Forex Risk Management

BANK OF THAILAND

. 1213

. 02-283-5425

www.bot.or.th

4 2551

* ACI-The Financial Markets Association

2

2552

2554

3

?

5

8 SMEs 10 15

22

35

SMEs 39 42

43

4

1 . 30.00 :

/

5

8 SMEs 10 15

22

35

SMEs 39 42

43

5

= .

: Reuters

. .. 2551 - .. 2554

() ()

.

. ( . ) 36.00 . (.. 52) 31.00

. (.. 54)

1

0.028 . (1/36

. ) 1 . 0.032

. (1/31 . )

.

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.

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36.50

36.00

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33.50

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32.50

32.00

31.50

30.50

30.00

29.50

. 1 . 36 (36

.)

1 .

31 (31 .)

6

: Reuters

KRW

IDR

MYR

SGD

TWD

THB

PHP

3

2540

(%)

.. 2551 - .. 2554

.

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7

.

2505

1,000

40

SMEs ...

Forwards 3

...

SMEs

...

.

8

.

2531

2537

...

natural hedge

. .

Forwards

...

...

.

9

SMEs

1.

2.

:

1.

2.

3.

10

...

.....

* 2553

: /

*/

100

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0

100

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20

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12

: /

* , , , , , , , ,

2553 ?

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11.2

11.0

10.5

10.3

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4.8

2.2

2.1

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0.9

9.2

20.8

16.6

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7.6

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6.3

% %

13

. 80

.

2553

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10.00%

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2553

. 80%

2.20%

0.30%

2.80%

6.10%

8.20%

0.40%

.

14

2 : 1. / (Forward contract)

2.

(Options)

* Spot 2

** Spot rate 2

?

?

1 : FORWARD CONTRACT

/ (Forward contract)

.

2

( Spot*)

Forward rate (Spot rate**) Forward

point (Forward rate = Spot rate + Forward point)

15

Forward point ?

Forward point 2

Forward point

Forwards

* Forwardpoint** Forwardpoint

iTHB

> iUSD

+ Premium

iTHB

1 . 1 x 1.00% x

3/12 = 0.0025 .

1 .

1.0025 .

30.20 30.20 x 3.44% x 3/12

= 0.25972 30.20

30.45972

2

1

. 3 (Forward Rate) = 30.45972/1.0025 = 30.38

Forward premium 30.38 30.20 = 0.18 18

Premium Discount ? 1 . 1%

3 30.20 ( 1 .)

3.44 % (Spot rate = 30.20 .)

17

Spot rate 30.20 . Forward point 3 0.18 Forward rate ?

= +Forward Rate

(30.38 )

Spot Rate

(30.20 )

Forward Point

(0.18 )

Forward point

2

Q : Forward rate Spot rate 3 Forward rate 3 Spot rate ?

A : Forward rate Spot rate Spot rate

Forward Premium/Discount = Spot rate x (i

THB - i

USD) x ()

= 30.20 x [(3.44% - 1.00%) x (3/12)]

= 0.18

( Forward point Premium)

18

Option premium ?

Premium 3

1. (Strike rate)

2. (Tenor)

3. (Volatility)

2 : OPTIONS

* (Options)

Option premium

2

!

*

Option premium Spot rate Option premium

19

Forwards Options

?

1)

2)

3)

(Upfrontfee)

Forward point

premium discount

Forwards Options

(Option

premium)

Forward point

Option premium

20

Forwards

Options ? (Cash flFlow)

-

-

- (Upfront fee)

-

Forwards

-

-

-

Forwards

Spot rate

Forwards Options

Forwards

-

-

Forwards

- Option premium

Options

-

Forwards

21

...

...

Forwards

Order

Forwards

...

Forwards

...

22

SMEs

Best Practice

...

...

...

23

1 . 2

.

?

1 : 1 .

(Forward contract)

4 .. 54 Spot rate = 30.20

4 .. 54 Spot rate = 30.77

Forwards 2 30.97

2554

: 4 .. 54

1 . 2 30.97

. 2 (4 .. 54)

(Spotrate)30.20.(

.) .

30.97 1 . ( 30.20

1 .)

.. 54 .. 54 .. 54 .. 54 .. 54 .. 54 .. 54

31.50

31.00

30.50

30.00

29.50

29.00

.

24

( 4 .. 54)

31.00 .

. (

Forwards)

100%

4 .. 54 30.20

. 770,000

Forwards

4 .. 54

30.20

. (Spot Rate)

30,200,000

Forwards 770,000

2.50%

30.97

. ( )

30,970,000

-

(

1,000,000 .)

25

Spot rate 30.77 .

Forward point 6 -0.20 (-20 .)

Forward rate = Spot rate + Forward point

6 (Forward rate)

= 30.77+ (-0.20) = 30.57 .

1 . 30.57 .

6

Forward 6 1

. 30.57 .

Spot rate (30.77 .) 6

(

30.20 .)

Forward point * (Discount)

* Forward point .

26

2 : 1 .

(Put options)

21 .. 54 Spot rate = 30.52

21 .. 54 Spot rate = 29.86

Forwards 2 30.30

Options 2 30.30

(

Forwards 2 )

Option Premium 200,000

2554

: 21 .. 54

1 . 2 30.30

.

2 (21 .. 54)

(Spot rate) 30.52

.

Putoptions 1.

30.30 . Options 1.Spot30.52.

( Option premium 200,000

. (Put options) 30.30 .)

.. 54 .. 54 .. 54 .. 54 .. 54 .. 54 .. 54

31.50

31.00

30.50

30.00

29.50

29.00

.

27

21 .. 54 30.52

. Forwards Put options

Putoptions Forwards20,0000.07%

Forwards

21 .. 54

Put options

30.30 .

Put options

spot

30.52

.

30,320,000

(30,520,000 - Option

premium 200,000 )

Forwards 20,000

0.07%

30.30 .

30.30 .

30,300,000

-

/

(

1,000,000 .)

Put options

28

21 .. 54 30.00 .

Putoptions

ForwardsOptionpremium200,000

Forwards Options

Options

Option premium

Forwards

Options

(Optionpremium)

29

Forwards Options

1 : . (Forward contract)

28 .. 54 Spot rate = 30.28

28 .. 54 Spot rate = 30.95

Forwards 3 30.48

2554

: 28 .. 54

. 30.48 . 3

(28 .. 54) (Spotrate)

30.95. .

30.48 1 . ( 30.95

1 .)

.. 54 .. 54 .. 54 .. 54 .. 54 .. 54 .. 54

31.50

31.00

30.50

30.00

29.50

29.00

.

30

28 .. 54 30.95

.

470,000

28 .. 54 30.00

. Forwards

Forwards

30,480,000

.

Forwards

28 .. 54

30.95 .

30,950,000

Forwards 470,000

1.50%

30.48 .

30,480,000

-

(

1,000,000 .)

31

2 : . (Call options)

28 .. 54 Spot rate = 30.28

28 .. 54 Spot rate = 30.95

Forwards 3 30.55

Options 3 30.55 (

Forwards 3 )

Option Premium 200,000

2554

: 28 .. 54

(Call options) 1 . 30.55

.

3 (28 .. 54)

30.95 .

Options1.30.55.

Option premium

. (Call options) 200,000

.. 54 .. 54 .. 54 .. 54 .. 54 .. 54 .. 54

.

31.50

31.00

30.50

30.00

29.50

29.00

32

Forwards

28 .. 54

Call options

30.55 .

30.55

.

30,750,000

(30,550,000 + Option

premium 200,000

Forward 200,000

0.65%

30.55 .

30.55 .

30,550,000

-

/

(

1,000,000 .)

Forwards

Call options Call options

Forwards 200,000

Call options

33

30.00 .

Forwards 30,550,000

Calloptions

Call options Spot 30.00 .

Optionpremium30,200,000

Forwards

Call options

Option premium

Options

34

1) (Foreign Currency Deposit : FCD)

2)

(Natural Hedge)

3) (Currency Diversification)

1)

(Foreign Currency Deposit : FCD)

:

:

: Commission in lieu*

* Commission in lieu FCD

Day T :

= 1 . = 60,000 .

Day T+N :

35

:6

.FCD?

.

FCD

6

FCD

.

. FCD

FCD

(/ )

0.5

.

0.5

.

1 .

1 .

12

100 .

100 .

12

36

FCD ?

.

2)

(Natural Hedge) Natural Hedge

Matching/Netting

matching match

match

netting

( netting)

USD EUR JPY

USD EUR JPY

37

3)

(Currency Diversiffiication)

.

.

38

SMEs

(Akiko)

AkikoGroup

Akiko Group 100%

Akiko Group

Akiko Group

(Joint venture)

39

Q. AkikoGroup ?

A. Forwards

1 (LocalCurrency).

.

2 (Netting)

(Matching) .

.

( )

40

SMEs

(Agent)

(Distributor) (Joint Venture)

100%

Akiko Group

Agent/

Trader

(Joint

Venture)

41

Forwards Options

Forwards Options

Forwards Options

1

Forwards Options

42

50,000 .

360 *

360 *

*

43

50,000 .

360

1.

1

2.

1

3.

44

Letter of Credit (L/C)

45

/

(Spot rate)

Forwards

46

1213

47

4 2554 10,000

. 02-514-2952-4

BANK OF THAILAND

. 1213

. 02-283-5425

www.bot.or.th

BANK OF THAILAND

. 1213

. 02-283-5425

www.bot.or.th

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Forex Risk Management