国际财务管理第八章

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国际财务管理第六版中文版第八章

国际财务管理第六版中文版第八章
07 by The McGraw-Hill Companies, Inc. All rights reserved.

买入英镑远期合约,共需要花费 500*1.75=875万美元

8-15
Copyright © 2007 by The McGraw-Hill Companies, Inc. All rights reserved.
8-2
Copyright © 2007 by The McGraw-Hill Companies, Inc. All rights reserved.
例子



美国公司把产品出售给德国客户,发票金额为 100万欧元,赊销期为3个月。若三个月后欧元 走弱或走强,对美国公司的交易风险有影响? 日本公司向瑞士银行签订了一份贷款合约,合 约要求其在一年后归还一亿瑞士法郎的本金和 利息,由于日元对瑞士法郎汇率不确定,日本 公司因汇率变动而导致的交易风险有多大? 交易风险如何管理?
交易风险暴露的管理
Chapter Objective:
讨论跨国公司面临交易风险的各种管理方法
INTERNATIONAL FINANCIAL MANAGEMENT
Fourth Edition
EUN / RESNICK
Chapter Eight
8
8-0
Copyright © 2007 by The McGraw-Hill Companies, Inc. All rights reserved.
货币市场工具

一年后需要500万英镑,按照现在的即期汇率 先购入英镑,购入的英镑金额为 500 4 694 836
1.065


需要花费的美元为 4 694 836*1.8=8 450 705 它的终值为8 450 705*1.06=8 957 747 分析:不如购进远期合约。

国际财务管理知识分析及练习题参考答案

国际财务管理知识分析及练习题参考答案

国际财务治理?练习题参考答案第1章国际财务治理导论一、名词解释1.国际企业:超越国界从事商业活动的企业,包括各种类型、各种规模的参与国际商务的企业。

国内生产、国际销售是国际企业最简单的国际业务。

跨国公司是国际企业开展的较高时期和典型代表。

2.许可经营:许可方企业向受许可方企业提供技术,包括版权、专利技术、技术诀窍或商标以换取使用费的一种经营方式。

当许可方企业与受许可方企业分不位于不同国家时,就形成了国家间的许可经营。

这种方式也能够被瞧作技术出口。

3.特许经营:是一种特殊的许可经营方式,许可方通过向被许可方提供全套专业化企业经营手段,包括商标、企业组织、销售或效劳策略和培训、技术支持等定期取得特许权使用费,被许可方那么必须同意遵守严格的规那么和程序以实现经营的标准化。

特许权使用费通常以被许可方的销售收进为根底收取。

4.分部式组织:称事业部制组织结构。

其特点是在高层治理者之下,按地区或产品设置假设干分部,实行“集中政策,分散经营〞的集中领导下的分权治理。

5.混合式组织:事实上非常少有哪家企业是单纯采纳一种结构类型的,采纳两种以上组合方式的称为混合式结构。

6.分权模式:子公司拥有充分的财务治理决策权,母公司关于其财务治理操纵以间接治理为主。

二、简答题1.国际财务治理与国内企业的财务治理内容有哪些的重要区不。

【答案】国际财务治理是指对国际企业的涉外经济活动进行的财务治理。

财务治理要紧涉及的是如何作出各种最正确的公司财务决定,比方通过适宜的投资、资产结构、股息政策以及人力资源治理,从而到达既定的公司目标〔股东财宝最大化〕。

国际财务治理与国内财务治理之间的区不要紧表达在以下几个方面:〔1〕跨国经营和财务活动受外汇风险的妨碍;〔2〕全球范围内融资,寻求最正确全球融资战略;〔3〕跨国经营中商品和资金无法自由流淌;〔4〕对外投资为股东在全球范围内分散风险。

2.试述国际财务治理体系的内容。

【答案】国际财务治理体系的内容要紧包括:〔1〕国际财务治理环境。

国际财务管理(英文版)课后习题答案8

国际财务管理(英文版)课后习题答案8

CHAPTER 7 FUTURES AND OPTIONS ON FOREIGN EXCHANGESUGGESTED ANSWERS AND SOLUTIONS TO END-OF-CHAPTERQUESTIONS AND PROBLEMSQUESTIONS1. Explain the basic differences between the operation of a currency forward market and a futures market.Answer: The forward market is an OTC market where the forward contract for purchase or sale of foreign currency is tailor-made between the client and its international bank. No money changes hands until the maturity date of the contract when delivery and receipt are typically made. A futures contract is an exchange-traded instrument with standardized features specifying contract size and delivery date. Futures contracts are marked-to-market daily to reflect changes in the settlement price. Delivery is seldom made in a futures market. Rather a reversing trade is made to close out a long or short position.2. In order for a derivatives market to function most efficiently, two types of economic agents are needed: hedgers and speculators. Explain.Answer: Two types of market participants are necessary for the efficient operation of a derivatives market: speculators and hedgers. A speculator attempts to profit from a change in the futures price. To do this, the speculator will take a long or short position in a futures contract depending upon his expectations of future price movement. A hedger, on-the-other-hand, desires to avoid price variation by locking in a purchase price of the underlying asset through a long position in a futures contract or a sales price through a short position. In effect, the hedger passes off the risk of price variation to the speculator who is better able, or at least more willing, to bear this risk.3. Why are most futures positions closed out through a reversing trade rather than held to delivery?Answer: In forward markets, approximately 90 percent of all contracts that are initially established result i n the short making delivery to the long of the asset underlying the contract. This is natural because the terms of forward contracts are tailor-made between the long and short. By contrast, only about one percent of currency futures contracts result in delivery. While futures contracts are useful for speculation and hedgi ng, their standardized delivery dates make them unlikely to correspond to the actual future dates when foreignexchange transactions will occur. Thus, they are generally closed out in a reversing trade. In fact, the commission that buyers and sellers pay to transact in the futures market is a single amount that covers the round-trip transactions of initiating and closing out the position.4. How can the FX futures market be used for price discovery?Answer: To the extent that FX forward prices are an unbiased predictor of future spot exchange rates, the market anticipates whether one currency will appreciate or depreciate versus another. Because FX futures contracts trade in an expiration cycle, different contracts expire at different periodic dates into the future. The pattern of the prices of these cont racts provides information as to the market’s current belief about the relative future value of one currency versus another at the scheduled expiration dates of the contracts. One will generally see a steadily appreciating or depreciating pattern; however, it may be mixed at times. Thus, the futures market is useful for price discovery, i.e., obtaining the market’s forecast of the spot exchange rate at different future dates.5. What is the major difference in the obligation of one with a long position in a futures (or forward) contract in comparison to an options contract?Answer: A futures (or forward) contract is a vehicle for buying or selling a stated amount of foreign exchange at a stated price per unit at a specified time in the future. If the long holds the contract to the delivery date, he pays the effective contractual futures (or forward) price, regardless of whether it is an advantageous price in comparison to the spot price at the delivery date. By contrast, an option is a contract giving the long the right to buy or sell a given quantity of an asset at a specified price at some time in the future, but not enforcing any obligation on him if the spot price is more favorable than the exercise price. Because the option owner does not have to exercise the option if it is to his disadvantage, the option has a price, or premium, whereas no price is paid at inception to enter into a futures (or forward) contract.6. What is meant by the terminology that an option is in-, at-, or out-of-the-money?Answer: A call (put) option with S t > E (E > S t) is referred to as trading in-the-money. If S t E the option is trading at-the-money. If S t< E (E < S t) the call (put) option is trading out-of-the-money.7. List the arguments (variables) of which an FX call or put option model price is a function. How does the call and put premium change with respect to a change in the arguments?Answer: Both call and put options are functions of only six variables: S t, E, r i, r$, T andσ.When all else remains the same, the price of a European FX call (put) option will increase:1. the larger (smaller) is S,2. the smaller (larger) is E,3. the smaller (larger) is r i,4. the larger (smaller) is r$,5. the larger (smaller) r$ is relative to r i, and6. the greater is σ.When r$ and r i are not too much different in size, a European FX call and put will increase in price when the option term-to-maturity increases. However, when r$ is very much larger than r i, a European FX call will increase in price, but the put premium will decrease, when the option term-to-maturity increases. The opposite is true when r i is very much greater than r$. For American FX options the analysis is less complicated. Since a longer term American option can be exercised on any date that a shorter term option can be exercised, or a some later date, it follows that the all else remaining the same, the longer term American option will sell at a price at least as large as the shorter term option.PROBLEMS1. Assume today’s settlement price on a CME EUR futures contract is $1.3140/EUR. You have a short position in one contract. Your performance bond account currently has a balance of $1,700. The next three days’ settlement prices are $1.3126, $1.3133, and $1.3049. Calculate the chan ges in the performance bond account from daily marking-to-market and the balance of the performance bond account after the third day.Solution: $1,700 + [($1.3140 - $1.3126) + ($1.3126 - $1.3133)+ ($1.3133 - $1.3049)] x EUR125,000 = $2,837.50,where EUR125,000 is the contractual size of one EUR contract.2. Do problem 1 again assuming you have a long position in the futures contract.Solution: $1,700 + [($1.3126 - $1.3140) + ($1.3133 - $1.3126) + ($1.3049 - $1.3133)] x EUR125,000 = $562.50,where EUR125,000 is the contractual size of one EUR contract.With only $562.50 in your performance bond account, you would experience a margin call requesting that additional funds be added to your performance bond account to bring the balance back up to the initial performance bond level.3. Using the quotations in Exhibit 7.3, calculate the face value of the open interest in the June 2005 Swiss franc futures contract.Solution: 2,101 contracts x SF125,000 = SF262,625,000.where SF125,000 is the contractual size of one SF contract.4. Using the quotations in Exhibit 7.3, note that the June 2005 Mexican peso futures contract has a price of $0.08845. You believe the spot price in June will be $0.09500. What speculative position would you enter into to attempt to profit from your beliefs? Calculate your anticipated profits, assuming you take a position in three contracts. What is the size of your profit (loss) if the futures price is indeed an unbiased predictor of the future spot price and this price materializes?Solution: If you expect the Mexican peso to rise from $0.08845 to $0.09500, you would take a long position in futures since the futures price of $0.08845 is less than your expected spot price.Your anticipated profit from a long position in three contracts is: 3 x ($0.09500 - $0.08845) x MP500,000 = $9,825.00, where MP500,000 is the contractual size of one MP contract.If the futures price is an unbiased predictor of the expected spot price, the expected spot price is the futures price of $0.08845/MP. If this spot price materializes, you will not have any profits or losses from your short position in three futures contracts: 3 x ($0.08845 - $0.08845) x MP500,000 = 0.5. Do problem 4 again assuming you believe the June 2005 spot price will be $0.08500.Solution: If you expect the Mexican peso to depreciate from $0.08845 to $0.07500, you would take a short position in futures since the futures price of $0.08845 is greater than your expected spot price.Your anticipated profit from a short position in three contracts is: 3 x ($0.08845 - $0.07500) x MP500,000 = $20,175.00.If the futures price is an unbiased predictor of the future spot price and this price materializes, you will not profit or lose from your long futures position.6. George Johnson is considering a possible six-month $100 million LIBOR-based, floating-rate bank loan to fund a project at terms shown in the table below. Johnson fears a possible rise in the LIBOR rate by December and wants to use the December Eurodollar futures contract to hedge this risk. The contract expires December 20, 1999, has a US$ 1 million contract size, and a discount yield of7.3 percent.Johnson will ignore the cash flow implications of marking to market, initial margin requirements, and any timing mismatch between exchange-traded futures contract cash flows and the interest payments due in March.Loan TermsSeptember 20, 1999 December 20, 1999 March 20, 2000 ∙Borrow $100 million at ∙Pay interest for first three ∙Pay back principal September 20 LIBOR + 200 months plus interestbasis points (bps) ∙Roll loan over at∙September 20 LIBOR = 7% December 20 LIBOR +200 bpsLoan First loan payment (9%) Second paymentinitiated and futures contract expires and principal↓↓↓∙∙9/20/99 12/20/99 3/20/00a. Formulate Johnson’s September 20 floating-to-fixed-rate strategy using the Eurodollar future contracts discussed in the text above. Show that this strategy would result in a fixed-rate loan, assuming an increase in the LIBOR rate to 7.8 percent by December 20, which remains at 7.8 percent through March 20. Show all calculations.Johnson is considering a 12-month loan as an alternative. This approach will result in two additional uncertain cash flows, as follows:Loan First Second Third Fourth payment initiated payment (9%) payment payment and principal↓↓↓↓↓∙∙∙∙9/20/99 12/20/99 3/20/00 6/20/00 9/20/00b. Describe the strip hedge that Johnson could use and explain how it hedges the 12-month loan (specify number of contracts). No calculations are needed.CFA Guideline Answera. The basis point value (BPV) of a Eurodollar futures contract can be found by substituting the contract specifications into the following money market relationship:BPV FUT = Change in Value = (face value) x (days to maturity / 360) x (change in yield)= ($1 million) x (90 / 360) x (.0001)= $25The number of contract, N, can be found by:N = (BPV spot) / (BPV futures)= ($2,500) / ($25)= 100ORN = (value of spot position) / (face value of each futures contract)= ($100 million) / ($1 million)= 100ORN = (value of spot position) / (value of futures position)= ($100,000,000) / ($981,750)where value of futures position = $1,000,000 x [1 – (0.073 / 4)]102 contractsTherefore on September 20, Johnson would sell 100 (or 102) December Eurodollar futures contracts at the 7.3 percent yield. The implied LIBOR rate in December is 7.3 percent as indicated by the December Eurofutures discount yield of 7.3 percent. Thus a borrowing rate of 9.3 percent (7.3 percent + 200 basis points) can be locked in if the hedge is correctly implemented.A rise in the rate to 7.8 percent represents a 50 basis point (bp) increase over the implied LIBOR rate. For a 50 basis point increase in LIBOR, the cash flow on the short futures position is:= ($25 per basis point per contract) x 50 bp x 100 contracts= $125,000.However, the cash flow on the floating rate liability is:= -0.098 x ($100,000,000 / 4)= - $2,450,000.Combining the cash flow from the hedge with the cash flow from the loan results in a net outflow of $2,325,000, which translates into an annual rate of 9.3 percent:= ($2,325,000 x 4) / $100,000,000 = 0.093This is precisely the implied borrowing rate that Johnson locked in on September 20. Regardless of the LIBOR rate on December 20, the net cash outflow will be $2,325,000, which translates into an annualized rate of 9.3 percent. Consequently, the floating rate liability has been converted to a fixed rate liability in the sense that the interest rate uncertainty associated with the March 20 payment (using the December 20 contract) has been removed as of September 20.b. In a strip hedge, Johnson would sell 100 December futures (for the March payment), 100 March futures (for the June payment), and 100 June futures (for the September payment). The objective is to hedge each interest rate payment separately using the appropriate number of contracts. The problem is the same as in Part A except here three cash flows are subject to rising rates and a strip of futures is used tohedge this interest rate risk. This problem is simplified somewhat because the cash flow mismatch between the futures and the loan payment is ignored. Therefore, in order to hedge each cash flow, Johnson simply sells 100 contracts for each payment. The strip hedge transforms the floating rate loan into a strip of fixed rate payments. As was done in Part A, the fixed rates are found by adding 200 basis points to the implied forward LIBOR rate indicated by the discount yield of the three different Eurodollar futures contracts. The fixed payments will be equal when the LIBOR term structure is flat for the first year.7. Jacob Bower has a liability that:∙has a principal balance of $100 million on June 30, 1998,∙accrues interest quarterly starting on June 30, 1998,∙pays interest quarterly,∙has a one-year term to maturity, and∙calculates interest due based on 90-day LIBOR (the London Interbank OfferedRate).Bower wishes to hedge his remaining interest payments against changes in interest rates.Bower has correctly calculated that he needs to sell (short) 300 Eurodollar futures contracts to accomplish the hedge. He is considering the alternative hedging strategies outlined in the following table.Initial Position (6/30/98) in90-Day LIBOR Eurodollar ContractsStrategy A Strategy BContract Month (contracts) (contracts)September 1998 300 100December 1998 0 100March 1999 0 100a. Explain why strategy B is a more effective hedge than strategy A when the yield curveundergoes an instantaneous nonparallel shift.b. Discuss an interest rate scenario in which strategy A would be superior to strategy B.CFA Guideline Answera. Strategy B’s SuperiorityStrategy B is a strip hedge that is constructed by selling (shorting) 100 futures contracts maturing in each of the next three quarters. With the strip hedge in place, each quarter of the coming year is hedged against shifts in interest rates for that quarter. The reason Strategy B will be a more effective hedge than Strategy A for Jacob Bower is that Strategy B is likely to work well whether a parallel shift or a nonparallel shift occurs over the one-year term of Bower’s liability. That is, regardless of what happens to the term structure, Strategy B structures the futures hedge so that the rates reflected by the Eurodollar futures cash price match the applicable rates for the underlying liability-the 90day LIBOR-based rate on Bower’s liability. The same is not true for Strategy A. Because Jacob Bower’s liability carries a floating interest rate that resets quarterly, he needs a strategy that provides a series of three-month hedges. Strategy A will need to be restructured when the three-month September contract expires. In particular, if the yield curve twists upward (futures yields rise more for distant expirations than for near expirations), Strategy A will produce inferior hedge results.b. Scenario in Which Strategy A is SuperiorStrategy A is a stack hedge strategy that initially involves selling (shorting) 300 September contracts. Strategy A is rarely better than Strategy B as a hedging or risk-reduction strategy. Only from the perspective of favorable cash flows is Strategy A better than Strategy B. Such cash flows occur only in certain interest rate scenarios. For example Strategy A will work as well as Strategy B for Bower’s liability if interest rates (instantaneously) change in parallel fashion. Another interest rate scenario where Strategy A outperforms Strategy B is one in which the yield curve rises but with a twist so that futures yields rise more for near expirations than for distant expirations. Upon expiration of the September contract, Bower will have to roll out his hedge by selling 200 December contracts to hedge the remaining interest payments. This action will have the effect that the cash flow from Strategy A will be larger than the cash flow from Strategy B because the appreciation on the 300 short September futures contracts will be larger than the cumulative appreciation in the 300 contracts shorted in Strategy B (i.e., 100 September, 100 December, and 100 March). Consequently, the cash flow from Strategy A will more than offset the increase in the interest payment on the liability, whereas the cash flow from Strategy B will exactly offset the increase in the interest payment on the liability.8. Use the quotations in Exhibit 7.7 to calculate the intrinsic value and the time value of the 97 September Japanese yen American call and put options.Solution: Premium - Intrinsic Value = Time Value97 Sep Call 2.08 - Max[95.80 – 97.00 = - 1.20, 0] = 2.08 cents per 100 yen97 Sep Put 2.47 - Max[97.00 – 95.80 = 1.20, 0] = 1.27 cents per 100 yen9. Assume spot Swiss franc is $0.7000 and the six-month forward rate is $0.6950. What is the minimum price that a six-month American call option with a striking price of $0.6800 should sell for in a rational market? Assume the annualized six-month Eurodollar rate is 3 ½ percent.Solution:Note to Instructor: A complete solution to this problem relies on the boundary expressions presented in footnote 3 of the text of Chapter 7.C a≥Max[(70 - 68), (69.50 - 68)/(1.0175), 0]≥Max[ 2, 1.47, 0] = 2 cents10. Do problem 9 again assuming an American put option instead of a call option.Solution: P a≥Max[(68 - 70), (68 - 69.50)/(1.0175), 0]≥Max[ -2, -1.47, 0] = 0 cents11. Use the European option-pricing models developed in the chapter to value the call of problem 9 and the put of problem 10. Assume the annualized volatility of the Swiss franc is 14.2 percent. This problem can be solved using the FXOPM.xls spreadsheet.Solution:d1 = [ln(69.50/68) + .5(.142)2(.50)]/(.142)√.50 = .2675d2 = d1 - .142√.50 = .2765 - .1004 = .1671N(d1) = .6055N(d2) = .5664N(-d1) = .3945N(-d2) = .4336C e = [69.50(.6055) - 68(.5664)]e-(.035)(.50) = 3.51 centsP e = [68(.4336) - 69.50(.3945)]e-(.035)(.50) = 2.03 cents12. Use the binomial option-pricing model developed in the chapter to value the call of problem 9.The volatility of the Swiss franc is 14.2 percent.Solution: The spot rate at T will be either 77.39¢ = 70.00¢(1.1056) or 63.32¢ = 70.00¢(.9045), where u = e.142 .50= 1.1056 and d = 1/u= .9045. At the exercise price of E= 68, the option will only be exercised at time T if the Swiss franc appreciates; its exercise value would be C uT= 9.39¢ = 77.39¢ - 68. If the Swiss franc depreciates it would not be rational to exercise the option; its value would be C dT = 0.The hedge ratio is h = (9.39 – 0)/(77.39 – 63.32) = .6674.Thus, the call premium is:C0= Max{[69.50(.6674) – 68((70/68)(.6674 – 1) +1)]/(1.0175), 70 – 68}= Max[1.64, 2] = 2 cents per SF.MINI CASE: THE OPTIONS SPECULATORA speculator is considering the purchase of five three-month Japanese yen call options with a striking price of 96 cents per 100 yen. The premium is 1.35 cents per 100 yen. The spot price is 95.28 cents per 100 yen and the 90-day forward rate is 95.71 cents. The speculator believes the yen will appreciate to $1.00 per 100 yen over the next three months. As the speculator’s assistant, you have been asked to prepare the following:1. Graph the call option cash flow schedule.2. Determine the speculator’s profit if the yen appreciates to $1.00/100 yen.3. Determine the speculator’s profit if the yen only appreciates to the forward rate.4. Determine the future spot price at which the speculator will only break even.Suggested Solution to the Options Speculator:1.-2. (5 x ¥6,250,000) x [(100 - 96) - 1.35]/10000 = $8,281.25.3. Since the option expires out-of-the-money, the speculator will let the option expire worthless. He will only lose the option premium.4. S T = E + C = 96 + 1.35 = 97.35 cents per 100 yen.。

《国际财务管理》章后练习题及参考答案

《国际财务管理》章后练习题及参考答案

《国际财务管理》章后练习题及参考答案《国际财务管理》章后练习题及参考答案《国际财务管理》章后练习题及参考答案第一章绪论第一章绪论一、单选题一、单选题1. 关于国际财务管理学与财务管理学的关系表述正确的是(C)。

A. 国际财务管理是学习财务管理的基础B. 国际财务管理与财务管理是两门截然不同的学科C. 国际财务管理是财务管理的一个新的分支D. 国际财务管理研究的范围要比财务管理的窄2. 凡经济活动跨越两个或更多国家国界的企业,都可以称为( A )。

A. 国际企业 B. 跨国企业 C. 跨国公司 D. 多国企业3.企业的( C)管理与财务管理密切结合,是国际财务管理的基本特点 A.资金 B.人事 C.外汇 D成本4.国际财务管理与跨国企业财务管理两个概念( D) 。

A. 完全相同B. 截然不同C. 仅是名称不同D. 内容有所不同 4.国际财务管理的内容不应该包括( C )。

A. 国际技术转让费管理B. 外汇风险管理企业进出口外汇收支管理 C. 合并财务报表管理 D.5.“企业生产经营国际化”和“金融市场国际化”的关系是( C )。

A. 二者毫不相关 B. 二者完全相同 C. 二者相辅相成 D. 二者互相起负面影响二、多选题二、多选题1.国际企业财务管理的组织形态应考虑的因素有( )。

A.公司规模的大小 B.国际经营的投入程度C.管理经验的多少D.整个国际经营所采取的组织形式 2.国际财务管理体系的内容包括( )A.外汇风险的管理B.国际税收管理C.国际投筹资管理D.国际营运资金管 3.国际财务管理目标的特点( )。

A.稳定性B.多元性C.层次性D.复杂性4.广义的国际财务管理观包括( )。

A.世界统一财务管理观B.比较财务管理观C.跨国公司财务管理观D.国际企业财务管理观5. 我国企业的国际财务活动日益频繁,具体表现在( )。

A. 企业从内向型向外向型转化 B. 外贸专业公司有了新的发展 C. 在国内开办三资企业 D. 向国外投资办企业 E. 通过各种形式从国外筹集资金三、判断题三、判断题1.国际财务管理是对企业跨国的财务活动进行的管理。

国际财务管理(原书第8版)教学手册ER8eSM_Ch07

国际财务管理(原书第8版)教学手册ER8eSM_Ch07

CHAPTER 7 FUTURES AND OPTIONS ON FOREIGN EXCHANGE ANSWERS & SOLUTIONS TO END-OF-CHAPTER QUESTIONS AND PROBLEMSQUESTIONS1. Explain the basic differences between the operation of a currency forward market and a futures market.Answer: The forward market is an OTC market where the forward contract for purchase or sale of foreign currency is tailor-made between the client and its international bank. No money changes hands until the maturity date of the contract when delivery and receipt are typically made. A futures contract is an exchange-traded instrument with standardized features specifying contract size and delivery date. Futures contracts are marked-to-market daily to reflect changes in the settlement price. Delivery is seldom made in a futures market. Rather a reversing trade is made to close out a long or short position.2. In order for a derivatives market to function most efficiently, two types of economic agents are needed: hedgers and speculators. Explain.Answer: Two types of market participants are necessary for the efficient operation of a derivatives market: speculators and hedgers. A speculator attempts to profit from a change in the futures price. To do this, the speculator will take a long or short position in a futures contract depending upon his expectations of future price movement. A hedger, on-the-other-hand, desires to avoid price variation by locking in a purchase price of the underlying asset through a long position in a futures contract or a sales price through a short position. In effect, the hedger passes off the risk of price variation to the speculator who is better able, or at least more willing, to bear this risk.3. Why are most futures positions closed out through a reversing trade rather than held to delivery?Answer: In forward markets, approximately 90 percent of all contracts that are initially established result in the short making delivery to the long of the asset underlying the contract. This is natural because the terms of forward contracts are tailor-made between the long and short. By contrast,only about one percent of currency futures contracts result in delivery. While futures contracts are useful for speculation and hedging, their standardized delivery dates make them unlikely to correspond to the actual future dates when foreign exchange transactions will occur. Thus, they are generally closed out in a reversing trade. In fact, the commission that buyers and sellers pay to transact in the futures market is a single amount that covers the round-trip transactions of initiating and closing out the position.4. How can the FX futures market be used for price discovery?Answer: To the extent that FX forward prices are an unbiased predictor of future spot exchange rates, the market anticipates whether one currency will appreciate or depreciate versus another. Because FX futures contracts trade in an expiration cycle, different contracts expire at different periodic dates into the future. The pattern of the prices of these contracts provides information as to the market’s current belief about the relative future value of one currency versus another at the scheduled expiration dates of the contracts. One will generally see a steadily appreciating or depreciating pattern; however, it may be mixed at times. Thus, the futures market is useful for price discovery, i.e., obtaining the market’s forecast of the spot exchange rate at different future dates.5. What is the major difference in the obligation of one with a long position in a futures (or forward) contract in comparison to an options contract?Answer: A futures (or forward) contract is a vehicle for buying or selling a stated amount of foreign exchange at a stated price per unit at a specified time in the future. If the long holds the contract to the delivery date, he pays the effective contractual futures (or forward) price, regardless of whether it is an advantageous price in comparison to the spot price at the delivery date. By contrast, an option is a contract giving the long the right to buy or sell a given quantity of an asset at a specified price at some time in the future, but not enforcing any obligation on him if the spot price is more favorable than the exercise price. Because the option owner does not have to exercise the option if it is to his disadvantage, the option has a price, or premium, whereas no price is paid at inception to enter into a futures (or forward) contract.6. What is meant by the terminology that an option is in-, at-, or out-of-the-money?Answer: A call (put) option with S t > E (E > S t) is referred to as trading in-the-money. If S t≅ E the option is trading at-the-money. If S t< E (E < S t) the call (put) option is trading out-of-the-money.7. List the arguments (variables) of which an FX call or put option model price is a function. How does the call and put premium change with respect to a change in the arguments?Answer: Both call and put options are functions of only six variables: S t, E, r i, r$, T andσ. When all else remains the same, the price of a European FX call (put) option will increase:1. the larger (smaller) is S,2. the smaller (larger) is E,3. the smaller (larger) is r i,4. the larger (smaller) is r$,5. the larger (smaller) r$ is relative to r i, and6. the greater is σ.When r$ and r i are not too much different in size, a European FX call and put will increase in price when the option term-to-maturity increases. However, when r$ is very much larger than r i, a European FX call will increase in price, but the put premium will decrease, when the option term-to-maturity increases. The opposite is true when r i is very much greater than r$. For American FX options the analysis is less complicated. Since a longer term American option can be exercised on any date that a shorter term option can be exercised, or a some later date, it follows that the all else remaining the same, the longer term American option will sell at a price at least as large as the shorter term option.PROBLEMS1. Assume today’s settlement price on a CM E EUR futures contract is $1.3140/EUR. You havea short position in one contract. Your performance bond account currently has a balance of $1,700. The next three days’ settlement prices are $1.3126, $1.3133, and $1.3049. Calculate the changes in the performance bond account from daily marking-to-market and the balance of the performance bond account after the third day.Solution: $1,700 + [($1.3140 - $1.3126) + ($1.3126 - $1.3133)+ ($1.3133 - $1.3049)] x EUR125,000 = $2,837.50, where EUR125,000 is the contract size of one EUR contract.2. Do problem 1 again assuming you have a long position in the futures contract.Solution: $1,700 + [($1.3126 - $1.3140) + ($1.3133 - $1.3126) + ($1.3049 - $1.3133)] x EUR125,000 = $562.50, where EUR125,000 is the contract size of one EUR contract.With only $562.50 in your performance bond account, you would experience a margin call requesting that additional funds be added to your performance bond account to bring the balance back up to the initial performance bond level.3. Using the quotations in Exhibit 7.3, calculate the face value of the open interest in the September 2016 Swiss franc futures contract.Solution: 178 contracts x SF125,000 = SF22,250,000, where SF125,000 is the contract size of one SF contract. Note: By comparison the face value of the open interest in the 43,970 June 2016 contracts is SF5,496,250,000.4. Using the quotations in Exhibit 7.3, note that the September 2016 Mexican peso futures contract has a price of $0.05481 per MXN. You believe the spot price in September will be $0.06133 per MXN. What speculative position would you enter into to attempt to profit from your beliefs? Calculate your anticipated profits, assuming you take a position in three contracts. What is the size of your profit (loss) if the futures price is indeed an unbiased predictor of the future spot price and this price materializes?Solution: If you expect the Mexican peso to rise from $0.05481 to $0.06133 per MXN, you would take a long position in futures since the futures price of $0.05481 is less than your expected spot price.Your anticipated profit from a long position in three contracts is: 3 x ($0.06133 - $0.05481) x MXN500,000 = $9,780 where MXN500,000 is the contract size of one MXN contract.If the futures price is an unbiased predictor of the expected spot price, the expected spot price is the futures price of $0.05481 per MXN. If this spot price materializes, you will not have any profits or losses from your short position in three futures contracts: 3 x ($0.05481 - $0.05481) x MXN500,000 = 0.5. Do problem 4 again assuming you believe the September 2016 spot price will be $0.04829 per MXN.Solution: If you expect the Mexican peso to depreciate from $0.05481 to $0.04829 per MXN, you would take a short position in futures since the futures price of $0.05481 is greater than your expected spot price.Your anticipated profit from a short position in three contracts is: 3 x ($0.05481 - $0.04829) x MXN500,000 = $9,780, where MXN500,000 is the contract size of one MXN contract.If the futures price is an unbiased predictor of the future spot price and this price materializes, you will not profit or lose from your long futures position.6. Using the market data in Exhibit7.6, show the net terminal value of a long position in one 90 Sep Japanese yen European call contract at the following terminal spot prices (stated in U.S. cents per 100 yen): 81, 85, 90, 95, and 99. Ignore any time value of money effect.Solution: The net terminal value of one call contract is:[Max[S T– E, 0]– C e] x JPY1,000,000/100 ÷ 100¢, where JPY1,000,000 is the contract size of one JPY contract.At 81: [Max[81 – 90, 0] – 2.60] x JPY1,000,000/100 ÷ 100¢ = -$260At 85: [Max[85 – 90, 0] – 2.60] x JPY1,000,000/100 ÷ 100¢ = -$260At 90: [Max[90 – 90, 0] – 2.60] x JPY1,000,000/100 ÷ 100¢ = -$260At 95: [Max[95 – 90, 0] – 2.60] x JPY1,000,000/100 ÷ 100¢ = $240At 99: [Max [99 – 90, 0] – 2.60] x JPY1,000,000/100 ÷ 100¢ = $6407. Using the market data in Exhibit 7.6, show the net terminal value of a long position in one 90 Sep Japanese yen European put contract at the following terminal spot prices (stated in U.S. cents per 100 yen): 81, 85, 90, 95, and 99. Ignore any time value of money effect.Solution: The net terminal value of one put contract is:[Max[E –S T, 0] –P e x JPY1,000,000/100 ÷ 100¢, where JPY1,000,000 is the contract size of one JPY contract.At 81: [Max[90 – 81, 0] – 1.80] x JPY1,000,000/100 ÷ 100¢ = $720At 85: [Max[90 – 85, 0] – 1.80] x JPY1,000,000/100 ÷ 100¢ = $320At 90: [Max[90 – 90, 0] – 1.80] x JPY1,000,000/100 ÷ 100¢ = -$180At 95: [Max[90 – 95, 0] – 1.80] x JPY1,000,000/100 ÷ 100¢ = -$180At 99: [Max[90 – 99, 0] – 1.80] x JPY1,000,000/100 ÷ 100¢ = -$1808. Assume that the Japanese yen is trading at a spot price of 92.04 cents per 100 yen. Further assume that the premium of an American call (put) option with a striking price of 93 is 2.10 (2.20) cents. Calculate the intrinsic value and the time value of the call and put options.Solution: Premium - Intrinsic Value = Time ValueCall: 2.10 - Max[92.04 – 93.00 = - .96, 0] = 2.10 cents per 100 yenPut: 2.20 - Max[93.00 – 92.04 = .96, 0] = 1.24 cents per 100 yen9. Assume spot Swiss franc is $0.7000 and the six-month forward rate is $0.6950. What is the minimum price that a six-month American call option with a striking price of $0.6800 should sell for in a rational market? Assume the annualized six-month Eurodollar rate is 3 ½ percent.Solution:Note to Instructor: A complete solution to this problem relies on the boundary expressions presented in footnote 3 of the text of Chapter 7.C a≥Max[(70 - 68), (69.50 - 68)/(1.0175), 0]≥Max[ 2, 1.47, 0] = 2 cents10. Do problem 9 again assuming an American put option instead of a call option.Solution: P a≥Max[(68 - 70), (68 - 69.50)/(1.0175), 0]≥Max[ -2, -1.47, 0] = 0 cents11. Use the European option-pricing models developed in the chapter to value the call of problem 9 and the put of problem 10. Assume the annualized volatility of the Swiss franc is 14.2 percent. This problem can be solved using the FXOPM.xls spreadsheet.Solution:d1 = [ln(69.50/68) + .5(.142)2(.50)]/(.142)√.50 = .2675d2 = d1 - .142√.50 = .2765 - .1004 = .1671N(d1) = .6055N(d2) = .5664N(-d1) = .3945N(-d2) = .4336C e = [69.50(.6055) - 68(.5664)]e-(.035)(.50) = 3.51 centsP e = [68(.4336) - 69.50(.3945)]e-(.035)(.50) = 2.03 cents12. Use the binomial option-pricing model developed in the chapter to value the call of problem 9. The volatility of the Swiss franc is 14.2 percent.Solution: The spot rate at T will be either 77.39¢ = 70.00¢(1.1056) or 63.32¢ = 70.00¢(.9045), where u = e.142√.50 = 1.1056 and d = 1/u = .9045. At the exercise price of E = 68, the option will only be exercised at time T if the Swiss franc appreciates; its exercise value would be C uT= 9.39¢= 77.39¢- 68. If the Swiss franc depreciates it would not be rational to exercise the option; its value would be C dT = 0.The hedge ratio is h = (9.39 – 0)/(77.39 – 63.32) = .6674.Thus, the call premium is:C0 = Max{[69.50(.6674) – 68((77.39/68)(.6674 – 1) +1)]/(1.0175), 70 – 68}= Max[4.05, 2] = 4.05 cents per SF.MINI CASE: THE OPTIONS SPECULATORA speculator is considering the purchase of five three-month Japanese yen call options with a striking price of 96 cents per 100 yen. The premium is 1.35 cents per 100 yen. The spot price is 95.28 cents per 100 yen and the 90-day forward rate is 95.71 cents. The speculator believes the yen will appre ciate to $1.00 per 100 yen over the next three months. As the speculator’s assistant, you have been asked to prepare the following:1. Graph the call option cash flow schedule.2. Determine the speculator’s profit if the yen appreciates to $1.00/100 yen.3. Determine the speculator’s profit if the yen only appreciates to the forward rate.4. Determine the future spot price at which the speculator will only break even.Suggested Solution to the Options Speculator:1.-2. (5 x ¥1,000,000) x [(100 - 96) - 1.35]/10000 = $1,325.00.3. Since the option expires out-of-the-money, the speculator will let the option expire worthless. He will only lose the option premium.4. S T = E + C = 96 + 1.35 = 97.35 cents per 100 yen.。

最新《国际财务管理》复习题及答案

最新《国际财务管理》复习题及答案

《第一章国际财务管理导论》1与国内财务管理相比较,国际财务管理具有何特点?包括哪些主要内容?(一)理财环境的复杂性跨国经营涉及多个国家和地区,财务管理环境相当复杂且不确定。

(二)财务风险的多重性1、经济和经营方面的风险2、政治风险(三)资金融通的多样性1.资金来源广泛2.筹资方式灵活多样3.货币软硬差别、利率高低不一(四)财务管理内容更丰富(五)理财技巧的复杂性《第二章外汇市场》直接标价汇率:以一定单位的外国货币为标准,折算成若干本国货币表示的汇率标价方法。

即表现为一定单位外币可兑换的本国货币金额。

间接标价汇率:以一定单位的本国货币为标准,折算成若干外国货币来表示的汇率标价方法。

即表现为一定单位本币可兑换的外国货币金额。

欧洲术语:报出单位美元的外币价格。

(如SFr1.1745/48/$, J¥107.43/50$)美国术语:报出单位外币的美元价格。

(如$1.4560/64/£ , $1.2540/45/€)套汇:利用不同外汇市场的汇率差异,同时在低价市场上买进,高价市场上卖出某种货币,以获取汇差利润。

套利:利用不同国家货币市场短期利率的差异,将资金从一国转移到另一国进行投资以赚取利率差额的外汇交易。

外汇掉期:又称时间套汇,指在买进(或卖出)某种货币的同时,卖出(或买进)同等数量但交割期限不同的同种货币。

外汇投机:通过对汇率变动趋势的预计,贱买贵卖,获取汇率变动的差价收益。

掉期汇率:又称点数报价,报出远期汇率与即期汇率差异的点数。

1什么是抵补的套利?它与非抵补的套利有何不同?实施抵补套利的意义何在?根据是否对汇率变动风险进行套期保值,套利分为:①未抵(抛)补的套利交易(uncovered interest arbitrage)非抵补套利:又称不抵补套利,指把资金从利率低的货币转向利率高的货币,从而谋取利率的差额收入。

②抵(抛)补的套利交易(covered interest arbitrage)抵补的套利是指把资金调往高利率货币国家或地区的同时,在外汇市场上卖出远期高利率货币,即在进行套利的同时做掉期交易,以避免汇率风险。

国际财务管理复习资料汇总

国际财务管理复习资料汇总

第一章:1.什么是国际财务管理国际财务管理,也叫国际理财,是国际企业从事跨国性生产经营活动所面临新的财务管理问题,是研究企业在国际市场中如何对其资金运营活动及其财务关系所进行的管理,它是财务管理在国际领域中的延伸和发展。

2.促使国际财务管理发展的分析①历史发展到20世纪80年代,由于商品经济的国际化发展、世界经济的一体化趋势、国际金融市场体系的形成和跨国公司的崛起,使诞生国际财务管理的社会环境开始成熟。

②跨越国界的生产经营活动是国际财务管理产生的条件。

国际财务管理的诞生是企业的跨国性生产经营活动所产生的需求,其条件必须是商品经济国际化发展到一定程度,国际市场已经比较成熟的时期。

2.促使国际财务管理产生的社会环境:⑴、商品经济国际化的发展;⑵、世界经济的一体化趋势;⑶、跨国公司的全球性经营战略。

3.国际财务管理的基础理论国际财务管理研究的内容(一)外汇风险及其管理(二)全球性的融资策略和方法①.跨国企业可以进行全球性的股本融资。

②.国际企业可以在国际金融市场上筹集多品种的短期流动资金贷款,但要注意融资成本的测算和风险的规避;③.国际企业可以在国际金融市场上筹集中长期信贷。

④.国际企业有机会在更广泛的金融市场进行债务融资。

⑤.国际企业还可以选择特定方向的融资(三)国际投资决策(四)财源的全球性调配(五)国际营运资本管理(六)国际税务管理(七)国际反倾销的财务对策4.财务管理目标理论:(一)利润最大化(二)净现值最大化(三)资金成本最小化(四)股东财富最大化第二章:1. 直接标价法又称为应付标价法,是以一定单位的外国货币作为标准,折算为本国货币来表示其汇率。

间接标价法又称为应收标价法,是以一定单位的本国货币为标准,折算为一定数额的外国货币来表示其汇率。

2.汇率的分类(1)按外汇交易交割期限为标准,可划分为:即期汇率:也叫现汇汇率,是指买卖外汇双方成交当天或两天以内进行交割的汇率。

远期汇率:是在未来一定时期进行交割,而事先由买卖双方签订合同、达成协议的汇率。

国际财务管理课后习题答案chapter 8Word版

国际财务管理课后习题答案chapter 8Word版

CHAPTER 8 MANAGEMENT OF TRANSACTION EXPOSURE SUGGESTED ANSWERS AND SOLUTIONS TO END-OF-CHAPTER QUESTIONS AND PROBLEMSQUESTIONS1. How would you define transaction exposure? How is it different from economic exposure?Answer: Transaction exposure is the sensitivity of realized domestic currency values of the firm’s contractual cash flows denominated in foreign currencies to unexpected changes in exchange rates. Unlike economic exposure, transaction exposure is well-defined and short-term.2. Discuss and compare hedging transaction exposure using the forward contract vs. money market instruments. When do the alternative hedging approaches produce the same result?Answer: Hedging transaction exposure by a forward contract is achieved by selling or buying foreign currency receivables or payables forward. On the other hand, money market hedge is achieved by borrowing or lending the present value of foreign currency receivables or payables, thereby creating offsetting foreign currency positions. If the interest rate parity is holding, the two hedging methods are equivalent.3. Discuss and compare the costs of hedging via the forward contract and the options contract.Answer: There is no up-front cost of hedging by forward contracts. In the case of options hedging, however, hedgers should pay the premiums for the contracts up-front. The cost of forward hedging, however, may be realized ex post when the hedger regrets his/her hedging decision.4. What are the advantages of a currency options contract as a hedging tool compared with the forward contract?Answer: The main advantage of using options contracts for hedging is that the hedger can decide whether to exercise options upon observing the realized future exchange rate. Options thus provide a hedge against ex post regret that forward hedger might have to suffer. Hedgers can only eliminate the downside risk while retaining the upside potential.5. Suppose your company has purchased a put option on the German mark to manage exchange exposure associated with an account receivable denominated in that currency. In this case, your company can be said to have an ‘insurance’ policy on its receivable. Explain in what sense this is so.Answer: Your company in this case knows in advance that it will receive a certain minimum dollar amount no matter what might happen to the $/€exchange rate. Furthermore, if the German mark appreciates, your company will benefit from the rising euro.6. Recent surveys of corporate exchange risk management practices indicate that many U.S. firms simply do not hedge. How would you explain this result?Answer: There can be many possible reasons for this. First, many firms may feel that they are not really exposed to exchange risk due to product diversification, diversified markets for their products, etc. Second, firms may be using self-insurance against exchange risk. Third, firms may feel that shareholders can diversify exchange risk themselves, rendering corporate risk management unnecessary.7. Should a firm hedge? Why or why not?Answer: In a perfect capital market, firms may not need to hedge exchange risk. But firms can add to their value by hedging if markets are imperfect. First, if management knows about the firm’s exposure better than shareholders, the firm, not its shareholders, should hedge. Second, firms may be able to hedge at a lower cost. Third, if default costs are significant, corporate hedging can be justifiable because it reduces the probability of default. Fourth, if the firm faces progressive taxes, it can reduce tax obligations by hedging which stabilizes corporate earnings.8. Using an example, discuss the possible effect of hedging on a firm’s tax obligations.Answer: One can use an example similar to the one presented in the chapter.9. Explain contingent exposure and discuss the advantages of using currency options to manage this type of currency exposure.Answer: Companies may encounter a situation where they may or may not face currency exposure. In this situation, companies need options, not obligations, to buy or sell a given amount of foreign exchange they may or may not receive or have to pay. If companies either hedge using forward contracts or do not hedge at all, they may face definite currency exposure.10. Explain cross-hedging and discuss the factors determining its effectiveness.Answer: Cross-hedging involves hedging a position in one asset by taking a position in another asset. The effectiveness of cross-hedging would depend on the strength and stability of the relationship between the two assets.PROBLEMS1. Cray Research sold a super computer to the Max Planck Institute in Germany on credit and invoiced €10 million payable in six months. Currently, the six-month forward exchange rate is $1.10/€ and the foreign exchange advisor for Cray Research predicts that the spot rate is likely to be $1.05/€ in six months.(a) What is the expected gain/loss from the forward hedging?(b) If you were the financial manager of Cray Research, would you recommend hedging this euro receivable? Why or why not?(c) Suppose the foreign exchange advisor predicts that the future spot rate will be the same as the forward exchange rate quoted today. Would you recommend hedging in this case? Why or why not?Solution: (a) Expected gain($) = 10,000,000(1.10 – 1.05)= 10,000,000(.05)= $500,000.(b) I would recommend hedging because Cray Research can increase the expected dollar receipt by $500,000 and also eliminate the exchange risk.(c) Since I eliminate risk without sacrificing dollar receipt, I still would recommend hedging.2. IBM purchased computer chips from NEC, a Japanese electronics concern, and was billed ¥250 million payable in three months. Currently, the spot exchange rate is ¥105/$ and the three-month forward rate is ¥100/$. The three-month money market interest rate is 8 percent per annum in the U.S. and 7 percent per annum in Japan. The management of IBM decided to use the money market hedge to deal with this yen account payable.(a) Explain the process of a money market hedge and compute the dollar cost of meeting the yen obligation.(b) Conduct the cash flow analysis of the money market hedge.Solution: (a). Let’s first compute the PV of ¥250 million, i.e.,250m/1.0175 = ¥245,700,245.7So if the above yen amount is invested today at the Japanese interest rate for three months, the maturity value will be exactly equal to ¥25 million which is the amount of payable.To buy the above yen amount today, it will cost:$2,340,002.34 = ¥250,000,000/105.The dollar cost of meeting this yen obligation is $2,340,002.34 as of today.(b)___________________________________________________________________Transaction CF0 CF1____________________________________________________________________1. Buy yens spot -$2,340,002.34with dollars ¥245,700,245.702. Invest in Japan - ¥245,700,245.70 ¥250,000,0003. Pay yens - ¥250,000,000Net cash flow - $2,340,002.34____________________________________________________________________3. You plan to visit Geneva, Switzerland in three months to attend an international business conference. You expect to incur the total cost of SF 5,000 for lodging, meals and transportation during your stay. As of today, the spot exchange rate is $0.60/SF and the three-month forward rate is $0.63/SF. You can buy the three-month call option on SF with the exercise rate of $0.64/SF for the premium of $0.05 per SF. Assume that your expected future spot exchange rate is the same as the forward rate. The three-month interest rate is 6 percent per annum in the United States and 4 percent per annum in Switzerland.(a) Calculate your expected dollar cost of buying SF5,000 if you choose to hedge via call option on SF.(b) Calculate the future dollar cost of meeting this SF obligation if you decide to hedge using a forward contract.(c) At what future spot exchange rate will you be indifferent between the forward and option market hedges?(d) Illustrate the future dollar costs of meeting the SF payable against the future spot exchange rate under both the options and forward market hedges.Solution: (a) Total option premium = (.05)(5000) = $250. In three months, $250 is worth $253.75 = $250(1.015). At the expected future spot rate of $0.63/SF, which is less than the exercise price, y ou don’t expect to exercise options. Rather, you expect to buy Swiss franc at $0.63/SF. Since you are going to buy SF5,000, you expect to spend $3,150 (=.63x5,000). Thus, the total expected cost of buying SF5,000 will be the sum of $3,150 and $253.75, i.e., $3,403.75.(b) $3,150 = (.63)(5,000).(c) $3,150 = 5,000x + 253.75, where x represents the break-even future spot rate. Solving for x, we obtain x = $0.57925/SF. Note that at the break-even future spot rate, options will not be exercised.(d) If the Swiss franc appreciates beyond $0.64/SF, which is the exercise price of call option, you will exercise the option and buy SF5,000 for $3,200. The total cost of buying SF5,000 will be $3,453.75 = $3,200 + $253.75.This is the maximum you will pay.4. Boeing just signed a contract to sell a Boeing 737 aircraft to Air France. Air France will be billed €20 million which is payable in one year. The current spot exchange rate is $1.05/€ and the one -year forward rate is $1.10/€. The annual interest rate is 6.0% in the U.S. and5.0% in France. Boeing is concerned with the volatile exchange rate between the dollar and the euro and would like to hedge exchange exposure.(a) It is considering two hedging alternatives: sell the euro proceeds from the sale forward or borrow euros from the Credit Lyonnaise against the euro receivable. Which alternative would you recommend? Why?(b) Other things being equal, at what forward exchange rate would Boeing be indifferent between the two hedging methods?Solution: (a) In the case of forward hedge, the future dollar proceeds will be (20,000,000)(1.10) = $22,000,000. In the case of money market hedge (MMH), the firm has to first borrow the PV of its euro receivable, i.e., 20,000,000/1.05 =€19,047,619. Then the firm should exchange this euro amount into dollars at the current spot rate to receive: (€19,047,619)($1.05/€) = $20,000,000, which can be invested at the dollar interest rate for one year to yield:$ Cost Options hedge Forward hedge $3,453.75 $3,150 0 0.579 0.64 (strike price) $/SF$253.75$20,000,000(1.06) = $21,200,000.Clearly, the firm can receive $800,000 more by using forward hedging.(b) According to IRP, F = S(1+i$)/(1+i F). Thus the “indifferent” forward rate will be:F = 1.05(1.06)/1.05 = $1.06/€.5. Suppose that Baltimore Machinery sold a drilling machine to a Swiss firm and gave the Swiss client a choice of paying either $10,000 or SF 15,000 in three months.(a) In the above example, Baltimore Machinery effectively gave the Swiss client a free option to buy up to $10,000 dollars using Swiss franc. What is the ‘implied’ exercise exchange rate?(b) If the spot exchange rate turns out to be $0.62/SF, which currency do you think the Swiss client will choose to use for payment? What is the value of this free option for the Swiss client?(c) What is the best way for Baltimore Machinery to deal with the exchange exposure?Solution: (a) The implied exercise (price) rate is: 10,000/15,000 = $0.6667/SF.(b) If the Swiss client chooses to pay $10,000, it will cost SF16,129 (=10,000/.62). Since the Swiss client has an option to pay SF15,000, it will choose to do so. The value of this option is obviously SF1,129 (=SF16,129-SF15,000).(c) Baltimore Machinery faces a contingent exposure in the sense that it may or may not receive SF15,000 in the future. The firm thus can hedge this exposure by buying a put option on SF15,000.6. Princess Cruise Company (PCC) purchased a ship from Mitsubishi Heavy Industry. PCC owes Mitsubishi Heavy Industry 500 million yen in one year. The current spot rate is 124 yen per dollar and the one-year forward rate is 110 yen per dollar. The annual interest rate is 5% in Japan and 8% in the U.S. PCC can also buy a one-year call option on yen at the strike price of $.0081 per yen for a premium of .014 cents per yen.(a) Compute the future dollar costs of meeting this obligation using the money market hedge and the forward hedges.(b) Assuming that the forward exchange rate is the best predictor of the future spot rate, compute the expected future dollar cost of meeting this obligation when the option hedge is used.(c) At what future spot rate do you think PCC may be indifferent between the option and forward hedge?Solution: (a) In the case of forward hedge, the dollar cost will be 500,000,000/110 = $4,545,455. In the case of money market hedge, the future dollar cost will be: 500,000,000(1.08)/(1.05)(124)= $4,147,465.(b) The option premium is: (.014/100)(500,000,000) = $70,000. Its future value will be $70,000(1.08) = $75,600.At the expected future spot rate of $.0091(=1/110), which is higher than the exercise of $.0081, PCC will exercise its call option and buy ¥500,000,000 for $4,050,000 (=500,000,000x.0081).The total expected cost will thus be $4,125,600, which is the sum of $75,600 and $4,050,000.(c) When the option hedge is used, PCC will spend “at most” $4,125,000. On the other hand, when the forward hedging is used, PCC will have to spend $4,545,455 regardless of the future spot rate. This means that the options hedge dominates the forward hedge. At no future spot rate, PCC will be indifferent between forward and options hedges.7. Airbus sold an aircraft, A400, to Delta Airlines, a U.S. company, and billed $30 million payable in six months. Airbus is concerned with the euro proceeds from international sales and would like to control exchange risk. The current spot exchange rate is $1.05/€ and six-month forward exchange rate is $1.10/€ at the moment. Airbus can buy a six-month put option on U.S. dollars with a strike price of€0.95/$ for a premium of €0.02 per U.S. dollar. Currently, six-month interest rate is 2.5% in the euro zone and 3.0% in theU.S.pute the guaranteed euro proceeds from the American sale if Airbus decides tohedge using a forward contract.b.If Airbus decides to hedge using money market instruments, what action doesAirbus need to take? What would be the guaranteed euro proceeds from the American sale in this case?c.If Airbus decides to hedge using put options on U.S. dollars, what would be the‘expected’ euro proceeds from the American sale? Assume that Airbus regards the current forward exchange rate as an unbiased predictor of the future spot exchange rate.d.At what future spot exchange rate do you think Airbus will be indifferent betweenthe option and money market hedge?Solution:a. Airbus will sell $30 million forward for €27,272,727 = ($30,000,000) / ($1.10/€).b. Airbus will borrow the present value of the dollar receivable, i.e., $29,126,214 = $30,000,000/1.03, and then sell the dollar proceeds spot for euros: €27,739,251. This is the euro amount that Airbus is going to keep.c. Since the expected future spot rate is less than the strike price of the put option, i.e., €0.9091< €0.95, Airbus expects to exercise the option and receive €28,500,000 = ($30,000,000)(€0.95/$). This is gross proceeds. Airbus spent €600,000 (=0.02x30,000,000) upfront for the option and its future cost is equal to €615,000 = €600,000 x 1.025. Thus the net euro proceeds from the American sale is €27,885,000, which is the difference between the gross proceeds and the option costs.d. At the indifferent future spot rate, the following will hold:€28,432,732 = S T(30,000,000) - €615,000.Solving for S T, we obtain the “indifference” future spot exchange rate, i.e., €0.9683/$, or $1.0327/€. Note that €28,432,732 is the future value of the proceeds under money market hedging:€28,432,732 = (€27,739,251) (1.025).Suggested solution for Mini Case: Chase Options, Inc.[See Chapter 13 for the case text]Chase Options, Inc.Hedging Foreign Currency Exposure Through Currency OptionsHarvey A. PoniachekI. Case SummaryThis case reviews the foreign exchange options market and hedging. It presents various international transactions that require currency options hedging strategies by the corporations involved. Seven transactions under a variety of circumstances are introduced that require hedging by currency options. The transactions involve hedging of dividend remittances, portfolio investment exposure, and strategic economic competitiveness. Market quotations are provided for options (and options hedging ratios), forwards, and interest rates for various maturities.II. Case Objective.The case introduces the student to the principles of currency options market and hedging strategies. The transactions are of various types that often confront companies that are involved in extensive international business or multinational corporations. The case induces students to acquire hands-on experience in addressing specific exposure and hedging concerns, including how to apply various market quotations, which hedging strategy is most suitable, and how to address exposure in foreign currency through cross hedging policies.III. Proposed Assignment Solution1. The company expects DM100 million in repatriated profits, and does not want the DM/$ exchange rate at which they convert those profits to rise above 1.70. They can hedge this exposure using DM put options with a strike price of 1.70. If the spot rate rises above 1.70, they can exercise the option, while if that rate falls they can enjoy additional profits from favorable exchange rate movements.To purchase the options would require an up-front premium of:DM 100,000,000 x 0.0164 = DM 1,640,000.With a strike price of 1.70 DM/$, this would assure the U.S. company of receiving at least:DM 100,000,000 – DM 1,640,000 x (1 + 0.085106 x 272/360)= DM 98,254,544/1.70 DM/$ = $57,796,791by exercising the option if the DM depreciated. Note that the proceeds from the repatriated profits are reduced by the premium paid, which is further adjusted by the interest foregone on this amount.However, if the DM were to appreciate relative to the dollar, the company would allow the option to expire, and enjoy greater dollar proceeds from this increase.Should forward contracts be used to hedge this exposure, the proceeds received would be:DM100,000,000/1.6725 DM/$ = $59,790,732,regardless of the movement of the DM/$ exchange rate. While this amount is almost $2 million more than that realized using option hedges above, there is no flexibilityregarding the exercise date; if this date differs from that at which the repatriate profits are available, the company may be exposed to additional further current exposure. Further, there is no opportunity to enjoy any appreciation in the DM.If the company were to buy DM puts as above, and sell an equivalent amount in calls with strike price 1.647, the premium paid would be exactly offset by the premium received. This would assure that the exchange rate realized would fall between 1.647 and 1.700. If the rate rises above 1.700, the company will exercise its put option, and if it fell below 1.647, the other party would use its call; for any rate in between, both options would expire worthless. The proceeds realized would then fall between:DM 100,00,000/1.647 DM/$ = $60,716,454andDM 100,000,000/1.700 DM/$ = $58,823,529.This would allow the company some upside potential, while guaranteeing proceeds at least $1 million greater than the minimum for simply buying a put as above.Buy/Sell OptionsDM/$Spot Put Payoff “Put”ProfitsCallPayoff“Call”Profits Net Profit1.60(1,742,846)01,742,84660,716,45460,716,4541.61(1,742,846)01,742,84660,716,45460,716,454 1.62(1,742,846)01,742,84660,716,45460,716,4541.63(1,742,846)01,742,84660,716,45460,716,4541.64(1,742,846)01,742,84660,716,4560,716,45441.65(1,742,846)60,606,061,742,846060,606,06111.66(1,742,846)60,240,961,742,846060,240,96441,742,846059,880,240 1.67(1,742,846)59,880,241.68(1,742,846)59,523,811,742,846059,523,8101,742,846059,171,598 1.69(1,742,846)59,171,5981.70(1,742,846)58,823,521,742,846058,823,52991,742,846058,823,529 1.71(1,742,846)58,823,5291.72(1,742,846)58,823,521,742,846058,823,52991,742,846058,823,529 1.73(1,742,846)58,823,5291.74(1,742,846)58,823,521,742,846058,823,52991,742,846058,823,529 1.75(1,742,846)58,823,5291.76(1,742,846)58,823,521,742,846058,823,52991.77(1,742,846)58,823,521,742,846058,823,52991.78(1,742,846)58,823,521,742,846058,823,52991.79(1,742,846)58,823,521,742,846058,823,52991,742,846058,823,5291.80(1,742,846)58,823,5291,742,846058,823,5291.81(1,742,846)58,823,5291.82(1,742,846)58,823,521,742,846058,823,52991,742,846058,823,5291.83(1,742,846)58,823,5291.84(1,742,846)58,823,521,742,846058,823,52991,742,846058,823,5291.85(1,742,846)58,823,529Since the firm believes that there is a good chance that the pound sterling will weaken, locking them into a forward contract would not be appropriate, because they would lose the opportunity to profit from this weakening. Their hedge strategy should follow for an upside potential to match their viewpoint. Therefore, they should purchase sterling call options, paying a premium of:5,000,000 STG x 0.0176 = 88,000 STG.If the dollar strengthens against the pound, the firm allows the option to expire, and buys sterling in the spot market at a cheaper price than they would have paid for a forward contract; otherwise, the sterling calls protect against unfavorable depreciation of the dollar.Because the fund manager is uncertain when he will sell the bonds, he requires a hedge which will allow flexibility as to the exercise date. Thus, options are the best instrument for him to use. He can buy A$ puts to lock in a floor of 0.72 A$/$. Since he is willing to forego any further currency appreciation, he can sell A$ calls with a strike price of 0.8025 A$/$ to defray the cost of his hedge (in fact he earns a net premium of A$ 100,000,000 x (0.007234 – 0.007211) = A$ 2,300), while knowing that he can’t receive less than 0.72 A$/$ when redeeming his investment, and can benefit from a small appreciation of the A$.Example #3:Problem: Hedge principal denominated in A$ into US$. Forgo upside potential to buy floor protection.I. Hedge by writing calls and buying puts1) Write calls for $/A$ @ 0.8025Buy puts for $/A$ @ 0.72# contracts needed = Principal in A$/Contract size100,000,000A$/100,000 A$ = 1002) Revenue from sale of calls = (# contracts)(size of contract)(premium)$75,573 = (100)(100,000 A$)(.007234 $/A$)(1 + .0825 195/360)3) Total cost of puts = (# contracts)(size of contract)(premium)$75,332 = (100)(100,000 A$)(.007211 $/A$)(1 + .0825 195/360)4) Put payoffIf spot falls below 0.72, fund manager will exercise putIf spot rises above 0.72, fund manager will let put expire5) Call payoffIf spot rises above .8025, call will be exercised If spot falls below .8025, call will expire6) Net payoffSee following Table for net payoffAustralian Dollar Bond HedgeStrikePrice Put Payoff “Put”PrincipalCallPayoff“Call”Principal Net Profit0.60(75,332)72,000,0075,573072,000,2410.61(75,332)72,000,0075,573072,000,2410.62(75,332)72,000,0075,573072,000,2410.63(75,332)72,000,0075,573072,000,2410.64(75,332)72,000,0075,573072,000,2410.65(75,332)72,000,0075,573072,000,2410.66(75,332)72,000,0075,573072,000,2410.67(75,332)72,000,0075,573072,000,2410.68(75,332)72,000,0075,573072,000,2410.69(75,332)72,000,0075,573072,000,2410.70(75,332)72,000,0075,573072,000,2410.71(75,332)72,000,0075,573072,000,2410.72(75,332)72,000,0075,573072,000,2410.73(75,332)73,000,0075,573073,000,2410.74(75,332)74,000,0075,573074,000,2410.75(75,332)75,000,0075,573075,000,2410.76(75,332)76,000,0075,573076,000,24175,573077,000,2410.77(75,332)77,000,000.78(75,332)78,000,0075,573078,000,24175,573079,000,2410.79(75,332)79,000,000.80(75,332)80,000,0075,573080,000,24180,250,2410.81(75,332)075,57380,250,000.82(75,332)075,57380,250,0080,250,24180,250,2410.83(75,332)075,57380,250,000.84(75,332)075,57380,250,0080,250,24180,250,2410.85(75,332)075,57380,250,004. The German company is bidding on a contract which they cannot be certain of winning. Thus, the need to execute a currency transaction is similarly uncertain, and using a forward or futures as a hedge is inappropriate, because it would force them to perform even if they do not win the contract.Using a sterling put option as a hedge for this transaction makes the most sense. Fora premium of:12 million STG x 0.0161 = 193,200 STG,they can assure themselves that adverse movements in the pound sterling exchange rate will not diminish the profitability of the project (and hence the feasibility oftheir bid), while at the same time allowing the potential for gains from sterling appreciation.5. Since AMC in concerned about the adverse effects that a strengthening of the dollar would have on its business, we need to create a situation in which it will profit from such an appreciation. Purchasing a yen put or a dollar call will achieve this objective. The data in Exhibit 1, row 7 represent a 10 percent appreciation of the dollar (128.15 strike vs. 116.5 forward rate) and can be used to hedge against a similar appreciation of the dollar.For every million yen of hedging, the cost would be:Yen 100,000,000 x 0.000127 = 127 Yen.To determine the breakeven point, we need to compute the value of this option if the dollar appreciated 10 percent (spot rose to 128.15), and subtract from it the premium we paid. This profit would be compared with the profit earned on five to 10 percent of AMC’s sales (which would be lost as a result of the dollar appreciation). The number of options to be purchased which would equalize these two quantities would represent the breakeven point.Example #5:Hedge the economic cost of the depreciating Yen to AMC.If we assume that AMC sales fall in direct proportion to depreciation in the yen (i.e., a 10 percent decline in yen and 10 percent decline in sales), then we can hedge the full value of AMC’s sales. I have a ssumed $100 million in sales.1) Buy yen puts# contracts needed = Expected Sales *Current ¥/$ Rate / Contract size9600 = ($100,000,000)(120¥/$) / ¥1,250,0002) Total Cost = (# contracts)(contract size)(premium)$1,524,000 = (9600)( ¥1,250,000)($0.0001275/¥)3) Floor rate = Exercise – Premium128.1499¥/$ = 128.15¥/$ - $1,524,000/12,000,000,000¥4) The payoff changes depending on the level of the ¥/$ rate. The following tablesummarizes the payoffs. An equilibrium is reached when the spot rate equals the floor rate.AMC ProfitabilityYen/$ Spot Put Payoff Sales Net Profit 120(1,524,990)100,000,00098,475,010 121(1,524,990)99,173,66497,648,564 122(1,524,990)98,360,65696,835,666 123(1,524,990)97,560,97686,035,986 124(1,524,990)96,774,19495,249,204 125(1,524,990)96,000,00094,475,010 126(1,524,990)95,238,09593,713,105 127(847,829)94,488,18993,640,360 128(109,640)93,750,00093,640,360 129617,10493,023,25693,640,360 1301,332,66892,307,69293,640,360 1312,037,30791,603,05393,640,360 1322,731,26990,909,09193,640,360 1333,414,79690,225,66493,640,360 1344,088,12289,552,23993,640,360 1354,751,43188,888,88993,640,360 1365,405,06688,235,29493,640,360 1376,049,11887,591,24193,640,360 1386,683,83986,966,52293,640,360 1397,308,42586,330,93693,640,360 1407,926,07585,714,28693,640,360 1418,533,97785,106,38393,640,360 1429,133,31884,507,04293,640,360 1439,724,27683,916,08493,640,360 14410,307,02783,333,33393,640,360 14510,881,74082,758,62193,640,360 14611,448,57982,191,78193,640,360。

国际财务管理

国际财务管理

第1章总论国际财务管理:是组织国际企业的财务活动,是国内财务管理走向国际经营的扩展,是财务管理的一个新领域,是一项经济管理活动。

国际财务管理的特点:1国际企业的理财环境具有复杂性2国际企业的资金筹集具有更好的选择性。

3国际企业的资金投入具有较高的风险性。

国际财务管理的基本内容:1国际财务管理环境2外汇管理风险3国际筹资管理4国际投资管理5国际营运资金管理6国际税收管理7其他内容。

国际企业的资金来源有:1公司内部的资金2母公司地主国资金3子公司东道国资金4国际金融机构的资金。

主要筹资方式:1国际股份筹资2国际债券3国际租赁4国际银行信贷5国际贸易信贷6国际金融机构贷款。

企业价值最大化目标的具体内容:1强调风险与报酬的均衡,将风险限制在企业可以承担的范围之内2创造与股东之间的利益协调关系,努力培养安定性股东3关心本企业职工利益,创造优美和谐的工作环境4不断加强与债权人的联系,重大财务决策请债权人参加讨论,培养可靠的资金供应者5关心客户的利益,在新产品的研制和开发上有较高投入,不断推出新产品来满足顾客的要求,以便保持销售收入的长期稳定增长。

6讲求信誉,注重企业形象的宣传7关心政府政策的变化。

美国财务管理目标的形成原因:1所有者2职工3债权人4政府。

国际财务管理目标的特点:1在一定时期内具有相对稳定性2具有多元性3具有层次性4具有复杂性。

国际企业通过对税收问题的合理控制可以实现的目标:1根据有关国家的税法,税收协定来避免国际企业出现双重征税的情况2利用有关国家为吸引外资而采用的优惠政策,实现最多的纳税减免3利用各种“避税港”来减少企业所得税4利用内部转移价格把利润转移至低税国家和地区,以便便纳税总额最少。

企业财务管理发展主要经历的阶段:1筹资管理理财阶段2资产管理理财阶段3投资管理理财阶段4通货膨胀理财阶段5国际经营理财阶段。

影响国际财务管理形成和发展的原因:1国际企业的迅猛发展是国际财务管理形成和发展的现实基础2财务管理基础原理的广泛性国际传播,是国际财务管理形成和发展的历史因素3金融市场的不断完善和向国际化方面的拓展,是国际财务管理形成和发菜的推动力量。

国际财务管理第8章

国际财务管理第8章
• 缺点是:破坏了以历史成本入账的会计原则
• (五)海外公司的性质是方法选择的前提
• 1939年,会计程序委员会(CAP)发布第4 号《会计研究公报》提出使用区分流动及 非流动项目法
• 1965年,会计原则委员会(APB)发布第6 号意见书,认可了区分货币性及非货币性 项目法,为各公司选用
• 第52号公报中提出外币折算的目标:
• 股东权益同样按照历史汇率折算。
• 对于损益表中的项目,收入和费用按照会计报告 期间的平均汇率进行折算。
• 销货成本和折旧费用,则按照相应的资产负债表 项目的历史汇率进行折算
• 与“流动和非流动项目法”相比,“货币 和非货币项目法”主要的区别是对存货、 长期应收款和长期负债等项目的处理不同。 解决了存货应按历史汇率,而长期应收、 应付款应按现行汇率进行折算的问题。
风险负债相当,具体措施可有: • 1.减少风险资产,风险负债不变; • 2.增加风险负债,风险资产不变。
• (二)资产负债表套期保值
• 资产负债表套期保值能够消除这种不匹配 所带来的风险。具体的方法同交易风险的 套期保值方法相同
案例分析:跨国航运(集团)公司外币报表折
• 《第8号财务会计准则公报》主要提出时 态法,这个方法的优点是:
符合历史成本法,在合并报表中,国外非 货币性资产是以历史成本法记录,与美国 母公司处理国内资产的方法一致
• 时态法要求将折算损益反映在损益表中, 所有兑换损失准备项目一律取消,如此一 来,所有的外币交易盈亏,不论是否实现, 都要列入当期损益。
合计
$1200 合计
$1200
• 当前,美元相对人民币贬值,假如由 ¥8.20/$贬为¥7.20/$,为使分析问题简 化,¥8.20/$为历史汇率,资产负债表中 其他有关项目的历史汇率不再细分, ¥7.20/$为现行汇率,汇率波动后资产负 债表的申报货币人民币变化如表8-2:

国际财务管理(原书第8版)教学课件Eun8e_Ch_008_PPT

国际财务管理(原书第8版)教学课件Eun8e_Ch_008_PPT

8-5
8-5
Exporter’s Futures Market Cross-Currency Hedge
Your firm is a U.K.-based exporter of bicycles.
You have sold €2,500,000 worth of bicycles to an Italian retailer.
pound futures contracts:
£1,562,500
25 contracts =
£62,500/contract
Copyright © 2018 by the McGraw-Hill Companies, Inc. All rights reserved.
8-7
8-7
Exporter’s Futures Market Cross-Currency Hedge:
short position in a forward contract.
Exporter
Forward
Contract
Counterparty
Foreign
Customer
Copyright © 2018 by the McGraw-Hill Companies, Inc. All rights reserved.
8-11
8-11
Importer’s Money Market Hedge: Cash Flows Now & at Maturity
£96,153.85 Importer
$144,230.77
£96,153.85 Brit Bank
£100,000
$144,230.77
$148,557.69

International FinancialManagement 8国际财务管理课件

International FinancialManagement 8国际财务管理课件
4
Internal Financing by MNCs
• Before an MNC’s parent or subsidiary searches for outside funding, it should determine if any internal funds are available.
10
Determining the Effective Financing Rate
Effective financing rate rf = (1+if)[1+(St+1-S)/S]-1
where if = the interest rate on the loan
S = beginning spot rate St+1 = ending spot rate
• Euronotes are unsecured debt securities with typical maturities of 1, 3 or 6 months. They are underwritten by commercial banks.
• MNCs may also issue Euro-commercial papers to obtain short-term financing.
currency over the life of the loan. Example: how to compute the effective
financing rate
8
How to compute the effective
financing rate (Example)
• Dearborn, Inc. (based in Michigan), obtains a one-year

第八章国际财务管理

第八章国际财务管理
这些规则随时改动,东道国迫使子公司将一切收 益留在外地,因此汇回母公司的资金就得增加。 – 只需汇率变化,就能够形成汇兑损失。
第二节 国际企业筹资管理
– 从实践状况来看,国际企业总体资本结构中债务 比率都高于母国的国际企业。缘由在于:
– 国际企业总体收益动摇且规模庞大,投资者容易 接受较高的财务比率
观念二:国际财务管理就是比拟财务管理。 这种观念强调对 各国财务管理的特点停止汇 总和比拟,缺乏实质性内容。
观念三:国际财务管理就是跨国公司财务管 理。以为国际财务管理主要是研讨跨国公司 在组织财务活动、处置财务关系时所遇到的 特殊效果。
第一节 国际财务管理的基本实际
综上所述,国际财务管理的定义:国际财务 管理是财务管理的一个新范围,它是基于国 际环境,依照国际惯例和国际经济法的有关 条款,依据国际企业财务收支的特点,组织 国际企业的财务活动、处置国际企业财务关 系的一项经济管理任务。
1.现金管理 〔1〕现金持有方面的效果 持有方式:现钞、银行存款、存单及有价证券之间
分配 持有时间 持有币种 〔2〕现金转移方面的效果:设计契合全球的现金转
移网络
第四节 国际企业营运资金管理
〔3〕现金管理的方法 A:现金集中管理 B:多边净额结算 C:短期现金预算 D:多国性现金调度系统
第三节 国际企业投资管理
四、国际投资政治风险的防范 依照影响的范围不同,政治风险可以分为微
观风险和微观风险。 依照公司受影响的方式不同,政治风险可以
分为转移风险、运营风险和控制风险。 对政治风险的度量并不容易,评价政治风险
时通常首先需求调查东道国的政治和政府系 统的动摇性以及不同政党之间的实力对比; 其次,要关注东道国的一体化水平;最后, 要留意政治风险也能够由经济状况引发。

第八章--国际财务管理

第八章--国际财务管理
由于标准不同,外汇汇率就有两种标价方法。
1、直接标价法 直接标价法又称应付标价法,是以一定单位(一、百、万等)
的外国(wàiguó)货币为标准,折算为一定数额的本国货币的方 法。当前世界上除英美少数国家外,都采用直接标价法。 2、间接标价法 间接标价法也称收进报价法,以一定数额的本国货币为标准, 折算成若干单位的外国货币的标价方法。
第九页,共53页。
2. 折算风险
折算风险又称会计风险、会计翻译风险或转换风险, 是指企业把不同的外币余额,按着一定的汇率折算为 本国货币的过程中,由于交易发生日的汇率与折算日 的汇率不一致,使会计账簿上的有关项目(xiàngmù)发生 变动的风险。
国际企业的外币资产和负债项目,在最初发生时,都是 按发生日的汇率入账的,但在编制财务报表时,要对其 中的某些项目用编表日的汇率进行换算。当某项资产或 负债项目的发生日的汇率与编表日的汇率不一致时,经 过换算后,就会给企业带来会计帐表上的损益,它并不 影响企业当期的现金流量,但在进行财务分析时,却会 使各种财务比率发生变动。
四、降低国际企业的筹资风险
1. 防范国家风险 国家风险也称政治风险,是指由于东道国或投资所 在国内政治环境或东道国与其他国家之间政治关系 改变(gǎibiàn)而给外国企业或投资者带来经济损失的 可能性,诸如东道国没收跨国子公司的资产等。
(1)尽可能在政治稳定的国家投资
(2)尽量利用负债筹资
第十七页,共53页。
3. 利用国际银行信贷
国际银行信贷是一国借款人向外国银行借入资金的信贷 行为。
国际银行信贷按其借款期限可分为短期信贷和中长期信贷两 类。
4. 利用国际贸易信贷
国际贸易信贷是指由供应商、金融机构或其他官方机构为国际 贸易提供资金的一种信贷行为。

国际财务管理(PPT全部) 第(8)章

国际财务管理(PPT全部)  第(8)章

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第二节 国际贷款融资成本测算和 风险规避
一、国际贷款融资成本的测算 二、国际贷款融资风险的规避

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一、国际贷款融资成本的测算
(一)决定国际贷款实际融资成本的因素 (1)贷款银行收取的利息率; (2)所借货币的币值在贷款期内的波动; (3)所得税税率的高低。 【例8—1】国内某企业按8%的利率取得一笔期限为一年的1000万港币。 企业收到该笔贷款后将其兑换为人民币,以向供应商支付货款。当 时的汇率是1港元=1.05元人民币。如果汇率在整个贷款期内保持稳 定,则该企业到期应偿还的贷款本利和是:1000×(1+8%) ×1.05=1134(万元人民币),该笔贷款的实际利率是: (1000×8%×1.05)/(1000×1.05)=8%。如果在归还贷款时港 元汇率升至1港元=1.09元人民币,则该企业到期应偿还的贷款本利 和是:1000×(1+8%)×1.09=1177.2(万元人民币),该笔贷款 的实际利率是:(1177.2-1000×1.05)/1000×1.05=12.11%。假如 该企业已经考虑到港币的大幅升值,可能就不会借入港币。
第二节
国际贷款融资成本测算和风
险规避 第三节 国际贷款货币的选择
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3ቤተ መጻሕፍቲ ባይዱ
第一节 国际贷款融资的来源




一、国际贷款融资的渠道 二、国际商业银行贷款的种类 三、 国际商业银行贷款的利率 四、国际商业银行贷款费用的计算 五、国际商业银行贷款的偿还方法 六、国际商业银行贷款的特点
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(二)国际商业银行中长期贷款
1、独家贷款 独家贷款也叫双边贷款,指一家境外银行向某国境内 金融机构或企业提供的贷款。 2、联合贷款 联合贷款指由一家或数家外国银行联合对某一项目提 供的贷款。其贷款金额一般小于银团贷款。 3、银团贷款 银团贷款也叫辛迪加贷款,指由一家或几家银行牵 头,由不同国家银行参加,联合向借款者共同提供 巨额资金的一种贷款方式,具有融资量大、风险小 的优点。
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(二)影响国际债券成本高低的因素
影响国际债券成本率高低的因素,除了债 券票面利息率高低,费用率(筹资费率)高 低、所得税税率高低和汇率变化等因素(这 些因素与前述外汇借款成本上相同)外,还 有债券发行差价率因素。
(三)测算国际债券成本率的方法
测算国际债券成本率时,可以以前述现值 法计算债券发行价格的公式为基础,将筹资 费、发行差价、节税额和汇率等因素加进去 形成计算国际债券成本率的下列公式:
1.存托银行,是ADR的发行者,一般是美国 的银行和信托公司,主要为ADR的投资者提供 所需的服务。 2.保管银行,通常是存托银行在实际的证 券发行国的发行、参股银行或与其业务关系 良好的当地银行。 3.存券信托公司,是美国的证券中央保管 清算机构,负责其成员公司(包括银行、清 算公司、信托公司等)证券的登记、保管和 过户。
(1)不必遵循美国公司认会计准则(USGAAP)。 (2)不必完全符合美国证券交易委员会(SEC) 的公开性要求,企业便可以避开美国证券的严格要 求,方便其股票在美国交易。 (3)一级ADR本身作证券,以F-6表格在SEC注册 登记,而ADR所代表的实际的股票则不必在SEC注册 登记,也不必服从其报告要求。 (4)企业今后只要向SEC呈递20-F登记表(年度 报告表),获准之后便可自动升为二级ADR,在纽约 交易所(NYSE)、美国证券交易所(ANEX)和纳斯 达克(NASDAQ)市场公开上市交易。
决定债券的偿还期限时,应考虑下列各因 素: 1. 发行者投资计划的时间。
2. 未来利率变化趋势。
3. 流通市场的发育程度。
平均年限可按下列公式 计算:
平均年限 发行额 偿还期限 提前偿还本金数 提前偿还年数 发行额
(四)发行价格
发行价格是指在债券发行市场上出售债券 时所使用的价格。
五、国际债券筹资决策
1.国际债券筹资与国际商业银行贷款的比 较: 2.国际债券市场选择: 3.国际债券筹资的货币选择、利率选择和 还本利息方式选择 4.商业票据筹资与商业银行借款的选择
与国际商业银行中长期贷款相比,发行国际债券 筹资有下列优点: (1)债券利率一般略低于银行贷款利率。 (2)债券筹资的资金来源很广,债权人分散, 筹资者可完全自主地使用筹资的资金。
1.现值法。
2.分析法。
现值法就是对每年支付的利息和到期偿还的 本金进行帖现(以市场流行利息率作为贴现率) 计算其现值总和,求得债券的发行价格。其计 算公式如下:
It B0 B1 t n 1 i 1 t 1 i 式中: B1为债券发行价格;n 为债券期限; I t为第t年利息;i 为贴现率;B 0为债券面额。
1.场内交易市场
2.场外交易市场
1.场内交易市场
场内交易市场,指由证券交易所组织的集中 交易市场,有固定的交易场所接受和办理符合有 关法令规定的证券上市场买卖。
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2.场外交易市场
场外交易市场,又称柜台交易或店头交易市 场,指在证券交易所外由证券买卖双方当面议价 成交的市场。
美国股票的场外交易市场包括:
证 券 发 行 方 式 直接发行
间接发行
(一)国际证券的发行方式
2.证券的发行方式如按发行对象来划分, 可分为以下两种:
证 券 发 行 方 式 公募发行
私募发行
(二)国际证券的发行程序
1.发行准备工作 2.申请上市,公布信息 3.与承销商签订合同
4.承销者组织销售
三、国际证券流通市场
(一)国际证券的发行方式
一、国际债券的类型
(一)外国债券
外国债券是指借款者(一国政府、金融机 构、公司等)在某一外国债券市场发行的, 以该外国的货币表示面值的债券。
(二)欧洲债券(Euro Bond)
欧洲债券是指借款者(一国政府、金融机 构、公司等)在外国(一国或几国)的债券 市场上发行的,不是以该外国的货币表示面 值的债券。
二、国际股票筹资的利弊
企业股票在境外发行和上市也存在着一些 不利之处,主要表现在:
1.与举借外债相比,在境外发行股票融资 成本较高。 2.与发行国际债券相比,发行国际股票在 技术上相对较难,所费时间较多。 3.与外商直接投资相比,办中外合资企业 不仅可以利用外资,还可以同时引进先进技 术,而发行股票筹集外资,则不能同时引进 技术。
企业股票在境外发行和上市也存在着一些 不利之处,主要表现在: 4.与外国外银行借款相比,公司在境外发 行股票融资是以出让部分股权换取外方投资, 要允许境外投资者拥有公司的部分所有权, 分享我国公司的一部分利润。
三、国际股股发行和上市方式
(一)投股票是否向社会公开发行,国 际股票融资分为私募和公募两种
(1)柜台交易市场。
(2)第三市场。 (3)第四市场。
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(二)国际证券交易的主要市场
(三)美国的纳斯达克市场
美国柜台市场由分散在全国各地的证券公 司的交易柜所组成。
(四)第一部市场和第二部市场
(五)证券上市场的条件和程序
1.上市条件
不同的国家和不同证券交易所对证券上市条件 的规定有所不同。
2.公司到国外股票市场上发行股票并上市, 筹集外资。
3.有些国家允许外国公司到它的股票市场 上发行股票并上市。
二、国际股票筹资的利弊
利用国际股票筹资具有以下优点:
1.可以为企业发展筹集大量外汇资金。
2.有利于改善企业财务结构。
3.与借外债相比,发行股票筹集外资风险 较小。
利用国际股票筹资具有以下优点: 4.与外国外银行借款相比,发行股票筹集 外资具有广泛、公开性(公布公司财务和经 营状况)和灵活性(投资金额可多可少,股 票可以随时在流通市场转让变现),对国外 投资者具有较大的吸引力,便于广泛吸收国 外企业、单位、个人手中的闲散资金。 5.可以弥补中外合资经营企业的弱点。 6.有利于促进企业的国际化经营。
在确定债券票面利率时,一般应考虑以下 因素:
1.发行债券时的国际金融形势、银行存款 利率和资金市场行情。 2.发行者的信用程度。
3.债券偿还期限的长短。
4.债券面值货币不同,利率水平高低有差 别。 5.支付利息次数。
(三)偿还期限
偿还期限是指债券从发行时起到付息还 本全部结束为止经过的期限:
(三)偿还期限
n B0 f B0 B1 n T r0 I t 1 T rt B o 1 f g r0 1 1 K B t t 1 K B t 1 n
B0 r0 B0 rn r0 T 1 K B n


式中,KB在为债券成本率;B0为债券票面金额;B1为债券 发行价格;f为筹资费率;g为发行差价率;It为第t年的利息、 费用(指期中费用);n为债券的偿还年限;T为所得税率; r0为发行债券时的汇率;rt为第t年的汇率;rn还本时的汇率。
(三)全球债券(Global Bond)
全球债券是指在全世界各主要证券市场同 时发行的国际债券。
国际债券有许多具体的形式,主要包括:
(1)固定利率债券(又称普通债券)。
(2)浮动利率债券。
(3)零利息债券。
(4)混合利率债券。
(5)可转换债券。 (6)实行货币期权的多种货币债券。 (7)鸡尾酒债券。 (8)双重货币债券。 (9)“龙”债。 (10)商业票据。
(3)债券的还款期较长。
(4)债券偿还方法比较灵活。
(5)债券适合投资者的要求,借款人易于筹资。
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六、我国对发行国际债券的管理
1.债券发行特许制度。
2.计划管理制度。
3.发行审批制度。
4.外债登记制度。
第三节 国际股票筹资
一、股票市场的国际化
1.公司在本国股票市场上发行股票上市场, 吸引外国投资者买卖本国公司股票,筹集外 资;
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n
分析法是根据对债券的期限、票面利率和发 行时的市场年收益率等因素进行对比分析来确 定发行价格。所谓市场年收益率是指在金额市 场上多数投资者所能接受的债券投资的收益水 平。
1 Bi n B1 B0 1 Mi n
式中:Bi为债券票面利率;Mi为市场收益率; 其他符号同前。
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四、国际债券筹资的成本与风险(一)国际债券的发行 Nhomakorabea管理费用
1.最初费用,指债券发行前(准备阶段) 和发行时发生的各项费用,具包括:
2.期中费用,主要包括: (1)债券管理费
(2)付息手续费
(3)还本手续费
(1)承购(代销)手续费 (2)代理人手续费 (3)印刷费 (4)律师费 (5)上市费用 (6)其他各种杂费
1.纸面形式的股票。这是股票的基本 形式,公司发行股票时,投资者购买股票 交款,公司将股票交给投资者。
2.记入股东财户的股票。在采用公募发 行时,公司一般不发给投资者纸面形式的 股票,而是委托证券公司或股票交易所利 用电脑为股东开设账户,股东买入或卖出 股票数都记入该账户。 3.股票的替代形式——存托凭证。存托 凭证(Depository Receipt,简称DR),又 称存券收据或存股证,是指一国证券市场 流通的代表外国公司有价证券的可转让凭 证,属公司融资业务范畴的金融衍生工具。
主要特点: (1)借款人属于一个国家,债券发行市场在另 一个国家,债券面值使用的贷币可以是第三国货币 或综合货币单位(如特别提款权等)。
(2)欧洲债券的发行与其他债券不同,除须经 借款人所在国政府批准外,不需向发行国家办理批 准手续,也不受发行地国家的法律约束和金融当局 的管理,但在发行时要声明以后如果发生有关债券 方面的纠纷应按哪国法律仲裁。 (3)欧洲债券通常是由国际银行辛迪加和证券 公司包销,这种债券常常在债券票面货币以外的一 些国家同时销售。
(五)偿还方式 1.期满偿还,指按债券发行时既定的偿还
期限,到债券期满时一次偿还本金。 2期中偿还,指在债券期满前分次偿还债 券本金,到期满时全部偿还完毕。 3.延期偿还,指债券发行人在发行债券时 就申明投资者有权在债券期满后继续持有债 券直到某一指定日期。
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