2007年是中華電信企業民營化的第二年，如同以往地在業務面及財務面締造了佳績。然而，在2007年9月時，中華電信與香港高盛簽下一紙長達10年期的外匯避險合約，使得中華電信在隔年第一季公佈高達新台幣40億元的未實現匯兌損失，引起市場一片譁然與投資人的輿論，認為此合約讓收入多以新台幣計價的中華電信陷入了不必要的衍生性商品陷阱之中。本個案讓閱讀者以當時中華電信財務長謝劍平的角度，帶領閱讀者解構、分析這個極具爭議的的結構型商品。過程中牽涉到避險決策、契約評價、代理問題、公司治理、外匯預測、市場效率性等議題。2008年10月契約觸及匯價32.7終止，中華電信最終獲利新台幣3010萬元出場，新台幣10多億的帳面損失也全數回沖。個案閱讀者能從中學習到重要的思考過程，並做出權衡之下對股東利益最好的決策，我們發現這個外匯避險契約本身並無絕對好壞，因為這是一個風險控管與節省成本的抵換關係，端看決策者的出發點、需求及風險偏好決定。

2007 was the second year after the privatization of Chunghwa Telecom, the financial performance was strong as usual. However, on September of the same year, Chunghwa Telecom had signed a 10-year currency hedging contract with Goldman Sachs, which leads to NTD 4 billion unrealized book losses in the first season of 2008. Investor and the public were shocked about it, because it was not compatible with the company’s corporate image, and the book losses was too huge. Many public opinion criticized that it was a big mistake for Chunghwa Telecom, which let them fall into the trap of financial derivatives. This case put students back to the scenario of September 2007, played the role as Chunghwa Telecom’s CFO, CP Shieh. The case will guide them understand how to decompose and analyze a tailor made structure product provided by investment bank. In the analyzing process, readers will involve many interesting issues, like hedging decision, contract valuation, agency problem, corporate governance, forex forecasting and market efficiency. October 2008, the contract knocked out by reaching NTDUSD quote 32.7. Chunghwa Telecom end up gained NTD 30.1 million from the contract and over NTD 1 billion unrealized book losses were also reversed. Case readers can acquire important intuition during the analyzing process and make decision based on the shareholder’s best interest. There is no absolute answer to dictate whether this hedging contract was good or not, because it was a tradeoff between risk control and cost saving. It depends on the decision maker’s point of view, demand and risk preference.

I. 一手消息

前中華電信財務長 謝劍平 老師

II. 資料庫

1. Yahoo Finance database

2. 國發會總體經濟統計資料

3. Federal Reserve Bank of New York

4. 台灣中央銀行外匯資料庫

5. TEJ 台灣新報資料庫

III. 研究報告

1. 中華電信2006年報

2. 中華電信2007年報

3. 中華電信2008年報

4. 財團法人國家政策研究基金會-當前雙率問題,許振明等人， 2007年4月

5. 玉山銀行財金處研究報告，2007年8月

IV. 原文書

1. John C Hall, Options, Futures, and Other Derivatives 8th Edition, Chapter 25 Exotic Options, P574-594

2. Richard A Brealey, Principles of Corporate Finance Global Edition, Chapter 13 Efficient Markets and Behavioral Finance, p340-364

3. Greg. Smith, Why I left Goldman Sachs,2012

V. 網路刊物

1. 商業週刊 電子報 2008.04.09 出刊

2. The Wall Street Journal, Taiwan Prosecutors Probe Chunghwa-Goldman Contract, April 2008

3. Wisegeek.com, What Are the Different Types of Hedging Tools?

VI. 期刊論文

1. 台灣期貨與衍生性商品學刊，中華電信外匯避險選擇權案例之研究，長庚大學企研所詹錦宏，中信銀行林佳樺，2008年4月

2. Bennett Stewart, Market Myths, Journal of Applied Corporate Finance, Volume 2, Issue 3, pages 6–23, Fall 1989

4. Rene Stulz(1996),Rethinking Risk Management Journal of Applied Corporate Finance.

5. Alain P. Chaboud, Jonathan H, Uncovered interest parity: it works, but not for long, Journal of International Economics 66 (2005) 349– 362.
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6. Richard K. Lyons and Andrew K. Rose, Explaining Forward Exchange Bias Intraday. The Journal of Finance, Vol. 50, No. 4 (Sep., 1995), pp. 1321-1329

7. Serena Ng, Pierre Perron-PPP May not Hold Afterall: A Further Investigation, Annals of Economic and Finance 3, 43–64 (2002)

8. Alan M. Taylor and Mark P. Taylor, -The Purchasing Power Parity Debate, Alan M. Taylor and Mark P. Taylor, Journal of Economic Perspectives—Volume 18, Number 4—Fall 2004—Pages 135–158