資本市場和金融機構-在線瀏覽
2025-07-16 22:51本頁面
【正文】 an FI’s assets and liabilities denominated in foreign currencies. ? Diversification: domestic and foreign (direct or portfolio) investment ?↑ return ↓risk Conditions: 1) Uncorrelated returns 2) Uncorrelated exchanges rates Example: C$/Euro may be decreasing while C$/165。 increasing Undiversified foreign expansion creates FX risk. ? A FI is fully hedged only if the average lives and amounts of foreign assets and liabilities are the same and by the same amount. 12 ? Example Consider a Canadian FI that holds US$200million loans as assets and finance US$100 of them with CDs (liabilities in US$ ). The remaining US$ are funded with C$ CDs. In this case, the Canadian FI is long US$100M. It holds more foreign assets than liabilities ? What would happen to the Cdn FI’s profits (in C$) if the US$ depreciates? What is the total foreign exchange profit (loss) incurred in 2021 from above position if the loans are charged a US interest rate of 8%, and the exchange rates are C$ and C$ at the beginning and at the end of 2021, respectively? What was the actual rate of return obtained? What types of additional risks is the Cdn FI exposed? What if the Cdn FI instead of being long is short long? ? Beginning End of XR profit Of 2021 of 2021 (loss) US$ 100million ? (2) US$108million XR = C$ XR = C$ (1) =(US$100 M)()=C$ M (3) = (US$108M)()=C$ M (4) = (C$ M) 13 L
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