- 8,153.8 + 0.5

vt : triu

- 0.5

+ 55

+ 0.5

- 56.3

+ 8,020

- 8,097.5

Th.hin H k hn trc y (16,150)

Bn USD giao ngay H H.i (16,040)

Mua USD k hn H H.i (16,195)

Vay 3 thng s VND thiu (9.25%/nm)

Han tr vn v li vay VND

Bi tp 3 Gio Trnh Chng 4 Han i

T gi k hn thc t do nh to th trng yt gi :Ftt(CAD/USD)1m = (1.2015 + 0.0010) (1.2019 + 0.0015)

= 1.2025 1.2034T gi k hn cn bng theo iu kin ngang gi li sut :Fb cb(CAD/USD)1m = 1.2015 x (1+8.50%x1/12) / (1+4.75%x1/12) = 1.2052

Fa cb(CAD/USD)1m = 1.2019 x (1+8.75%x1/12) / (1+4.50%x1/12) = 1.2061

Vy : Ftt(CAD/USD)1m = 1.2025 1.2034Fcb(CAD/USD)1m = 1.2052 1.2061

USD c nh gi k hn thp trong thc t v Fa tt = 1.2034 CAD/USD < Fb cb = 1.2052 CAD/USD C c hi KD chnh lch li sut c bo him ri ro t gi (CIA).

3

Bi tp 3 Gio Trnh Chng 4 Han i(dng SWAP kinh doanh CIA)

- Vay USD 1 thng vi li sut 4.75% / nm

- Mua giao ngay CAD theo H Han i ti t gi giao ngay bnh qun :

1.2015 + 1.2019 / 2 = 1.2017 CAD/USD

v bn k hn 1 thng vn + li CAD theo H Han i ti t gi :

1.2017 + 0.0015 = 1.2032 CAD/USD (tc s dng t gi giao ngay bnh qun + im han i bn ra l 15 im)

- u t vo CAD 1 thng vi li sut 8.50%/ nm.

Bn CAD k hn 1 thng

Thu hi vn + li u t CAD

Bn CAD k hn 1m Hi(1.2032)Hin ti

u t CAD 1 thng (8.50%/nm)

Lung tin rng


1thngsau

Lung tin rng

Mua giao ngay CAD Hi (1.2017)


CADUSD

Lung tinGiao dch

Thiim

Bi tp 3 Gio Trnh Chng IV Han iVay 100.000 USD, thc hin cc bc kinh doanh CIA nh sau :

+ 100,000

+ 120,170- 100,000

- 120,170

00

+121,021

+ 100,583

- 100,396

0+ 187

-121,021

4

Bi tp 3 Gio Trnh Chng 4 Han i(dng FORWARD kinh doanh CIA)

T gi k hn thc t do nh to th trng yt gi :Ftt(CAD/USD) 1 thng = 1.2025 1.2034

T gi k hn cn bng theo iu kin ngang gi li sut :Fcb(CAD/USD) 1 thng = 1.2052 1.2061


- Vay USD 1 thng vi li sut 4.75% / nm- Mua giao ngay CAD ti t gi 1.2015 CAD/USD- u t vo CAD 1 thng vi li sut 8.50%/ nm- Bn k hn 1 thng vn + li CAD ti 1.2034 CAD/USD

Bn CAD k hn 1 thng


u t CAD 1 thng (8.50%/nm)Hin ti Bn CAD k hn 1m (1.2034)

Lung tin rng


1thngsau

Lung tin rng

Mua giao ngay CAD (1.2015)


CADUSD

Lung tinGiao dch

Thiim

Bi tp 3 Gio Trnh Chng IV (dng k hn KD CIA)Vay 100.000 USD, thc hin cc bc kinh doanh CIA nh sau :

+ 100,000

+ 120,150- 100,000

- 120,150

00

+121,001

+ 100,549

- 100,396

0+ 153

-121,001

5


y l tnh hung ko di thi hn khon phi thu. Vo ngy 01/07/200X, cng ty EMU phi thc hin hp ng bn k hn vc cc lung tin xy ra vo thi im ny : 750,000 USD v + 750,000 / 0.7500 = + 1,000,000 AUD. Cn x l sao cho cc lung tin ny bng 0.

Cch 1 : Nu s dng th trng tin t x l cho cc lung tin bng 0, cng ty s i vay 750,000 USD theo LS 4%/nm v u t 1,000,000 AUD theo LS 7%/nm.

V 1 thng na, khan phi thu v n l 750,000 USD, ch va tr phn vn vay USD hm nay. V vy, i vi khan tin li USD, cng ty phi mua k hn 1 thng theo t gi k hn 1 thng mua vo l 0.7471 USD/AUD bo him ri ro t gi cho khan tin li vay USD ny. Khan li vay ny c tnh nh sau : 750,000 USD x 4% x 1/12 = 2,500 USD


PA 1 : Thc hin giao dch trn th trng tin t :

Lung tin rng

1 thng sau

Lung tin rng

Hinti

USDAUD

Lung tinGiao dch

Thiim

+ 1,000 - 750

00

+ 1,002.487 - 750

vt : ngn

+ 2.50- 3.346

-752.50

+ 750

- 1,000

+1,005.833

Th.hin H bn K.Hn trc y(0.7500)

i vay USD 1 thng (4.00%/nm)

u t AUD 1 thng (7.00%/nm)

Han tr n vay v li vay USD

Thu hi vn v li u t AUD

Mua k hn 1 thng li USD (0.7471)

Thc hin mua k hn 1 thng li USD

6


Cch 2 : Nu s dng th trng tin t x l cho cc lung tin bng 0, trc tin cng ty s i vay 750,000 USD theo LS 4%/nm.

V 1 thng na, khan phi thu v n l 750,000 USD, ch va tr phn vn vay USD hm nay. V vy, i vi khan tin li USD l : 750,000 USD x 4% x 1/12 = 2,500 USD, cng ty s i u t theo LS 3.50%/nm ngay hm nay mt s vn USD sao cho 1 thng sau, vn v li u t ng bng 2,500 USD. Vy vn u t l : 2,500 / (1 + 3.5%x1/12) = 2,493 USD.

Mun c s USD ny cn i mua giao ngay v phi chi ra sAUD l : 2,493 USD / 0.7480 = 3,333 AUD.

V hin ti ang c 1,000,000 AUD thu c t hp ng bn khn nn s AUD cn li l : 1,000,000 3,333 = 996,667 AUD. Cng ty s i u t 996,667 AUD ny theo LS 7%/nm.

Bi tp 4 Gio Trnh Chng IV Han iPA 1 : Thc hin giao dch trn th trng tin t :

Mua giao ngay USD u t (0.7480)

Lung tin rng

1 thng sau

Lung tin rng

Hinti

USDAUD

Lung tinGiao dch

Thiim

+ 1,000 - 750

00

+ 1,002.481 - 750

vt : ngn

+ 2.50

-752.50

+ 750

- 2.493

+1,002.481



u t USD 1m tr li vay (3.50%/nm)




Thu hi vn + li u t USD tr li vay

- 3.333 + 2.493

+ 996.667

7


Cch 3 : S dng th trng tin t x l cho cc lung tin bng 0.

V 1 thng na, khan phi thu v n l 750,000 USD nn cng ty s i vay USD hm nay sao cho 1 thng sau, s vn + li vay = 750,000 USD. V vy, s vn vay hm nay : 750,000 USD / 1 + 4% x 1/12 = 747,508 USD cha cn i vi hp ng bn k hn 750,000 USD. Vi vy, cng ty s mua giao ngay s USD cn thiu = 750,000 747,508 = 2,492 USD.

S AUD phi chi ra l : 2,492 USD / 0.7480 = 3,332 AUD.

V hin ti ang c 1,000,000 AUD thu c t hp ng bn khn nn s AUD cn li l : 1,000,000 3,332 = 996,668 AUD. Cng ty s i u t 996,668 AUD ny theo LS 7%/nm.

Bi tp 4 Gio Trnh Chng IV Han iPA 1 : Thc hin giao dch trn th trng tin t :

Mua giao ngay USD cn thiu (0.7480)

Lung tin rng

Lung tin rng

Hinti

USDAUD

Lung tinGiao dch

Thiim

+ 1,000 - 750

00

+ 1,002.482 - 750

vt : ngn

- 750

+747.508

+1,002.482






- 3.332 + 2.492

+ 996.668

8


Nu s dng giao dch han i ngai hi x l cho cc lung tin ngy 01/07/200X bng 0, cng ty s s dng giao dch han i ngai hi nh sau :

- Mua giao ngay 750,000 USD theo t gi giao ngay bnh qun l0.7485 USD/AUD

- Bn k hn 1 thng 750,000 USD theo t gi k hn l 0.7481 USD/AUD (tnh bng cch ly t gi giao ngay bnh qun 0.7485 USD/AUD - im han i bn ra m th trng yt l 4 im, tc = 0.7485 0.0004).

* Ngai ra, v s AUD chi ra l 750,000/ 0.7485 = 1,002,004 AUD mua USD giao ngay theo hp ng han i > s AUD thu c l1,000,000 AUD t vic thc hin hp ng bn k hn n hn nn cng ty cn phi i vay 1 thng s AUD thiu ht l 2,004 AUD vi LS 7.50%/nm v nh vy th lung tin AUD ngy 01/07 mi bng 0.


PA 2 : Thc hin giao dch han i ngai hi :

Lung tin rng

1thngsau

Lung tin rng

Hinti

USDAUD

Lung tinGiao dch

Thiim

+ 1,000 - 750

00

+ 1,000.527 - 750

vt : ngn

+ 750

+ 2

- 750

- 2.013

- 1,002

+1,002.540

T/hin H bn K.hn trc y(0.7500)

Mua USD giao ngay H Hi (0.7485)

Bn USD k hn 1m H H.i (0.7481)

Vay 1 m s AUD thiu (7.50%/nm)

Han tr vn v li vay AUD

1

1

Bi tp 2 Chng 5 Gio Trnh

10,470750471,0001.256021 May

11,970(6,750)2,250475,5001.268026 May

16,4704,5006,750473,2501.262023 May

5,220(750)(4,500)466,5001.244022 May

9,7200470,2501.254020 May

9,7209,7200470,2501.254019 May

S d ti khan k

qu

K qu : + : B sung

- : Rt ra

iu chnh theo

th gi

Gi tr hp ng

T gi thanh tan

Ngy

Gi s nh KD mua HTlai ti IMM , 1H EUR = 125,000 EUR.

** Gi tr bng USD ca ba hp ng tng lai EUR ngy 19/5 :

3 H x 125.000 EUR/H x 1.2540 USD/EUR = 470,250 USD

Gi s mc KQBu : 3,240 USD/H ; KQDTr : 2,400 USD/H

2

Bi tp 2 Chng 5 Gio Trnh : Bn HTL

8,970(750)471,0001.256021 May

7,4706,750(2,250)475,5001.268026 May

2,970(3,750)(6,750)473,2501.262023 May

13,4704,500466,5001.244022 May

9,7200470,2501.254020 May

9,7209,7200470,2501.254019 May

S d ti khan k

qu

K qu : + : B sung

- : Rt ra

iu chnh theo

th gi

Gi tr hp ng

T gi thanh tan

Ngy

Gi s nh KD bn HTlai ti IMM , 1H EUR = 125,000 EUR.

** Gi tr bng USD ca ba hp ng tng lai EUR ngy 19/5 :

3 H x 125.000 EUR/H x 1.2540 USD/EUR = 470,250 USD

Gi s mc KQBu : 3,240 USD/H ; KQDTr : 2,400 USD/H

2

3

Bi tp 3 Chng 5 Gio Trnh : Bn HTL Gi s nh KD mua HTLai ti IMM , 1H AUD = 100,000 AUD.* Gi tr bng USD ca ba hp ng tng lai AUD ngy 16/7 : 3 H x 100.000 AUD/H x 0.6650 USD/AUD = 199,500 USD* Gi tr USD chi ra nu mua giao ngay AUD vo ngy 16/07 :

300.000 AUD x 0.6450 USD/AUD = 193,500 USD* Gi tr USD thu c khi bn 3 H tng lai AUD ngy 19/8 : 3 H x 100.000 AUD/H x 0.6850 USD/AUD = 205,500 USD* Gi tr USD chi ra nu mua giao ngay AUD vo ngy 19/08 : 300.000 AUD x 0.6680 USD/AUD = 200,400 USD* Trn TT Tng lai, nh KD chi ra 199,500 USD mua 3 H vo ngy 16/07 v bn li vo ngy 19/08 thu c 205,500 USD nn nh KD c khan li trn th trng tng lai : 205,500 USD 199,500 USD = 6,000 USD* Trn TT giao ngay, nh KD ch cn chi ra 193,500 USD nu gi s mua s AUD tng ng vo ngy 16/07 nhng thc t ngy 19/08 nh KD phi chi 200,400 USD mua s AUD nn nh KD s b l trn th trng giao ngay : 200,400 USD 193,500 USD = 6,900 USD* Vy thc t khi mua 300,000 AUD, nh KD cn b l mt khan bng :

6,900 USD 6,000 USD = 900 USD

4

Bi tp 4 Chng 5 Gio Trnh :a) Nh XK c khan phi thu bng EUR trong tng lai, i mt vi ri ro t

gi l EUR gim gi trong tng lai, vy anh ta s bn H tng lai EUR, thanh tan = USD bo him ri ro t gi. Nh vy, vo ngy 24/06, nhXK s bn s HTL EUR giao hng thng 9 : 900.000 EUR / 125.000 EUR = 7 hp ng (cn l 25,000 EUR khng bn c bng HTLai).

b) Nu khng bo him ri ro t gi, anh ta s bn theo t gi giao ngay vo ngy 24/07. Ta thy S ngy 24/7 = 1,1160 USD/EUR gim i so vi S ngy 24/06 = 1,2160 USD/EUR tc s USD anh ta thu c nu bn khan thu EUR vo ngy 24/07 gim i so vi bn vo ngy 24/06. Vy anh ta s b l nu khng bo him ri ro t gi v mc l ca anh ta trong trng hp ny l : 900.000 EUR x (1.2160 1.1160) = 90,000 USD

c) Nu s dng TTTLai bo him ri ro t gi, anh ta s bn 7 HTLai EUR giao hng thng 9 (tng ng 125,000 EUR x 7 = 875,000 EUR) vo ngy 24/06 ti t gi 1.2150 USD/EUR. Vo ngy 24/07, anh ta mua li 7 HTLai EUR tng t ti t gi thp hn l 1.1190 USD/EUR. Vy anh ta s c li khi bo him ri ro t gi bng HTLai v mc li ca anh ta trong trng hp ny l : 875,000 EUR x (1.2150 1.1190) = 84,000 USD

* Hiu qu bo him ri ro t gi bng H Tng Lai trong trng hp ny :HE = Li trn TTTLai / L trn TTGNgay = 84,000/ 90,000 x100% = 93,33%

3

5

Bi tp 4 Chng 5 Gio Trnh :d) Ri ro t gi trong trng hp ny khng lai b c han tan v :

- Nh XK khng bo him c ht khan phi thu, ch bo him c 7 HTLai EUR tng ng 875,000 EUR trong khi khan phi thu l 900,000 EUR nn s EUR khng bo him c l 25,000 EUR.- Thi im nhn khan thu XK l ngy 24/07 khc vi thi im o hn ca H tng lai EUR giao hng thng 9 phi l mt ngy trong thng 9.Ch khi thi im nhn khan thu chnh l ngy o hn HTLai th nh XK c th tin hnh thc hin H vo ngy o hn (thng qua cng ty thanh tan b tr) ging nh thc hin H bn k hn hoc c th tt tan HTLai theo gi thanh tan cui cng v bn EUR giao ngay vi t gi giao ngay = tgi thanh tan cui cng th lc ny, vic bo him ri ro t gi mi t hiu qu tc bn EUR ng theo mc gi tng lai bn vo ngy 24/06.Nhng v t gi giao ngay ch = t gi tng lai vo ngy o hn HTLai nn t gi giao ngay v t gi tng lai vo ngy 24/07 phi khc nhau khin cho vic bo him ri ro t gi khng t hiu qu nh nh XK mong mun.- Tn ti ri ro c bn : mc bin ng ca t gi giao ngay v mc bin ng ca t gi tng lai l khng bng nhau. T ngy 24/06 n 24/07, t gi giao ngay gim i mt khan l (1.2160 1.1160) = 0.1000 USD/EUR; trong khi tgi tng lai cng gim i mt khan nhng khng tng ng l (1.2150 1.1190) = 0.0960 USD/EUR.

6

Bi tp 5 Chng 5 Gio Trnh :a) Nh NK VN c khan phi tr bng EUR, thanh tan bng VND trong

tng lai, i mt vi ri ro t gi l EUR tng gi so vi VND trong tng lai. Nu s dng th trng tng lai bo him ri ro t gi, anh ta gp phi vn l VND khng c mua bn ti cc S giao dch tng lai nc ngai. Nhng do VND gn vi USD, VND v USD cng tng gihay gim gi vi cc ng tin khc, chng hn EUR tng gi vi VND cng c ngha l EUR tng gi so vi USD. V vy, anh ta han tan c th s dng USD thay th VND khi mua bn trn TTTLai. Do , trong trng hp ny, anh ta s mua H tng lai EUR, thanh tan = USD ti S Giao dch (v d IMM) bo him ri ro t gi. Nh vy, vo ngy 01/08, nh NK s mua s HTL EUR, thanh tan = USD giao hng thng 9 : 650.000 EUR / 125.000 EUR = 5 hp ng (cn l 25,000 EUR khng mua c bng HTLai).

b) Nu khng bo him ri ro t gi, anh ta s mua theo t gi giao ngay bn ra VND/EUR vo ngy 01/09. Ta thy Sa ngy 01/09 = 20,000 VND/EUR tng ln so vi Sa ngy 01/08 = 19,500 VND/EUR tc s tin VND anh ta chi ra khi mua khan phi tr EUR vo ngy 01/09 tng ln so vi mua vo ngy 01/08. Vy anh ta s b l nu khng bo him ri ro t giv mc l ca anh ta trong trng hp s dng th trng giao ngay l :

650.000 EUR x (20,000 19,500) = 325,000,000 VND

4

7

Bi tp 5 Chng 5 Gio Trnh :

c) Nu s dng TTTLai bo him ri ro t gi, anh ta s mua 5 HTLai EUR, thanh tan = USD giao hng thng 9 (tng ng 125,000 EUR x 5 = 625,000 EUR) vo ngy 01/08 ti t gi 1.2580 USD/EUR. Vo ngy 01/09, anh ta bn li 5 HTLai EUR tng t ti t gi cao hn l 1.2890 USD/EUR. Vy anh ta s c li khi bo him ri ro t gi bng HTLai v mc li ca anh ta trong trng hp ny l : 625,000 EUR x (1.2890 1.2580) = 19,375 USD

* S tin li USD ny quy ra VND theo t gi giao ngay mua vo USD ngy 01/09 l 16,010 VND/USD s uc :

19,375 x 16,010 = 310,193,750 VND

* Hiu qu bo him ri ro t gi bng H Tng Lai trong trng hp ny :

HE = Li trn TTTLai / L trn TTGiao Ngay

= 310,193,750 VND / 325,000,000 VND x 100% = 95,44%

8

Bi tp 5 Chng 5 Gio Trnh :d) Ri ro t gi trong trng hp ny khng lai b c han

tan v :

- Nh NK khng bo him c ht khan phi tr, ch bo him c 5 HTLai EUR tng ng 625,000 EUR trong khi khan phi tr l 650,000 EUR nn s EUR khng bo him c l 25,000 EUR.

- Thi im thanh tan khan thanh tan NK l ngy 01/09 khc vi thi im o hn ca H tng lai EUR giao hng thng 9 phi l ngy th T ca tun th ba ca thng 9.

- Tn ti ri ro c bn : mc bin ng ca t gi giao ngay vmc bin ng ca t gi tng lai l khng bng nhau. Tngy 01/08 n 01/09, t gi giao ngay VND/EUR tng ln mt khan l (20,000 19,500) = 500 VND/EUR; trong khi t gi tng lai cng tng ln mt khan nhng khng tng ng l(1.2890 1.2580) USD/EUR x 16,010 VND/USD = 496 VND/EUR.

5

9


e) Vic s dng hp ng tng lai EUR, thanh tan bng USD, sau quy v VND nh trng hp trn s c hiu qu da trn c s l EUR tng gi so vi c VND v USD tc l t gi VND/EUR v USD/EUR bin ng cng chiu (cng tng). V vy, m cch p dng nh trn s khng hiu qu, thm ch l tng thm ri ro khi : t gi VND/EUR v t giUSD/EUR bin ng ngc chiu, c th trong trng hp ny l VND/EUR tng gi trong tng lai trong khi USD/EUR li gim gi

- Khi VND/EUR tng gi th chng ta s b l nu s dng th trng giao ngay do s tin VND chi ra mua khan phi tr bng EUR s tng ln nh chng ta phn tch trn.

- Trong khi , nu USD/EUR bin ng ngc chiu tc gim gi thvic bo him ri ro t gi bng HTLai s khng c li b p cho khan l trn th trung giao ngay m cn b l (do USD/EUR gim gi nn mua HTL vi gi cao v bn li vi gi thp).

* Nh vy, trong trng hp ny, cch p dng HTL nh trn s khng hiu qu m cn tng thm ri ro, khin nh NK b l kp : l trn th trng giao ngay v l trn c th trng tng lai.

10

Bi tp 6 Chng 5 Gio Trnh :a) Nu nhn c khan thu XK ngy hm nay th Okie Tech s bn giao

ngay theo t gi giao ngay hin ti l 122.75 JPY/USD v thu uc s USD l : 150,000,000 JPY / 122.75 = 1,221,996 USD

* Li nhun rng ca Okie Tech :

1,221,996 USD x 10% = 122,200 USD

* Gi vn ca l hng XK : 1,221,996 122,200 = 1,099,796 USD

b) Okie Tech c khan phi thu bng JPY trong tng lai, i mt ri ro t gil JPY gim gi tc nu t gi JPY/USD tng ln th s tin USD cng ty nhn c khi quy i t khan phi thu bng JPY sang USD s gim i.

Vy nu bo him ri ro t gi bng th trng k hn, cng ty s bn khn 3 thng khan phi thu 150,000,000 JPY vo ngy hm nay theo tgi k hn 3 thng m ngn hng ang yt l 121.39 JPY/USD. S USD cng ty nhn c khi bo him ri ro t gi bng hp ng k hn l :

150,000,000 JPY / 121.39 = 1,235,687 USD

* Li nhun rng ca Okie Tech khi bo him bng th trng k hn :

1,235,687 USD 1,099,796 USD = 135,891 USD

6

1111

BT 6 chng V - gio trnh : PHN TCHc) Nu bo him ri ro t gi bng th trng tin t, Cty s :

- C khan thu 150,000,000 JPY sau 3 thng na, nn ngayt by gi, Okie Tech c th vay 3 thng JPY vi li sut3.55%/nm sao cho 3 thng sau, s tin vay v li vay sng bng s tin XK thu c l 150,000,000 JPY. Nh vy, s tin JPY c th vay t by gi s l :

150,000,000/(1+3.55% x 3/12) = 148,680,461 JPY

- Okie Tech s dng s tin JPY vay c l 148,680,461 JPY mua giao ngay USD vi t gi giao ngay hin ti l 122.75JPY/USD. S tin USD thu c l :

148,680,461 JPY / 122.75 JPY/USD = 1,211,246 USD

- Cng ty s u t 3 thng s tin 1,211,246 USD vi li sut5.66%/nm. S tin u t v li u t vo 3 thng sau l :

1,211,246 USD x (1+5.66%x3/12) = 1,228,385 USD

12

Thiim

Giao dchLung tin

JPY USD

Hinti

Vay JPY 3 thng (3.55%/nm)

Mua giao ngay USD (122.75)

u t USD 3 thng (5.66%/nm)

Lung tin rng

3thngsau

Thu hi vn + li u t USD

Thu XK bng JPY

Han tr n + li vay JPY

Lung tin rng

BT 6 - chng V - gio trnh :

+148,680,461

+1,211,246

00

+150,000,000

- 150,000,000

0 +1,228,385

-148,680,461

-1,211,246

+1,228,385

* Li nhun rng ca Okie Tech khi bo him bng th trung tin t :

1,228,385 USD 1,099,796 USD = 128,589 USD

7

13


d) Nu s dng TT tin t TLai bo him ri ro t gi, cng ty sbn HTLai JPY, thanh tan = USD giao hng thng 9 vo ngy hm nay ti t gi 0.008236 USD/JPY.

S HTL cng ty bn l : 150,000,000 JPY / 12,500,000 JPY = 12 H (bo him c tan b khan phi thu).

V ngy o hn HTL trng vi ngy nhn c khan phi thu JPY nn cng ty s n ngy o hn HTL v thc hin H theo gi thanh tan cui cng, giao JPY v thu v USD. Cch tt tan H TLai nh vy ging nh cng ty bn HTLai ti mc t gi tng lai lc u l 0.008236 JPY/USD.

V vy, trong trng hp ny, s USD cng ty nhn c khi bo him ri ro t gi bng HTLai l :

12 H x 12,500,000 JPY/H x 0.008236 USD/JPY = 1,235,400 USD

* Li nhun rng ca Okie Tech khi bo him bng TTTLai :

1,235,400 USD 1,099,796 USD = 135,604 USD

14


e) * Tm tt cc phng n phng nga ri ro ngai hi :

1. S dng TT k hn, li nhun thu c l 135,891 USD

2. S dng TT Tin t, li nhun thu c l 128,589 USD

3. S dng TT Tng lai, li nhun thu c l 135,604 USD

* Vy phng n bo him ri ro t gi bng th trng k hn l ti u nht v li nhun thu v c trong phng n ny l cao nht.

1

1

Bi tp 9 Chng 6 Gio Trnh :a) Nh NK VN c khan phi tr bng EUR, i mt vi ri ro t gi l

EUR tng gi so vi VND trong tng lai. Nu s dng th trng QC bo him ri ro t gi, vn ny sinh l VND khng c mua bn trn th trng quyn chn quc t. Nhng do VND vUSD cng tng gi hay gim gi vi cc ng tin khc, chng hn EUR tng gi vi VND cng c ngha l EUR tng gi so vi USD.

V vy, anh ta han tan c th s dng USD thay th VND khi mua bn trn th trng quyn chn quc t. Trong trng hp ny, anh ta s mua QC mua 500,000 EUR k hn 3 thng ti tgi QC l 1.1120 USD/EUR, thanh tan = USD, ph QC l 0,02 USD/EUR bo him ri ro t gi.

Khi H n hn, nu t gi USD/EUR tng v ln hn E thanh ta s thc hin QC mua EUR thanh tan NK. Khi , VND/EUR cng tng v gi s anh ta khng bo him ri ro t gitc mua EUR, thanh tan = VND trn TTrng giao ngay s phi chi ra s VND nhiu hn. So snh gia vic bo him bng quyn chn v khng bo him (tc mua giao ngay), c th tnh c hiu qu ca vic bo him bng quyn chn tin t .

2


b) Anh ta s phi tr khan ph QC khi k hp ng QC hin ti :0.02 USD/EUR x 500,000 x 15,250 VND/USD = 152,500,000 VND* 3 thng sau, do S = 1.1520 USD/EUR > E = 1.1120 USD/EUR nn anh ta s thc hin QC mua v tng chi ph = VND l :1.1120USD/EUR x 500,000 EUR x 15,280 VND/USD + 152,500,000 VND = 8,648,180,000 VND* Nu 3 thng sau, gi s anh ta dng VND mua 500,000 EUR trn th trng giao ngay thanh tan tin hng nhp khu th chi ph = VND phi chi ra l :

17,603 x 500,000 = 8,801,500,000 VNDS tin ny ln hn s tin VND chi ra khi bo him bng quyn chn tin t cho ta thy trong trng hp ny, bo him bng quyn chn tin t em li hiu qu.* S VND tit kim c khi bo him bng hp ng quyn chn tin t l :

8,801,500,000 VND 8,648,180,000 VND = 153,320,000 VND

2

3


a) Cng ty Anh c khan phi tr bng ngai t l 320,000 USD nn anh ta i mt vi ri ro t gi l USD tng gi so vi ni t lGBP. Nu bo him ri ro t gi bng hp ng QC ti S giao dch, cng ty Anh s mua QC mua USD giao hng thng 6/200X, tc mua QC bn GBP giao hng thng 6/200X ti mc t giQC 1.4250 USD/GBP vi ph QC l 0.03 USD/GBP

* S lung hp ng QC bn GBP cng ty s mua l :

320,000 USD / (31,250 x 1.4250) = 7 H (d 8,281.25 USD khng c bo him)

* Ph QC bng USD m cng ty Anh phi tr vo lc mua H QC bn GBP : 0.03 USD/GBP x 31,250 x 7 = 6,562.50 USD

tr khan ph QC 6,562.50 USD, cng ty Anh phi bn GBP theo t gi giao ngay mua vo hin ti l 1.4330 USD/GBP. S tin GBP chi ra mua s tin 6,562.50 USD thanh tan ph QC :

6,562.50 USD / 1.4330 = 4,580 GBP

4

Bi tp 10 Chng 6 Gio Trnh :a) * Tnh tan b chi ph bng GBP nu S vo thi im thanh tan

khan phi tr l : 1.3800 1.3834 USD/GBP

Vo thi im thanh tan khan phi tr, nu cng ty bn GBP trn th trng giao ngay th s bn ti Sb = 1.3800 USD/GBP (< E = 1.4250 USD/GBP). Trong trng hp ny, cng ty s thc hin QC v c li hn. * S tin GBP cng ty chi ra khi thc hin 7 H QC bn GBP mua USD : 31,250 GBP/H x 7 H = 218,750 GBP* i vi s USD l khng c bo him l 8,281.25 USD, cng ty phi mua trn th trng giao ngay theo t gi giao ngay mua vo lc thanh tan l 1.3800 USD/GBP. S tin GBP chi ra :

8,281.25 USD / 1.3800 = 6,001 GBP* Tng chi ph bng GBP m cng ty Anh chi ra mua 320,000 USD khi bo him bng H QC bn GBP :

218,750 + 6,001 + 4,580 = 229,331 GBP* T gi thc t cng ty Anh p dng trong trng hp ny :

320,000 USD / 229,331 GBP = 1.3954 USD/GBP

3

5


b) * Tnh tan b chi ph bng GBP nu S vo thi im thanh tan khan phi tr l : 1.5200 1.5245 USD/GBP

Vo thi im thanh tan khan phi tr, nu cng ty bn GBP trn th trng giao ngay th s bn ti Sb = 1.5200 USD/GBP (> E = 1.4250 USD/GBP). Trong trng hp ny, cng ty s khng thc hin QC m bn GBP theo t gi giao ngay trn TT s c li hn. * S tin GBP cng ty chi ra khi bn GBP mua 320,000 USD trn TT giao ngay theo t gi mua vo lc thanh tan l 1.5200 USD/GBP : 320,000 USD / 1.5200 = 210,526 GBP* Ngai ra, cng ty cn b l khan ph QC phi tr lc k H QC l4,580 GBP mc d cng ty khng thc hin QC. * Tng chi ph bng GBP m cng ty Anh chi ra mua 320,000 USD khi khng thc hin QC bn GBP trong trng hp ny :

210,526 + 4,580 = 215,106 GBP* T gi thc t cng ty Anh p dng trong trng hp ny :

320,000 USD / 215,106 GBP = 1.4876 USD/GBP

6


a) Trng hp cng ty ABC khng bo him ri ro t gi th s EUR thu c khi bn khan thu XK 1,265,875 USD l :

* Nu S lc thanh tan l 1.0347 1.0363 USD/EUR th anh ta s bn khan thu USD theo t gi giao ngay bn ra l1.0363 USD/EUR v s EUR thu c :

1,265,875 USD / 1.0363 = 1,221,533 EUR

* Nu S lc thanh tan l 1.0060 1.0086 USD/EUR th anh ta s bn khan thu USD theo t gi giao ngay bn ra l1.0086 USD/EUR v s EUR thu c :

1,265,875 USD / 1.0086 = 1,255,081 EUR

4

7


b) Cng ty ABC c khan phi thu bng ngai t l 1,265,875 USD nn anh ta i mt vi ri ro t gi l USD gim gi so vi ni t lEUR. Nu bo him ri ro t gi bng hp ng QC ti S giao dch, cng ty Anh s mua QC bn USD giao hng thng 9/200X, tc mua QC mua EUR giao hng thng 9/200X ti mc t giQC 1.0127 USD/EUR vi ph QC l 0.0225 USD/EUR

* S lung hp ng QC mua EUR cng ty s mua l :

1,265,875 USD / (62,500 x 1.0127) = 20 H (bo him c tan b khan phi thu USD)

* Ph QC bng USD m cng ty phi tr vo lc mua H QC mua EUR : 0.0225 USD/EUR x 62,500 x 20 = 28,125 USD

tr khan ph QC 28,125 USD, cng ty phi bn EUR theo tgi giao ngay mua vo hin ti l 1.0152 USD/EUR. S tin EUR chi ra mua 28,125 USD thanh tan ph QC :

28,125 USD / 1.0152 = 27,704 EUR

8

Bi tp 11 Chng 6 Gio Trnh :b1) Tnh tng khan thu bng EUR nu S vo thi im nhn khan

phi thu l : 1.0347 1.0363 USD/EUR

Vo thi im nhn khan phi thu, nu cng ty mua EUR (bn USD) trn th trng giao ngay th s mua EUR (bn USD) ti Sa = 1.0363 USD/EUR (> E = 1.0127 USD/EUR). Trong trng hp ny, cng ty s thc hin QC v c li hn. * S tin EUR cng ty thu c khi mua 20 H QC mua EUR bng cch bn tan b 1,265,875 USD :

62,500 EUR/H x 20 H = 1,250,000 EUR* Nhng cng ty cn phi tr khan ph QC l 27,704 EUR lc mua H QC mua EUR. * Tng thu bng EUR m cng ty thu c khi bn 1,265,875 USD bng cch s dng H QC mua EUR bo him :

1,250,000 EUR 27,704 EUR = 1,222,296 EUR(c li hn khi khng bo him ri ro t gi : 1,221,533 EUR)* T gi thc t ca cng ty trong trng hp ny :

1,265,875 USD / 1,222,296 EUR = 1.0357 USD/EUR

5

9

Bi tp 11 Chng 6 Gio Trnh :b2) Tnh tng khan thu bng EUR nu S vo thi im nhn khan

phi thu l : 1.0060 1.0086 USD/EUR

Vo thi im nhn khan phi thu, nu cng ty mua EUR (bn USD) trn th trng giao ngay th s mua EUR (bn USD) ti Sa = 1.0086 USD/EUR (< E = 1.0127 USD/EUR). Trong trng hp ny, cng ty s khng thc hin QC mua EUR m s mua EUR theo t gi giao ngay trn TT s c li hn. * S tin EUR cng ty thu c khi bn khan phi thu 1,265,875 USD trn TT giao ngay theo t gi bn ra lc thanh tan l 1.0086 USD/EUR : 1,265,875 USD / 1.0086 = 1,255,081 EUR* Nhng cng ty cn b l khan ph QC l 27,704 EUR phi tr lc k H QC mc d cng ty khng thc hin QC. * Tng thu bng EUR m cng ty thu c khi bn 1,265,875 USD trong trng hp khng thc hin QC :

1,255,081 EUR 27,704 EUR = 1,227,377 EUR* T gi thc t ca cng ty trong trng hp ny :

1,265,875 USD / 1,227,377 EUR = 1.0314 USD/EUR

X l : TNH HUNG 2 : KO DI KHAN PHI THUVo ngy hm nay, H bn k hn n hn v GEREX phi thc hin H c cc lung tin xy ra i vi GEREX : -1,000,000 USD v + 681,570 EUR.

PA 1 : Thc hin giao dch trn th trng giao ngay :Mua USD giao ngay c USD bn theo H k hn, v ch2 thng sau c ngun USD tin hng XK th s bn li bc l ri ro t gi v khng thun li nu khng c sn mt ngun tin ln EUR.

** X l sao cho ngy hm nay, cc lung tin bng 0 v hai thng sau mi xy ra cc lung tin dng v m.

PA 2 : Thc hin giao dch trn th trng tin t : Vay USD c USD bn theo H k hn ; u t 2 thng sEUR t H k hn ; Mua k hn 2 thng li vay USD.

CHNG IV : 4.4.2. KO DI THI HN TRNG THI NGOI HI

4.4.2. KO DI THI HN TRNG THI NGOI HI


Lung tin rng

2 thng sau

Lung tin rng

Hinti

USDEUR

Lung tinGiao dch

Thiim

+681.57 -1,000

00

+ 680.276 - 1,000

vt : ngn

+10-6.690

-1,010

+1,000

-681.57

+686.966

Thc hin hp ng k hn trc y


u t EUR 2 thng (4.75%/nm)


Thu hi vn v li u t EUR



X l :

PA 3 : Thc hin giao dch han i trong GEREX :

- Mua 1,000,000 USD giao ngay.

- Bn li 1,000,000 USD k hn 2 thng.

- Nu pht sinh lung tin EUR dng s u t, nu lung tin EUR m s i vay trn th trng tin t.

GEREX mua giao ngay 1,000,000 USD ti t gi 1.4938 USD/ EUR.

GEREX bn li 1,000,000 USD k hn 2 thng ti t gi1.4963 USD/EUR.




Lung tin rng

2thngsau

Lung tin rng

Hinti

USDEUR

Lung tinGiao dch

Thiim

+681.57 -1,000

00

+ 680.547 - 1,000

vt : ngn

+1,000

-12.136

-1,000

+12.232

-669.434

+668.315

Thc hin hp ng k hn trc y

Mua USD giao ngay theo H han i

Bn USD k hn theo H han i

u t s EUR d 2 m (4.75%/nm)

Thu hi vn v li u t EUR

X l : TNH HUNG 2 RT NGN KHAN PHI TRVo ngy hm nay, cha c lung tin no xy ra vi JAPIM JAPIM ang mun c lung tin dng (+) 1,000,000 USD thanh tan tin hng nhp khu.

PA 1 : Thc hin giao dch trn th trng giao ngay :Mua giao ngay s USD tr tin hng NK ngay hm nay, vch 1 thng sau thc hin hp ng mua k hn USD k ri bn li giao ngay s USD ny bc l ri ro t gi.

** X l sao cho cc lung tin dng v m chuyn v ngy hm nay, cn mt thng sau th cc lung tin s bng 0.

Vo mt thng sau, nu thc hin hp ng mua k hn USD th JAPIM s phi chi 118,720,000 JPY v thu v 1,000,000 USD.

4.4.3. RT NGN THI HN TRNG THI NGOI HI

X l :


- Vay 1 thng 1,000,000 USD thanh tan tin hng NK.

- Mua k hn 1 thng s tin li vay USD.

- u t 1 thng mt s tin JPY sao cho 1 thng sau, s tin u t + li u t s ng bng tng s tin JPY phi chi cho vic thc hin H k hn k v cho vic mua k hn li USD 1 thng.




Lung tin rng

1thngsau

Lung tin rng

Hinti

USDJPY

Lung tinGiao dch

Thiim

00

- 118.96 + 1

vt : triu

+0.0042

+1-118.72

-1.0042

+1

-118.96

-0.49

+119.21

Vay USD thanh tan NK (5%/nm)

Mua k hn li vay USD 1m (116.34)


Thc hin mua k hn li vay USD

Thc hin H k hn k trc y


Thu hi vn v li u t JPY

X l :

PA 3 : Thc hin giao dch han i trong JAPIM l bn :

- Mua 1,000,000 USD giao ngay.

- Bn li 1,000,000 USD k hn 1 thng.

JAPIM mua giao ngay 1,000,000 USD ti t gi116.38

JAPIM bn li 1,000,000 USD k hn 1 thng ti t gi 116.18


X l : PA 3 : Cn lu khi thc hin giao dch han i :

- So snh v nu thy s tin JPY phi chi theo H k hn k 3 thng trc < s tin JPY thu c theo v k hn trong H hon i

c th vay 1 thng thm mt s tin JPY s dng ngay tby gi sao cho s tin vay JPY + li vay = s tin JPY chnh lch trong hai hp ng k hn.- Ngc li, nu thy s tin JPY phi chi theo H k hn k 3 thng trc > s tin JPY thu c theo v k hn trong H hon i

phi u t li 1 thng mt s tin JPY sao cho s tin u t JPY + li u t = s tin JPY chnh lch trong hai hp ng k hn.




Lung tin rng

1thngsau

Lung tin rng

Hinti

USDJPY

Lung tinGiao dch

Thiim

00

- 118.91 + 1

vt : triu

-1

+1-118.72

+1

-2.53

+116.18

+2.54

Mua USD giao ngay theo H han i


Thc hin bn k hn USD theo H.i

Thc hin H k hn k trc y

Thu hi vn v li u t JPY

-116.38


Cu d) Thc hin giao dch han i ngai hi ko di trng thi ngai hi :

Lung tin rng

3thngsau

Lung tin rng

Hinti

USDVND

Lung tinGiao dch

Thiim

- 8,075 + 0.5

00

- 8,153.8 + 0.5

vt : triu

- 0.5

+ 55

+ 0.5

- 56.3

+ 8,020

- 8,097.5

Th.hin H k hn trc y (16,150)

Bn USD giao ngay H H.i (16,040)

Mua USD k hn H H.i (16,195)

Vay 3 thng s VND thiu (9.25%/nm)

Han tr vn v li vay VND

Bi tp 3 Gio Trnh Chng 4 Han i(dng FORWARD kinh doanh CIA)




- Vay USD 1 thng vi li sut 4.75% / nm- Mua giao ngay CAD ti t gi 1.2015 CAD/USD- u t vo CAD 1 thng vi li sut 8.50%/ nm- Bn k hn 1 thng vn + li CAD ti 1.2034 CAD/USD

Bn CAD k hn 1 thng


u t CAD 1 thng (8.50%/nm)Hin ti Bn CAD k hn 1m (1.2034)

Lung tin rng


1thngsau

Lung tin rng

Mua giao ngay CAD (1.2015)


CADUSD

Lung tinGiao dch

Thiim

Bi tp 3 Gio Trnh Chng IV (dng k hn KD CIA)Vay 100.000 USD, thc hin cc bc kinh doanh CIA nh sau :

+ 100,000

+ 120,150- 100,000

- 120,150

00

+121,001

+ 100,549

- 100,396

0+ 153

-121,001

Bi tp 3 Gio Trnh Chng 4 Han i(dng SWAP kinh doanh CIA)




- Vay USD 1 thng vi li sut 4.75% / nm - Mua giao ngay CAD theo H Han i ti t gi 1.2017

CAD/USD v bn k hn 1 thng vn + li CAD theo H Han i ti t gi 1.2032 CAD/USD

- u t vo CAD 1 thng vi li sut 8.50%/ nm.

Bn CAD k hn 1 thng


Bn CAD k hn 1m Hi(1.2032)Hin ti

u t CAD 1 thng (8.50%/nm)

Lung tin rng


1thngsau

Lung tin rng

Mua giao ngay CAD Hi (1.2017)


CADUSD

Lung tinGiao dch

Thiim

Bi tp 3 Gio Trnh Chng IV (dng Swap KD CIA)Vay 100.000 USD, thc hin cc bc kinh doanh CIA nh sau :

+ 100,000

+ 120,170- 100,000

- 120,170

00

+121,021

+ 100,583

- 100,396

0+ 187

-121,021



Lung tin rng

1 thng sau

Lung tin rng

Hinti

USDAUD

Lung tinGiao dch

Thiim

+ 1,000 - 750

00

+ 1,002.487 - 750

vt : ngn

+ 2.50- 3.346

-752.50

+ 750

- 1,000

+1,005.833










Lung tin rng

1thngsau

Lung tin rng

Hinti

USDAUD

Lung tinGiao dch

Thiim

+ 1,000 - 750

00

+ 1,000.527 - 750

vt : ngn

+ 750

+ 2

- 750

- 2.013

- 1,002

+1,002.540

T/hin H bn K.hn trc y(0.7500)

Mua USD giao ngay H Hi (0.7485)

Bn USD k hn 1m H H.i (0.7481)

Vay 1 m s AUD thiu (7.50%/nm)

Han tr vn v li vay AUD

22

BT 5 - Gio trnh - Han i : PHN TCH- Nguyn tc : Nu mt ng tin c d an c th gim gimnh trong tng lai gn, s dng GD Hi mua giao ngay, bn khn ng tin . Tip theo, s dng GD H Spot-Next (bn giao ngay, mua k hn 1 ngy) tun han ng tin v pha truc 1 ngy cho n ngy ng tin gim gi mnh xy ra th s dng GDH : bn giao ngay, mua k hn sao cho ngy gi tr hu nh trng ngy gi tr ca GD bn k hn u tin c th thu li nhun.- Vo ngy 01/02, thc hin giao dch han i S1 vi hai v :

S1-1 : Mua giao ngay USD ti t gi giao ngay bnh qun 120.10S1-2 : Bn k hn USD 3 thng ti t gi 119.47 (120.10 - 0.63)

- Vo ngy 01/02, thc hin GD han i Spot-Next S2 vi hai v :S2-1 : Bn giao ngay USD ti t gi giao ngay bnh qun 120.10S2-2 : Mua k hn USD 1 ngy ti t gi 120.081 (120.10 - 0.019)

- Vo ngy 04/02, thc hin GD han i S3 vi hai v :S3-1 : Bn giao ngay USD ti t gi giao ngay bnh qun 120.10S3-2 : Mua k hn USD 3 thng (tr 3 ngy : thng lng) ti t

gi 119.31 (120.10 - 0.79)


vt : ngn

-119,310+1,000119.3103/05Mua USDS3-204/02

+ 1600Lung tin rng 03/05

+ 179LI

+119,470-1,000119.4703/05Bn USDS1-201/02

+ 190Lung tin rng 06/02

+120,100- 1,000120.1006/02Bn USDS3-104/02

-120,081+ 1,000120.08104/02Mua USDS2-201/02

00Lung tin rng 03/02

+120,100- 1,000120.1003/02Bn USDS2-1

-120,100+ 1,000120.1003/02Mua USDS1-1

01/02

JPYUSD

Lung tinT gi

Ngy GT

Giao dchK hiuNgy GD

Nu u t 1,000,000 USD, bn thc hin cc bc GD nh sau :

24

BT 5 - Gio trnh - Han i : PHN TCH

* Nguyn tc : Ngc li, nu mt ng tin c d an

c th tng gi mnh trong tng lai gn, s dng GD Hi

bn giao ngay, mua k hn ng tin .

Tip theo, s dng GD H Spot-Next (mua giao ngay,

bn k hn 1 ngy) tun han ng tin v pha truc

1 ngy cho n ngy ng tin tng gi mnh xy ra th s

dng GDH : mua giao ngay, bn k hn sao cho ngy gi

tr hu nh trng ngy gi tr ca GD mua k hn u tin

c th thu li nhun.
Giai bai tap chuong 3Giai bai tap chuong 4Giai bai tap chuong 5 (2)Giai bai tap chuong 6 (2)Giai bai tap chuong 3+4

bai tap kinh doanh ngoai hoi

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