国际财务管理课后作业答案教学提纲
国际财务管理(英文版)课后习题答案9
CHAPTER 8 MANAGEMENT OF TRANSACTION EXPOSURE SUGGESTED ANSWERS AND SOLUTIONS TO END-OF-CHAPTER QUESTIONS ANDPROBLEMSQUESTIONS1. 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, you 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:$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/€. $ Cost Options hedge Forward hedge $3,453.75 $3,150 0 0.579 0.64 (strike price) $/SF$253.755. 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 exchang e 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 the U.S.pute the guaranteed euro proceeds from the American sale if Airbus decides to hedge using aforward contract.b.If Airbus decides to hedge using money market instruments, what action does Airbus 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‟ europroceeds 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 between the option andmoney 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 th e 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) upfr ont 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 $1.0327/€.Note that €28,432,732 is the future value of the proceeds under money market hed ging:€28,432,732 = (€27,739,251) (1.025).Suggested solution for Mini Case: Chase Options, Inc.[See Chapter 13 for the case text]Chase Options, Inc.Hedging Foreign Currency Exposure Through Currency OptionsHarvey A. PoniachekI. Case SummaryThis case reviews the foreign exchange options market and hedging. It presents various international transactions that require currency options hedging strategies by the corporations involved. Seven transactions under a variety of circumstances are introduced that require hedging by currency options. The transactions involve hedging of dividend remittances, portfolio investment exposure, and strategic economic competitiveness. Market quotations are provided for options (and options hedging ratios), forwards, and interest rates for various maturities.II. Case Objective.The case introduces the student to the principles of currency options market and hedging strategies. The transactions are of various types that often confront companies that are involved in extensive international business or multinational corporations. The case induces students to acquire hands-on experience in addressing specific exposure and hedging concerns, including how to apply various market quotations, which hedging strategy is most suitable, and how to address exposure in foreign currency through cross hedging policies.III. Proposed Assignment Solution1. The company expects DM100 million in repatriated profits, and does not want the DM/$ 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 ifthat 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 $2 million more than that realized using option hedges above, there is no flexibility regarding the exercise date; if this date differs from that at which the repatriate profits are available, the company may be exposed to additional further current exposure. Further, there is no opportunity to enjoy any appreciation in the DM.If the company were to buy DM puts as above, and sell an equivalent amount in calls with strike price 1.647, the premium paid would be exactly offset by the premium received. This would assure that the exchange rate realized would fall between 1.647 and 1.700. If the rate rises above 1.700, the company will exercise its put option, and if it fell below 1.647, the other party would use its call; for any rate in between, both options would expire worthless. The proceeds realized would then fall between:DM 100,00,000/1.647 DM/$ = $60,716,454andDM 100,000,000/1.700 DM/$ = $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”Profits Call Payoff“Call”Profits Net Profit1.60 (1,742,846) 0 1,742,846 60,716,454 60,716,454 1.61 (1,742,846) 0 1,742,846 60,716,454 60,716,454 1.62 (1,742,846) 0 1,742,846 60,716,454 60,716,454 1.63 (1,742,846) 0 1,742,846 60,716,454 60,716,454 1.64 (1,742,846) 0 1,742,846 60,716,454 60,716,454 1.65 (1,742,846) 60,606,061 1,742,846 0 60,606,061 1.66 (1,742,846) 60,240,964 1,742,846 0 60,240,964 1.67 (1,742,846) 59,880,240 1,742,846 0 59,880,240 1.68 (1,742,846) 59,523,810 1,742,846 0 59,523,810 1.69 (1,742,846) 59,171,598 1,742,846 0 59,171,598 1.70 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.71 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.72 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.73 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.74 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.75 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.76 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.77 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.78 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.79 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.80 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.81 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.82 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.83 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.84 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.85 (1,742,846) 58,823,529 1,742,846 0 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 payoff Australian Dollar Bond HedgeStrikePrice Put Payoff “Put”Principal Call Payoff“Call”Principal Net Profit0.60 (75,332) 72,000,000 75,573 0 72,000,2410.61 (75,332) 72,000,000 75,573 0 72,000,2410.62 (75,332) 72,000,000 75,573 0 72,000,2410.63 (75,332) 72,000,000 75,573 0 72,000,2410.64 (75,332) 72,000,000 75,573 0 72,000,2410.65 (75,332) 72,000,000 75,573 0 72,000,2410.66 (75,332) 72,000,000 75,573 0 72,000,2410.67 (75,332) 72,000,000 75,573 0 72,000,2410.68 (75,332) 72,000,000 75,573 0 72,000,2410.69 (75,332) 72,000,000 75,573 0 72,000,2410.70 (75,332) 72,000,000 75,573 0 72,000,2410.71 (75,332) 72,000,000 75,573 0 72,000,2410.72 (75,332) 72,000,000 75,573 0 72,000,2410.73 (75,332) 73,000,000 75,573 0 73,000,2410.74 (75,332) 74,000,000 75,573 0 74,000,2410.75 (75,332) 75,000,000 75,573 0 75,000,2410.76 (75,332) 76,000,000 75,573 0 76,000,2410.77 (75,332) 77,000,000 75,573 0 77,000,2410.78 (75,332) 78,000,000 75,573 0 78,000,2410.79 (75,332) 79,000,000 75,573 0 79,000,2410.80 (75,332) 80,000,000 75,573 0 80,000,2410.81 (75,332) 0 75,573 80,250,000 80,250,2410.82 (75,332) 0 75,573 80,250,000 80,250,2410.83 (75,332) 0 75,573 80,250,000 80,250,2410.84 (75,332) 0 75,573 80,250,000 80,250,2410.85 (75,332) 0 75,573 80,250,000 80,250,2414. 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. For a 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 of their 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 assumed $100 million in sales.1) Buy yen puts# contracts needed = Expected Sales *Current ¥/$ 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 table summarizes thepayoffs. An equilibrium is reached when the spot rate equals the floor rate.AMC ProfitabilityYen/$ Spot Put Payoff Sales Net Profit 120 (1,524,990) 100,000,000 98,475,010 121 (1,524,990) 99,173,664 97,648,564 122 (1,524,990) 98,360,656 96,835,666 123 (1,524,990) 97,560,976 86,035,986 124 (1,524,990) 96,774,194 95,249,204 125 (1,524,990) 96,000,000 94,475,010 126 (1,524,990) 95,238,095 93,713,105 127 (847,829) 94,488,189 93,640,360 128 (109,640) 93,750,000 93,640,360 129 617,104 93,023,256 93,640,360 130 1,332,668 92,307,692 93,640,360 131 2,037,307 91,603,053 93,640,360 132 2,731,269 90,909,091 93,640,360 133 3,414,796 90,225,664 93,640,360 134 4,088,122 89,552,239 93,640,360 135 4,751,431 88,888,889 93,640,360 136 5,405,066 88,235,294 93,640,360 137 6,049,118 87,591,241 93,640,360 138 6,683,839 86,966,522 93,640,360 139 7,308,425 86,330,936 93,640,360 140 7,926,075 85,714,286 93,640,360 141 8,533,977 85,106,383 93,640,360 142 9,133,318 84,507,042 93,640,360 143 9,724,276 83,916,084 93,640,360 144 10,307,027 83,333,333 93,640,360 145 10,881,740 82,758,621 93,640,360 146 11,448,579 82,191,781 93,640,360 147 12,007,707 81,632,653 93,640,360 148 12,569,279 81,081,081 93,640,360 149 13,103,448 80,536,913 93,640,360 150 13,640,360 80,000,000 93,640,360。
国际财务管理课后作业答案
《国际财务管理》章后练习题第一章【题1—1】某跨国公司A，2006年11月兼并某亏损国有企业B。
B企业兼并时账面净资产为500万元，2005年亏损100万元（以前年度无亏损），评估确认的价值为550万元。
经双方协商，A 跨国公司可以用以下两种方式兼并B企业。
甲方式：A公司以180万股和10万元人民币购买B企业（A公司股票市价为3元/股）；乙方式：A公司以150万股和100万元人民币购买B企业。
兼并后A公司股票市价3.1元/股。
A公司共有已发行的股票2000万股（面值为1元/股）。
假设兼并后B企业的股东在A公司中所占的股份以后年度不发生变化，兼并后A公司企业每年未弥补亏损前应纳税所得额为900万元，增值后的资产的平均折旧年限为5年，行业平均利润率为10%。
所得税税率为33%。
请计算方式两种发方式的差异。
【题1—1】答案（1）甲方式：B企业不需将转让所得缴纳所得税；B 企业2005年的亏损可以由A公司弥补。
A公司当年应缴所得税=（900-100）×33%=264万元，与合并前相比少缴33万元所得税，但每年必须为增加的股权支付股利。
（2）乙方式：由于支付的非股权额（100万元）大于股权面值的20%（30万元）。
所以，被兼并企业B应就转让所得缴纳所得税。
B企业应缴纳的所得税=（150 ×3 + 100- 500）×33% = 16.5（万元）B企业去年的亏损不能由A公司再弥补。
（3）A公司可按评估后的资产价值入帐,计提折旧,每年可减少所得税(550-500)/5×33%=3.3万元。
【题1—2】东方跨国公司有A、B、C、D四个下属公司，2006年四个公司计税所得额和所在国的所得税税率为：A公司：500万美元 33%B公司：400万美元 33%C公司：300万美元 24%D公司：-300万美元 15%东方公司的计税所得额为-100万美元，其所在地区的所得税税率为15%。
国际财务管理课后习题答案chapter
C H A P T E R8M A N A G E M E N T O F T R A N S A C T I O N E X P O S U R ESUGGESTED ANSWERS AND SOLUTIONS TO END-OF-CHAPTER QUESTIONS ANDPROBLEMSQUESTIONS1. 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. U sing 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 Planc k 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 oftoday, 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 is6 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, you 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 €20million which is payable in one year. The current spot exchange rate is $1.05/€ and the one -year forwardrate is $1.10/€. The annual interest rate is 6.0% in the U.S. and 5.0% 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 twohedging 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: $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 ). T hus 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 $.0081 per yen for a premium of .014 cents$ Cost Options hedgeForward hedge$3,453.75$3,1500.5790.64(strike price) $/SF$253.75per 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 the U.S.pute the guaranteed euro proceeds from the American sale if Airbus decides to hedge using aforward contract.b.If Airbus decides to hedge using money market instruments, what action does Airbus 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’ europroceeds 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 between the option andmoney 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. Thusthe 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 $2 million more than that realized using option hedges above, there is no flexibility regarding the exercise date; if this date differs from that at which the repatriate profits are available, the company may be exposed to additional further current exposure. Further, there is no opportunity to enjoy any appreciation in the DM.If the company were to buy DM puts as above, and sell an equivalent amount in calls with strike price 1.647, the premium paid would be exactly offset by the premium received. This would assure that the exchange rate realized would fall between 1.647 and 1.700. If the rate rises above 1.700, the company will exercise its put option, and if it fell below 1.647, the other party would use its call; for any rate in between, both options would expire worthless. The proceeds realized would then fall between:DM 100,00,000/1.647 DM/$ = $60,716,454andDM 100,000,000/1.700 DM/$ = $58,823,529.This would allow the company some upside potential, while guaranteeing proceeds at least $1 million greater than the minimum for simply buying a put as above.Buy/Sell OptionsDM/$SpotPut Payoff “Put”Profits Call Payoff“Call”Profits Net Profit1.60 (1,742,846) 0 1,742,846 60,716,454 60,716,454 1.61 (1,742,846) 0 1,742,846 60,716,454 60,716,454 1.62 (1,742,846) 0 1,742,846 60,716,454 60,716,454 1.63 (1,742,846) 0 1,742,846 60,716,454 60,716,454 1.64 (1,742,846) 0 1,742,846 60,716,454 60,716,454 1.65 (1,742,846) 60,606,061 1,742,846 0 60,606,061 1.66 (1,742,846) 60,240,964 1,742,846 0 60,240,964 1.67 (1,742,846) 59,880,240 1,742,846 0 59,880,240 1.68 (1,742,846) 59,523,810 1,742,846 0 59,523,810 1.69 (1,742,846) 59,171,598 1,742,846 0 59,171,598 1.70 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.71 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.72 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.73 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.74 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.75 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.76 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.77 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.78 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.79 (1,742,846) 58,823,529 1,742,846 0 58,823,5291.80 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.81 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.82 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.83 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.84 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.85 (1,742,846) 58,823,529 1,742,846 0 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 payoff Australian Dollar Bond HedgeStrikePrice Put Payoff “Put”Principal Call Payoff“Call”Principal Net Profit0.60 (75,332) 72,000,000 75,573 0 72,000,2410.61 (75,332) 72,000,000 75,573 0 72,000,2410.62 (75,332) 72,000,000 75,573 0 72,000,2410.63 (75,332) 72,000,000 75,573 0 72,000,2410.64 (75,332) 72,000,000 75,573 0 72,000,2410.65 (75,332) 72,000,000 75,573 0 72,000,2410.66 (75,332) 72,000,000 75,573 0 72,000,2410.67 (75,332) 72,000,000 75,573 0 72,000,2410.68 (75,332) 72,000,000 75,573 0 72,000,2410.69 (75,332) 72,000,000 75,573 0 72,000,2410.70 (75,332) 72,000,000 75,573 0 72,000,2410.71 (75,332) 72,000,000 75,573 0 72,000,2410.72 (75,332) 72,000,000 75,573 0 72,000,2410.73 (75,332) 73,000,000 75,573 0 73,000,2410.74 (75,332) 74,000,000 75,573 0 74,000,2410.75 (75,332) 75,000,000 75,573 0 75,000,2410.76 (75,332) 76,000,000 75,573 0 76,000,2410.77 (75,332) 77,000,000 75,573 0 77,000,2410.78 (75,332) 78,000,000 75,573 0 78,000,2410.79 (75,332) 79,000,000 75,573 0 79,000,2410.80 (75,332) 80,000,000 75,573 0 80,000,2410.81 (75,332) 0 75,573 80,250,000 80,250,2410.82 (75,332) 0 75,573 80,250,000 80,250,2410.83 (75,332) 0 75,573 80,250,000 80,250,2410.84 (75,332) 0 75,573 80,250,000 80,250,2410.85 (75,332) 0 75,573 80,250,000 80,250,2414. 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. For a 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 of their 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 (wh ich 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 assumed $100 million in sales.1) Buy yen puts# contracts needed = Expected Sales *Current ￥/$ 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 table summarizes thepayoffs. An equilibrium is reached when the spot rate equals the floor rate.AMC ProfitabilityYen/$ Spot Put Payoff Sales Net Profit120 (1,524,990) 100,000,000 98,475,010121 (1,524,990) 99,173,664 97,648,564122 (1,524,990) 98,360,656 96,835,666123 (1,524,990) 97,560,976 86,035,986124 (1,524,990) 96,774,194 95,249,204125 (1,524,990) 96,000,000 94,475,010126 (1,524,990) 95,238,095 93,713,105127 (847,829) 94,488,189 93,640,360128 (109,640) 93,750,000 93,640,360129 617,104 93,023,256 93,640,360130 1,332,668 92,307,692 93,640,360131 2,037,307 91,603,053 93,640,360132 2,731,269 90,909,091 93,640,360133 3,414,796 90,225,664 93,640,360134 4,088,122 89,552,239 93,640,360135 4,751,431 88,888,889 93,640,360136 5,405,066 88,235,294 93,640,360137 6,049,118 87,591,241 93,640,360138 6,683,839 86,966,522 93,640,360139 7,308,425 86,330,936 93,640,360140 7,926,075 85,714,286 93,640,360141 8,533,977 85,106,383 93,640,360142 9,133,318 84,507,042 93,640,360143 9,724,276 83,916,084 93,640,360144 10,307,027 83,333,333 93,640,360145 10,881,740 82,758,621 93,640,360146 11,448,579 82,191,781 93,640,360147 12,007,707 81,632,653 93,640,360148 12,569,279 81,081,081 93,640,360149 13,103,448 80,536,913 93,640,360150 13,640,360 80,000,000 93,640,360The parent has a DM payable, and Lira receivable. It has several ways to cover its exposure; forwards, options, or swaps.The forward would be acceptable for the DM loan, because it has a known quantity and maturity, but the Lira exposure would retain some of its uncertainty because these factors are not assured.The parent could buy DM calls and Lira puts. This would allow them to take advantage of favorable。
国际财务管理习题及答案
01
3. 国际融资风险管理
02
• 国际融资风险的识别与评估
03
• 国际融资风险的控制与防范措施
国际营运资金管理的答案
1. 国际营运资金管理概述 • 国际营运资金管理的定义和目标
• 国际营运资金管理的主要内容和方法
国际营运资金管理的答案
2. 国际现金管理
• 国际现金流入与流出的管理
• 国际现金预算与控制的方法和 步骤
国际投资决策
1. 简答题
简述国际投资的优势和风险。
4. 案例题
分析某公司如何进行国际投资决策。
2. 论述题
论述国际投资决策需要考虑的因素。
3. 计算题
计算国际投资组合的预期收益率和风险。
国际融资决策
1. 简答题
简述国际融资的渠道和方式。
3. 计算题
计算国际融资的成本和效益。
2. 论述题
论述国际融资决策需要考虑的因 素。
国际财务管理涉及多国经济环境、货 币汇率变动、国际税务法规、政治风 险等因素，需要综合考虑多种因素， 制定合适的财务策略。
国际财务管理的重要性
1. 全球化经营的需要
随着全球化进程加速，跨国公司需要有效的国际财务管理来整合全 球资源，优化资源配置，提高经营效率。
2. 降低财务风险
国际财务管理有助于跨国公司识别、评估和控制财务风险，降低经 营风险。
国际营运资金管理的答案
3. 国际应收账款管理
• 国际应收账款的信用政策制定与执 行
• 国际应收账款的催收与保理业务
04 国际财务管理案例分析
跨国公司外汇风险管理案例
案例背景
某跨国公司在多个国家设有子公 司，由于各国的汇率波动，公司 面临外汇风险。
(完整word版)国际财务管理课后习题答案chapter9
CHAPTER 9 MANAGEMENT OF ECONOMIC EXPOSURESUGGESTED ANSWERS AND SOLUTIONS TO END-OF-CHAPTERQUESTIONS AND PROBLEMSQUESTIONS1. How would you define economic exposure to exchange risk?Answer: Economic exposure can be defined as the possibility that the firm’s cash flows and thus its market value may be affected by the unexpected exchange rate changes.2. Explain the following statement: “Exposure is the regression coefficient.”Answer: Exposure to currency risk can be appropriately measured by th e sensitivity of the firm’s future cash flows and the market value to random changes in exchange rates. Statistically, this sensitivity can be estimated by the regression coefficient. Thus, exposure can be said to be the regression coefficient.3. Suppose that your company has an equity position in a French firm. Discuss the condition under which the dollar/franc exchange rate uncertainty does not constitute exchange exposure for your company.Answer: Mere changes in exchange rates do not necessarily constitute currency exposure. If the French franc value of the equity moves in the opposite direction as much as the dollar value of the franc changes, then the dollar value of the equity position will be insensitive to exchange rate movements. As a result, your company will not be exposed to currency risk.4. Explain the competitive and conversion effects of exchange rate changes on the firm’s operating cash flow.Answer: The competitive effect: exchange rate changes may affect operating cash flows by altering the firm’s competitive position.The conversion effect: A given operating cash flows in terms of a foreign currency will be converted into higher or lower dollar (home currency)amounts as the exchange rate changes.5. Discuss the determinants of operating exposure.Answer: The main determinants of a firm’s operating exposure are (1) the structure of the markets in which the firm sources its inputs, such as labor and materials, and sells its products, and (2) the firm’s ability to mitigate the effect of exchange rate changes by adjusting its markets, product mix, and sourcing.6. Discuss the implications of purchasing power parity for operating exposure.Answer: If the exchange rate changes are matched by the inflation rate differential between countries, firms’ competitive positions will not be altered by exchange rate changes. Firms are not subject to operating exposure.7. General Motors exports cars to Spain but the strong dollar against the peseta hurts sales of GM cars in Spain. In the Spanish market, GM faces competition from the Italian and French car makers, such as Fiat and Renault, whose currencies remain stable relative to the peseta. What kind of measures would you recommend so that GM can maintain its market share in Spain.Answer: Possible measures that GM can take include: (1) diversify the market; try to market the cars not just in Spain and other European countries but also in, say, Asia; (2) locate production facilities in Spain and source inputs locally; (3) locate production facilities, say, in Mexico where production costs are low and export to Spain from Mexico.8. What are the advantages and disadvantages of financial hedging of the firm’s operating exposure vis-à-vis operational hedges (such as relocating manufacturing site)?Answer: Financial hedging can be implemented quickly with relatively low costs, but it is difficult to hedge against long-term, real exposure with financial contracts. On the other hand, operational hedges are costly, time-consuming, and not easily reversible.9. Discuss the advantages and disadvantages of maintaining multiple manufacturing sites as a hedge against exchange rate exposure.Answer: To establish multiple manufacturing sites can be effective in managing exchange risk exposure, but it can be costly because the firm may not be able to take advantage of the economy of scale.10. Evaluate the following statement: “A firm can reduce its currency exposure by diversifying across different business lines.”Answer: Conglomerate expansion may be too costly as a means of hedging exchange risk exposure. Investment in a different line of business must be made based on its own merit.11. The exchange rate uncertainty may not necessarily mean that firms face exchange risk exposure. Explain why this may be the case.Answer: A firm can have a natural hedging position due to, for example, diversified markets, flexible sourcing capabilities, etc. In addition, to the extent that the PPP holds, nominal exchange rate changes do not influenc e firms’ competitive positions. Under these circumstances, firms do not need to worry about exchange risk exposure.PROBLEMS1. Suppose that you hold a piece of land in the City of London that you may want to sell in one year. As a U.S. resident, you are concerned with the dollar value of the land. Assume that, if the British economy booms in the future, the land will be worth £2,000 and one British pound will be worth $1.40. If the British economy slows down, on the other hand, the land will be worth less, i.e., £1,500, but the pound will be stronger, i.e., $1.50/£. You feel that the British economy will experience a boom with a 60% probability and a slow-down with a 40% probability.(a) Estimate your exposure b to the exchange risk.(b) Compute the variance of the dollar value of your property that is attributable to the exchange rate uncertainty.(c) Discuss how you can hedge your exchange risk exposure and also examine the consequences of hedging.Solution: (a) Let us compute the necessary parameter values:E(P) = (.6)($2800)+(.4)($2250) = $1680+$900 = $2,580E(S) = (.6)(1.40)+(.4)(1.5) = 0.84+0.60 = $1.44Var(S) = (.6)(1.40-1.44)2 + (.4)(1.50-1.44)2= .00096+.00144 = .0024.Cov(P,S) = (.6)(2800-2580)(1.4-1.44)+(.4)(2250-2580)(1.5-1.44)= -5.28-7.92 = -13.20b = Cov(P,S)/Var(S) = -13.20/.0024 = -£5,500.You have a negative exposure! As the pound gets stronger (weaker) against the dollar, the dollar value of your British holding goes down (up).(b) b2Var(S) = (-5500)2(.0024) =72,600($)2(c) Buy £5,500 forward. By doing so, you can eliminate the volatility of the dollar value of your British asset that is due to the exchange rate volatility.2. A U.S. firm holds an asset in France and faces the following scenario:In the above table, P* is the euro price of the asset held by the U.S. firm and P is the dollar price of the asset.(a) Compute the exchange exposure faced by the U.S. firm.(b) What is the variance of the dollar price of this asset if the U.S. firm remains unhedged against thisexposure?(c) If the U.S. firm hedges against this exposure using the forward contract, what is the variance of thedollar value of the hedged position?Solution: (a)E(S) = .25(1.20 +1.10+1.00+0.90) = $1.05/€E(P) = .25(1,800+1,540+1,300 +1,080) = $1,430Var(S) = .25[(1.20-1.05)2 +(1.10-1.05)2+(1.00-1.05)2+(0.90-1.05)2]= .0125Cov(P,S) = .25[(1,800-1,430)(1.20-1.05) + (1,540-1,430)(1.10-1.05)(1,300-1,430)(1.00-1.05) + (1,080-1,430)(0.90-1.05)]= 30b = Cov(P,S)/Var(S) = 30/0.0125 = €2,400.(b) Var(P) = .25[(1,800-1,430)2+(1,540-1,430)2+(1,300-1,430)2+(1,080-1,430)2]= 72,100($)2.(c) Var(P) - b2Var(S) = 72,100 - (2,400)2(0.0125) = 100($)2.This means that most of the volatility of the dollar value of the French asset can be removed by hedging exchange risk. The hedging can be achieved by selling €2,400 forward.MINI CASE: ECONOMIC EXPOSURE OF ALBION COMPUTERS PLCConsider Case 3 of Albion Computers PLC discussed in the chapter. Now, assume that the pound is expected to depreciate to $1.50 from the current level of $1.60 per pound. This implies that the pound cost of the imported part, i.e., Intel’s microprocessors, is £341 (=$512/$1.50). Other variables, such as the unit sales volume and the U.K. inflation rate, remain the same as in Case 3.(a) Compute the projected annual cash flow in dollars.(b) Compute the projected operating gains/losses over the four-year horizon as the discounted present value of change in cash flows, which is due to the pound depreciation, from the benchmark case presented in Exhibit 12.4.(c) What actions, if any, can Albion take to mitigate the projected operating losses due to the pound depreciation?Suggested Solution to Economic Exposure of Albion Computers PLCa) The projected annual cash flow can be computed as follows:______________________________________________________Sales (40,000 units at £1,080/unit) £43,200,000Variable costs (40,000 units at £697/unit) £27,880,000Fixed overhead costs 4,000,000Depreciation allowances 1,000,000Net profit before tax £15,315,000Income tax (50%) 7,657,500Profit after tax 7,657,500Add back depreciation 1,000,000Operating cash flow in pounds £8,657,500Operating cash flow in dollars $12,986,250______________________________________________________b) ______________________________________________________Benchmark CurrentVariables Case Case______________________________________________________Exchange rate ($/£) 1.60 1.50Unit variable cost (£) 650 697Unit sales price (£) 1,000 1,080Sales volume (units) 50,000 40,000Annual cash flow (£) 7,250,000 8,657,500Annual cash flow ($) 11,600,000 12,986,250Four-year present value ($) 33,118,000 37,076,946Operating gains/losses ($) 3,958,946______________________________________________________c) In this case, Albion actually can expect to realize exchange gains, rather than losses. This is mainly due to the fact that while the selling price appreciates by 8% in the U.K. market, the variable cost of imported input increased by about 6.25%. Albion may choose not to do anything.。
(完整word版)国际财务管理课后习题答案chapter10
CHAPTER 10 MANAGEMENT OF TRANSLATION EXPOSURESUGGESTED ANSWERS AND SOLUTIONS TO END-OF-CHAPTERQUESTIONS AND PROBLEMSQUESTIONS1. Explain the difference in the translation process between the monetary/nonmonetary method and the temporal method.Answer: Under the monetary/nonmonetary method, all monetary balance sheet accounts of a foreign subsidiary are translated at the current exchange rate. Other balance sheet accounts are translated at the historical rate exchange rate in effect when the account was first recorded. Under the temporal method, monetary accounts are translated at the current exchange rate. Other balance sheet accounts are also translated at the current rate, if they are carried on the books at current value. If they are carried at historical value, they are translated at the rate in effect on the date the item was put on the books. Since fixed assets and inventory are usually carried at historical costs, the temporal method and the monetary/nonmonetary method will typically provide the same translation.2. How are translation gains and losses handled differently according to the current rate method in comparison to the other three methods, that is, the current/noncurrent method, the monetary/nonmonetary method, and the temporal method?Answer: Under the current rate method, translation gains and losses are handled only as an adjustment to net worth through an equity account named the “cumulative translation adjustment” account. Nothing passes through the income statement. The other three translation methods pass foreign exchange gains or losses through the income statement before they enter on to the balance sheet through the accumulated retained earnings account.3. Identify some instances under FASB 52 when a foreign enti ty’s functional currency would be the same as the parent firm’s currency.Answer: Three examples under FASB 52, where the foreign entity’s functional currency will be the same as the parent firm’s currency, are: i) the foreign entity’s cash flows directly affect the parent’s cash flows and are readily available for remittance to the parent firm; ii) the sales prices for the foreign entity’s products are responsive on a short-term basis to exchange rate changes, where sales prices are determined through wo rldwide competition; and, iii) the sales market is primarily located in the parent’s country or sales contracts are denominated in the parent’s currency.4. Describe the remeasurement and translation process under FASB 52 of a wholly owned affiliate that keeps its books in the local currency of the country in which it operates, which is different than its functional currency.Answer: For a foreign entity that keeps its books in its local currency, which is different from its functional currency, the translation process according to FASB 52 is to: first, remeasure the financial reports from the local currency into the functional currency using the temporal method of translation, and second, translate from the functional currency into the reporting currency using the current rate method of translation.5. It is, generally, not possible to completely eliminate both translation exposure and transaction exposure. In some cases, the elimination of one exposure will also eliminate the other. But in other cases, the elimination of one exposure actually creates the other. Discuss which exposure might be viewed as the most important to effectively manage, if a conflict between controlling both arises. Also, discuss and critique the common methods for controlling translation exposure.Answer: Since it is, generally, not possible to completely eliminate both transaction and translation exposure, we recommend that transaction exposure be given first priority since it involves real cash flows. The translation process, on-the-other hand, has no direct effect on reporting currency cash flows, and will only have a realizable effect on net investment upon the sale or liquidation of the assets.There are two common methods for controlling translation exposure: a balance sheet hedge and a derivatives hedge. The balance sheet hedge involves equating the amount of exposed assets in an exposure currency with the exposed liabilities in that currency, so the net exposure is zero. Thus when an exposure currency exchange rate changes versus the reporting currency, the change in assets will offset the change in liabilities. To create a balance sheet hedge, once transaction exposure has been controlled, often means creating new transaction exposure. This is not wise since real cash flow losses can result. A derivatives hedge is not really a hedge, but rather a speculative position, since the size of the “hedge” is based on the future expected spot rate of exchange for the exposure currency with the reporting currency. If the actual spot rate differs from the expected rate, the “hedge” may result in the loss of real cash flows.PROBLEMS1. Assume that FASB 8 is still in effect instead of FASB 52. Construct a translation exposure report for Centralia Corporation and its affiliates that is the counterpart to Exhibit 10.7 in the text. Centralia and its affiliates carry inventory and fixed assets on the books at historical values.Solution: The following table provides a translation exposure report for Centralia Corporation and its affiliates under FASB 8, which is essentially the temporal method of translation. The difference between the new report and Exhibit 10.7 is that nonmonetary accounts such as inventory and fixed assets are translated at the historical exchange rate if they are carried at historical costs. Thus, these accounts will not change values when exchange rates change and they do not create translation exposure.Examination of the table indicates that under FASB 8 there is negative net exposure for the Mexican peso and the euro, whereas under FASB 52 the net exposure for these currencies is positive. There is no change in net exposure for the Canadian dollar and the Swiss franc. Consequently, if the euro depreciates against the dollar from €1.1000/$1.00 to €1.1786/$1.00, as the text example assumed, exposed assets will now fall in value by a smaller amount than exposed liabilities, instead of vice versa. The associated reporting currency imbalance will be $239,415, calculated as follows:Reporting Currency Imbalance=-€3,949,0000€1.1786/$1.00--€3,949,0000€1.1000/$1.00=$239,415.Translation Exposure Report under FASB 8 for Centralia Corporation and its Mexican and Spanish Affiliates, December 31, 2005 (in 000 Currency Units)Canadian Dollar MexicanPeso EuroSwissFrancAssetsCash CD200 Ps 6,000 € 825SF 0 Accounts receivable 0 9,000 1,045 0Inventory 0 0 0 0Net fixed assets 0 0 0 0Exposed assets CD200 Ps15,000 € 1,870SF 0LiabilitiesAccounts payable CD 0 Ps 7,000 € 1,364SF 0Notes payable 0 17,000 935 1,400Long-term debt 0 27,000 3,520 0Exposed liabilities CD 0 Ps51,000 € 5,819SF1,400Net exposure CD200 (Ps36,000) (€3,949)(SF1,400)2. Assume that FASB 8 is still in effect instead of FASB 52. Construct a consolidated balance sheet for Centralia Corporation and its affiliates after a depreciation of the euro from €1.1000/$1.00 to €1.1786/$1.00 that is the counterpart to Exhibit 10.8 in the text. Centralia and its affiliates c arry inventory and fixed assets on the books at historical values.Solution: This problem is the sequel to Problem 1. The solution to Problem 1 showed that if the euro depreciated there would be a reporting currency imbalance of $239,415. Under FASB 8 this is carried through the income statement as a foreign exchange gain to the retained earnings on the balance sheet. The following table shows that consolidated retained earnings increased to $4,190,000 from $3,950,000 in Exhibit 10.8. This is an increase of $240,000, which is the same as the reporting currency imbalance after accounting for rounding error.Consolidated Balance Sheet under FASB 8 for Centralia Corporation and its Mexican and Spanisha This includes CD200,000 the parent firm has in a Canadian bank, carried as $150,000. CD200,000/(CD1.3333/$1.00) = $150,000.b$1,750,000 - $300,000 (= Ps3,000,000/(Ps10.00/$1.00)) intracompany loan = $1,450,000.c,d Investment in affiliates cancels with the net worth of the affiliates in the consolidation.e The Spanish affiliate owes a Swiss bank SF375,000 (÷ SF1.2727/€1.00 = €294,649). This is carried on the books,after the exchange rate change, as part of €1,229,649 = €294,649 + €935,000. €1,229,649/(€1.1786/$1.00) = $1,043,313.3. In Example 10.2, a f orward contract was used to establish a derivatives “hedge” to protect Centralia from a translation loss if the euro depreciated from €1.1000/$1.00 to €1.1786/$1.00. Assume that an over-the-counter put option on the euro with a strike price of €1.1393/$1.00 (or $0.8777/€1.00) can be purchased for $0.0088 per euro. Show how the potential translation loss can be “hedged” with an option contract.Solution: As in example 10.2, if the potential translation loss is $110,704, the equivalent amount in functiona l currency that needs to be hedged is €3,782,468. If in fact the euro does depreciate to €1.1786/$1.00 ($0.8485/€1.00), €3,782,468 can be purchased in the spot market for $3,209,289. At a striking price of €1.1393/$1.00, the €3,782,468 can be sold throu gh the put for $3,319,993, yielding a gross profit of $110,704. The put option cost $33,286 (= €3,782,468 x $0.0088). Thus, at an exchange rate of €1.1786/$1.00, the put option will effectively hedge $110,704 - $33,286 = $77,418 of the potential translat ion loss. At terminal exchange rates of €1.1393/$1.00 to €1.1786/$1.00, the put option hedge will be less effective. An option contract does not have to be exercised if doing so is disadvantageous to the option owner. Therefore, the put will not be exer cised at exchange rates of less than €1.1393/$1.00 (more than $0.8777/€1.00), in which case the “hedge” will lose the $33,286 cost of the option.MINI CASE: SUNDANCE SPORTING GOODS, INC.Sundance Sporting Goods, Inc., is a U.S. manufacturer of high-quality sporting goods--principally golf, tennis and other racquet equipment, and also lawn sports, such as croquet and badminton-- with administrative offices and manufacturing facilities in Chicago, Illinois. Sundance has two wholly owned manufacturing affiliates, one in Mexico and the other in Canada. The Mexican affiliate is located in Mexico City and services all of Latin America. The Canadian affiliate is in Toronto and serves only Canada. Each affiliate keeps its books in its local currency, which is also the functional currency for the affiliate. The current exchange rates are: $1.00 = CD1.25 = Ps3.30 = A1.00 = ¥105 = W800. The nonconsolidated balance sheets for Sundance and its two affiliates appear in the accompanying table.Nonconsolidated Balance Sheet for Sundance Sporting Goods, Inc. and Its Mexican and Canadiana The parent firm is owed Ps1,320,000 by the Mexican affiliate. This sum is included in the parent’s accounts receivable as $400,000, translated at Ps3.30/$1.00. The remainder of the parent’s (Mexican affiliate’s) a ccounts receivable (payable) is denominated in dollars (pesos).b The Mexican affiliate is wholly owned by the parent firm. It is carried on the parent firm’s books at $2,400,000. This represents the sum of the common stock (Ps4,500,000) and retained earnings (Ps3,420,000) on the Mexican affiliate’s books, translated at Ps3.30/$1.00.c The Canadian affiliate is wholly owned by the parent firm. It is carried on the parent firm’s books at $3,600,000. This represents the sum of the common stock (CD2,900,000) and the retained earnings (CD1,600,000) on the Canadian affiliate’s books, translated at CD1.25/$1.00.d The parent firm has outstanding notes payable of ¥126,000,000 due a Japanese bank. This sum is carried on th e parent firm’s books as $1,200,000, translated at ¥105/$1.00. Other notes payable are denominated in U.S. dollars.e The Mexican affiliate has sold on account A120,000 of merchandise to an Argentine import house. This sum is carried on the Mexican affi liate’s books as Ps396,000, translated at A1.00/Ps3.30. Other accounts receivable are denominated in Mexican pesos.f The Canadian affiliate has sold on account W192,000,000 of merchandise to a Korean importer. This sum is carried on the Canadian affilia te’s books as CD300,000, translated at W800/CD1.25. Other accounts receivable are denominated in Canadian dollars.You joined the International Treasury division of Sundance six months ago after spending the last two years receiving your MBA degree. The corporate treasurer has asked you to prepare a report analyzing all aspects of the translation exposure faced by Sundance as a MNC. She has also asked you to address in your analysis the relationship between the firm’s translation exposure and its transa ction exposure. After performing a forecast of future spot rates of exchange, you decide that you must do the following before any sensible report can be written.a. Using the current exchange rates and the nonconsolidated balance sheets for Sundance and its affiliates, prepare a consolidated balance sheet for the MNC according to FASB 52.b. i. Prepare a translation exposure report for Sundance Sporting Goods, Inc., and its two affiliates.ii. Using the translation exposure report you have prepared, determine if any reporting currency imbalance will result from a change in exchange rates to which the firm has currency exposure. Your forecast is that exchange rates will change from $1.00 = CD1.25 = Ps3.30 = A1.00 = ¥105 = W800 to $1.00 = CD1.30 = Ps3.30 = A1.03 = ¥105 = W800.c. Prepare a second consolidated balance sheet for the MNC using the exchange rates you expect in the future. Determine how any reporting currency imbalance will affect the new consolidated balance sheet for the MNC.d. i. Prepare a transaction exposure report for Sundance and its affiliates. Determine if any transaction exposures are also translation exposures.ii. Investigate what Sundance and its affiliates can do to control its transaction and translation exposures. Determine if any of the translation exposure should be hedged.Suggested Solution to Sundance Sporting Goods, Inc.Note to Instructor: It is not necessary to assign the entire case problem. Parts a. and b.i. can be used as self-contained problems, respectively, on basic balance sheet consolidation and the preparation of a translation exposure report.a. Below is the consolidated balance sheet for the MNC prepared according to the current rate method prescribed by FASB 52. Note that the balance sheet balances. That is, Total Assets and Total Liabilities and Net Worth equal one another. Thus, the assumption is that the current exchange rates are the same as when the affiliates were established. This assumption is relaxed in part c.Consolidated Balance Sheet for Sundance Sporting Goods, Inc. its Mexican and Canadian Affiliates, December 31, 2005: Pre-Exchange Rate Change (in 000 Dollars)Sundance, Inc. Mexican Canadian Consolidateda$2,500,000 - $400,000 (= Ps1,320,000/(Ps3.30/$1.00)) intracompany loan = $2,100,000.b,c The investment in the affiliates cancels with the net worth of the affiliates in the consolidation.d The parent owes a Japanese bank ¥126,000,000. This is carried on the books as $1,200,000 (=¥126,000,000/(¥105/$1.00)).e The Mexican affiliate has sold on account A120,000 of merchandise to an Argentine import house. This is carried on the Mexican affiliate’s books as Ps396,000 (= A120,000 x Ps3.30/A1.00).f The Canadian affiliate has sold on account W192,000,000 of merchandise to a Korean importer. This is carried on the Canadian affiliate’s books as CD300,000 (= W192,000,000/(W800/CD1.25)).b. i. Below is presented the translation exposure report for the Sundance MNC. Note, from the report that there is net positive exposure in the Mexican peso, Canadian dollar, Argentine austral and Korean won. If any of these exposure currencies appreciates (depreciates) against the U.S. dollar, exposed assets denominated in these currencies will increase (fall) in translated value by a greater amount than the exposed liabilities denominated in these currencies. There is negative net exposure in the Japanese yen. If the yen appreciates (depreciates) against the U.S. dollar, exposed assets denominated in the yen will increase (fall) in translated value by smaller amount than the exposed liabilities denominated in the yen.Translation Exposure Report for Sundance Sporting Goods, Inc. and its Mexican and Canadian Affiliates, December 31, 2005 (in 000 Currency Units)b. ii. The problem assumes that Canadian dollar depreciates from CD1.25/$1.00 to CD1.30/$1.00 and that the Argentine austral depreciates from A1.00/$1.00 to A1.03/$1.00. To determine the reporting currency imbalance in translated value caused by these exchange rate changes, we can use the following formula:Net Exposure Currency i S(i/reporting)-Net Exposure Currency i S(i/reporting)new old = Reporting Currency Imbalance.From the translation exposure report we can determine that the depreciation in the Canadian dollar will cause aCD4,200,000 CD1.30/$1.00-CD4,200,000CD1.25/$1.00= -$129,231reporting currency imbalance.Similarly, the depreciation in the Argentine austral will cause aA120,000 A1.03/$1.00-A120,000A1.00/$1.00= -$3,495reporting currency imbalance.In total, the depreciation of the Canadian dollar and the Argentine austral will cause a reporting currency imbalance in translated value equal to -$129,231 -$3,495= -$132,726.c. The new consolidated balance sheet for Sundance MNC after the depreciation of the Canadian dollar and the Argentine austral is presented below. Note that in order for the new consolidated balance sheet to balance after the exchange rate change, it is necessary to have a cumulative translation adjustment account balance of -$133 thousand, which is the amount of the reporting currency imbalance determined in part b. ii (rounded to the nearest thousand).Consolidated Balance Sheet for Sundance Sporting Goods, Inc. its Mexican and Canadian Affiliates, December 31, 2005: Post-Exchange Rate Change (in 000 Dollars)a$2,500,000 - $400,000 (= Ps1,320,000/(Ps3.30/$1.00)) intracompany loan = $2,100,000.b,c The investment in the affiliates cancels with the net worth of the affiliates in the consolidation.d The parent owes a Japanese bank ¥126,000,000. This is carried on the books as $1,200,000 (=¥126,000,000/(¥105/$1.00)).e The Mexican affiliate has sold on account A120,000 of merchandise to an Argentine import house. This is carried on the Mexican affiliate’s books as Ps384,466 (= A120,000 x Ps3.30/A1.03).f The Canadian affiliate has sold on account W192,000,000 of merchandise to a Korean importer. This is carried on the Canadian affiliate’s books as CD312,000 (=W192,000,000/(W800/CD1.30)).d. i. The transaction exposure report for Sundance, Inc. and its two affiliates is presented below. The report indicates that the Ps1,320,000 accounts receivable due from the Mexican affiliate is not also a translation exposure because this is netted out in the consolidation. However, the ¥126,000,000 notes payable of the parent is also a translation exposure. Additionally, the A120,000 accounts receivable of the Mexican affiliate and the W192,000,000 accounts receivable of the Canadian affiliate are both translation exposures.Transaction Exposure Report for Sundance Sporting Goods, Inc. andits Mexican and Canadian Affiliates, December 31, 2005d. ii. Since transaction exposure may potentially result in real cash flow losses while translation exposure does not have an immediate direct effect on operating cash flows, we will first address the transaction exposure that confronts Sundance and its affiliates. The analysis assumes the depreciation in the Canadian dollar and the Argentine austral have already taken place.The parent firm can pay off the ¥126,000,000 loan from the Japanese bank using funds from the cash account and money from accounts receivable that it will collect. Additionally, the parent firm can collect the accounts receivable of Ps1,320,000 from its Mexican affiliate that is carried on the books as $400,000. In turn, the Mexican affiliate can collect the A120,000 accounts receivable from the Argentine importer, valued at Ps384,466 after the depreciation in the austral, to guard against further depreciation and to use to partially pay off the peso liability to the parent. The Canadian affiliate can eliminate its transaction exposure by collecting the W192,000,000 accounts receivable as soon as possible, which is currently valued at CD312,000.The elimination of these transaction exposures will affect the translation exposure of Sundance MNC. A revised translation exposure report follows.Revised Translation Exposure Report for Sundance Sporting Goods, Inc. and its Mexican and Canadian Affiliates, December 31, 2005 (in 000 Currency Units)Note from the revised translation exposure report that the elimination of the transaction exposure will also eliminate the translation exposure in the Japanese yen, Argentine austral and the Korean won. Moreover, the net translation exposure in the Mexican peso has been reduced. But the net translation exposure in the Canadian dollar has increased as a result of the Canadian affiliate’s collection of the won receivable.The remaining translation exposure can be hedged using a balance sheet hedge or a derivatives hedge. Use of a balance sheet hedge is likely to create new transaction exposure, however. Use of a derivatives hedge is actually speculative, and not a real hedge, since the size of the “hedge” is based on one’s expectation as to the future spot exchange rate. An incorrect estimate will result in the “hedge” losing money for the MNC.。
Solution_国际财务管理_切奥尔尤恩_课后习题答案_第一章
CHAPTER 1 GLOBALIZATION AND THE MULTINATIONAL FIRMSUGGESTED ANSWERS TO END-OF-CHAPTER QUESTIONSQUESTIONS1. Why is it important to study international financial management?Answer: We are now living in a world where all the major economic functions, i.e., consumption, production, and investment, are highly globalized. It is thus essential for financial managers to fully understand vital international dimensions of financial management. This global shift is in marked contrast to a situation that existed when the authors of this book were learning finance some twenty years ago. At that time, most professors customarily (and safely, to some extent) ignored international aspects of finance. This mode of operation has become untenable since then.2. How is international financial management different from domestic financial management?Answer: There are three major dimensions that set apart international finance from domestic finance. They are:1. foreign exchange and political risks,2. market imperfections, and3. expanded opportunity set.3. Discuss the three major trends that have prevailed in international business during the last two decades.Answer: The 1980s brought a rapid integration of international capital and financial markets. Impetus for globalized financial markets initially came from the governments of major countries that had begun to deregulate their foreign exchange and capital markets. The economic integration and globalization that began in the eighties is picking up speed in the 1990s via privatization. Privatization is the process by which a country divests itself of the ownership and operation of a business venture by turning it over to the free market system. Lastly, trade liberalization and economic integration continued to proceed at both the regional and global levels.4. How is a country’s economic well-being enhanced through free international trade in goods and services?Answer: According to David Ricardo, with free international trade, it is mutually beneficial for two countries to each specialize in the production of the goods that it can produce relatively most efficiently and then trade those goods. By doing so, the two countries can increase their combined production, which allows both countries to consume more of both goods. This argument remains valid even if a country can produce both goods more efficiently than the other country. International trade is not a ‘zero-sum’ game in which one country benefits at the expense of another country. Rather, international trade could be an ‘increasing-sum’ game at which all players become winners.5. What considerations might limit the extent to which the theory of comparative advantage is realistic?Answer: The theory of comparative advantage was originally advanced by the nineteenth century economist David Ricardo as an explanation for why nations trade with one another. The theory claims that economic well-being is enhanced if each country’s citizens produce what they have a comparative advantage in producing relative to the citizens of other countries, and then trade products. Underlying the theory are the assumptions of free trade between nations and that the factors of production (land, buildings, labor, technology, and capital) are relatively immobile. To the extent that these assumptions do not hold, the theory of comparative advantage will not realistically describe international trade.6. What are multinational corporations (MNCs) and what economic roles do they play?Answer: A multinational corporation (MNC) can be defined as a business firm incorporated in one country that has production and sales operations in several other countries. Indeed, some MNCs have operations in dozens of different countries. MNCs obtain financing from major money centers around the world in many different currencies to finance their operations. Global operations force the treasurer’s office to establish international banking relationships, to place short-term funds in several currency denominations, and to effectively manage foreign exchange risk.7. Mr. Ross Perot, a former Presidential candidate of the Reform Party, which is a third political party in the United States, had strongly objected to the creation of the North American Trade Agreement (NAFTA), which nonetheless was inaugurated in 1994, for the fear of losing American jobs to Mexico where it is much cheaper to hire workers. What are the merits and demerits of Mr. Perot’s position on NAFTA? Considering the recent economic developments in North America, how would you assess Mr. Perot’s position on NAFTA?Answer: Since the inception of NAFTA, many American companies indeed have invested heavily in Mexico, sometimes relocating production from the United States to Mexico. Although this might have temporarily caused unemployment of some American workers, they were eventually rehired by other industries often for higher wages. Currently, the unemployment rate in the U.S. is quite low by historical standard. At the same time, Mexico has been experiencing a major economic boom. It seems clear that both Mexico and the U.S. have benefited from NAFTA. Mr. Perot’s concern appears to have been ill founded.8. In 1995, a working group of French chief executive officers was set up by the Confederation of French Industry (CNPF) and the French Association of Private Companies (AFEP) to study the French corporate governance structure. The group reported the following, among other things “The board of directors should not simply aim at maximizing share values as in the U.K. and the U.S. Rather, its goal should be to serve the company, whose interests should be clearly distinguished from those of its shareholders, employees, creditors, suppliers and clients but still equated with their general common interest, which is to safeguard the prosperity and continuity of the company”. Evaluate the above recommendation of the working group.Answer: The recommendations of the French working group clearly show that shareholder wealth maximization is not a universally accepted goal of corporate management, especially outside the United States and possibly a few other Anglo-Saxon countries including the United Kingdom and Canada. To some extent, this may reflect the fact that share ownership is not wide spread in most other countries. In France, about 15% of households own shares.9. Emphasizing the importance of voluntary compliance, as opposed to enforcement, in the aftermath of corporate scandals, e.g., Enron and WorldCom, U.S. President George W. Bush stated that while tougher laws might help, “ultimately, the ethics of American business depends on the conscience of America’s business leaders.” Describe your view on this statement.Answer: There can be different answers to this question. If business leaders always behave with a high ethical standard, many of the corporate scandals we have seen lately might not have happened. Since we cannot fully depend on the ethical behavior on the part of business leaders, the society should protect itself by adopting the rules/regulations and governance structure that would induce business leaders to behave in the interest of the society at large.10. Suppose you are interested in investing in shares of Nokia Corporation of Finland, which is a world leader in wireless communication. But before you make investment decision, you would like to learn about the company. Visit the website of Yahoo () and collect information about Nokia, including the recent stock price history and analysts’ views of the company. Discuss what you learn about the company. Also discuss how the instantaneous access to information via internet would affect the nature and workings of financial markets.Answer: As students might have learned from visiting the website, information is readily available even for foreign companies like Nokia. Ready access to international information helps integrate financial markets, dismantling barriers to international investment and financing. Integration, however, may help a financial shock in one market to be transmitted to other markets.MINI CASE: NIKE AND SWEATSHOP LABORNike, a company headquartered in Beaverton, Oregon, is a major force in the sports footwear and fashion industry, with annual sales exceeding $ 12 billion, more than half of which now come from outside the United States. The company was co-founded in 1964 by Phil Knight, a CPA at Price Waterhouse, and Bill Bowerman, college track coach, each investing $ 500 to start. The company, initially called Blue Ribbon Sports, changed its name to Nike in 1971 and adopted the “Swoosh” logo—recognizable around the world—originally designed by a college student for $35. Nike became highly successful in designing and marketing mass-appealing products such as the Air Jordan, the best selling athletic shoe of all time.Nike has no production facilities in the United States. Rather, the company manufactures athletic shoes and garments in such Asian countries as China, Indonesia, and Vietnam using subcontractors, and sells the products in the U.S. and international markets. In each of those Asian countries where Nike has production facilities, the rates of unemployment and under-employment are quite high. The wage rate is very low in those countries by U.S. standards—the hourly wage rate in the manufacturing sector is less than $ 1 in each of those countries, compared with about $ 20 in the United States. In addition, workers in those countries often operate in poor and unhealthy environments and their rights are not particularly well protected. Understandably, host countries are eager to attract foreign investments like Nike’s to develop their economies and raise the living standards of their citizens. Recently, however, Nike came under worldwide criticism for its practice of hiring workers for such a low rate of pay—“next to nothing” in the words of critics—and condoning poor working conditions in host countries.Initially, Nike denied the sweatshop charges and lashed out at critics. But later, the company began monitoring the labor practice at its overseas factories and grading the factories in order to improve labor standards. Nike also agreed to random factory inspections by disinterested parties.Discussion points1.Do you think the criticism of Nike is fair, considering that the host countries are in dire needsof creating jobs?2.What do you think Nike’s executives might have done differently to prevent the sensitivecharges of sweatshop labor in overseas factories?3.Do firms need to consider the so-called corporate social responsibilities in making investmentdecisions?Suggested Solution to Nike and Sweatshop LaborObviously, Nike’s investments in such Asian countries as China, Indonesia, and Vietnam were motivated to take advantage of low labor costs in those countries. While Nike was criticized for the poor working conditions for its workers, the company has recognized the problem and has substantially improved the working environments recently. Although Nike’s workers get paid very low wages by the Western standard, they probably are making substantially more than their local compatriots who are either under- or unemployed. While Nike’s detractors may have valid points, one should not ignore the fact that the company is making contributions to the economic welfare of those Asian countries by creating job opportunities.CHAPTER 1A THEORY OF COMPARATIVE ADVANTAGESUGGESTED SOLUTIONS TO APPENDIX PROBLEMSPROBLEMS1. Country C can produce seven pounds of food or four yards of textiles per unit of input. Compute the opportunity cost of producing food instead of textiles. Similarly, compute the opportunity cost of producing textiles instead of food.Solution: The opportunity cost of producing food instead of textiles is one yard of textiles per 7/4 = 1.75 pounds of food. A pound of food has an opportunity cost of 4/7 = .57 yards of textiles.2. Consider the no-trade input/output situation presented in the following table for Countries X and Y. Assuming that free trade is allowed, develop a scenario that will benefit the citizens of both countries.INPUT/OUTPUT WITHOUT TRADE_______________________________________________________________________CountryX Y Total________________________________________________________________________ I. Units of Input(000,000)_______________________ ______________________________70 60FoodTextiles 40 30________________________________________________________________________ II. Output per Unit of Input(lbs or yards)______________________ ______________________________17 5FoodTextiles 5 2________________________________________________________________________ III. Total Output(lbs or yards)(000,000)______________________ ______________________________Food 1,190 300 1,490260Textiles 200 60________________________________________________________________________ IV. Consumption(lbs or yards)(000,000)_____________________ ______________________________Food 1,190 300 1,490260Textiles 200 60________________________________________________________________________Solution:Examination of the no-trade input/output table indicates that Country X has an absolute advantage in the production of food and textiles. Country X can “trade off” one unit of production needed to produce 17 pounds of food for five yards of textiles. Thus, a yard of textiles has an opportunity cost of 17/5 = 3.40 pounds of food, or a pound of food has an opportunity cost of 5/17 = .29 yards of textiles. Analogously, Country Y has an opportunity cost of 5/2 = 2.50 pounds of food per yard of textiles, or 2/5 = .40 yards of textiles per pound of food. In terms of opportunity cost, it is clear that Country X is relatively more efficient in producing food and Country Y is relatively more efficient in producing textiles. Thus, Country X (Y) has a comparative advantage in producing food (textile) is comparison to Country Y (X).When there are no restrictions or impediments to free trade the economic-well being of the citizens of both countries is enhanced through trade. Suppose that Country X shifts 20,000,000 units from the production of textiles to the production of food where it has a comparative advantage and that Country Y shifts 60,000,000 units from the production of food to the production of textiles where it has a comparative advantage. Total output will now be (90,000,000 x 17 =) 1,530,000,000 pounds of food and [(20,000,000 x 5 =100,000,000) + (90,000,000 x 2 =180,000,000) =] 280,000,000 yards of textiles. Further suppose that Country X and Country Y agree on a price of 3.00 pounds of food for one yard of textiles, and that Country X sells Country Y 330,000,000 pounds of food for 110,000,000 yards of textiles. Under free trade, the following table shows that the citizens of Country X (Y) have increased their consumption of food by 10,000,000 (30,000,000) pounds and textiles by 10,000,000 (10,000,000) yards.INPUT/OUTPUT WITH FREE TRADE__________________________________________________________________________CountryX Y Total__________________________________________________________________________ I. Units of Input(000,000)_______________________ ________________________________90 0FoodTextiles 20 90__________________________________________________________________________ II. Output per Unit of Input(lbs or yards)______________________ ________________________________17 5FoodTextiles 5 2__________________________________________________________________________ III. Total Output(lbs or yards)(000,000)_____________________ ________________________________Food 1,530 0 1,530180280Textiles 100__________________________________________________________________________ IV. Consumption(lbs or yards)(000,000)_____________________ ________________________________Food 1,200 330 1,530280Textiles 210 70__________________________________________________________________________。
《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(作业)答案
国际财务管理作业答案书31页习题4、美元与日元的汇率是$1=￥200.01，日元与欧元的汇率是 Euro=￥189.12，那么欧元与美元的兑换比率是多少？日元=1/200.01 美元日元=1/189.12 欧元所以欧元和美元的比率是189.12/200.01=0.94555、假设在纽约，直接标价法下英镑与美元的汇率是1.1110-5.那么在纽约500000 英镑价值多少美元？在伦敦，直接标价法下的美元汇率是多少？英镑与美元的汇率是1/1.1110-5，那么在纽约英镑值555500-555750 在伦敦直接标价法下美元汇率是 1/0.9 1/0.896、一个投资者想以0.9080 美元的价格购买欧元现货，然后以0.9086 美元的价格卖出一个 180 天的欧元远期。
请问欧元掉期率是多少？180 天欧元升水是多少?(0.9086-0.9080)/0.9080*360/180=0.0013 升水是0.000669页习题2、一家英国公司向美国某公司出售引擎并从其购买零件。
假设有一笔15 亿美元的应收账款和一笔7.4 亿美元的应付账款。
他还有6 亿美元的借款，现汇汇率是$1.5128/£。
这家英国公司用美元和英镑表示的美元交易风险各是多少？假设英镑升值到$1.7642/£，这家英国公司用英镑表示的美元交易风险损益是多少？用美元表示的美元交易风险15 亿美元-7.4 亿美元-6 亿美元=14.8660 亿美元用英镑表示的美元交易风险（15 亿美元-7.4 亿美元-6 亿美元）/1.5128=9.8268 亿英镑用英镑表示的美元交易风险损益=9.8268 亿英镑-14.8660 亿美元/1.7642=1.4003 亿英镑。
3、假设美国贝尔公司的英国分公司在年初和年末的流动资产是 100 万英镑，固定资产 200 万英镑，流动负债是100 万英镑，它没有长期负债。
在流动/非流动着算法、货币/非货币折算法、时态法和现行汇率法下的英国贝尔分公司的会计风险是多少？流动/非流动性折算法下英国贝尔分公司的会计风险为：流动资产100 万英镑+流动负债100 万英镑货币/非货币则算法下英国贝尔分公司的会计风险为：货币性资产100 万英镑+货币性负债 100 万英镑。
219417国际财务管理(第四版)习题集答案解析
国际财务管理计算题答案第3章二、计算题1、（1）投资者可以这样做：在乙银行用100港币=105.86人民币的价格，即100/105.86（港币/人民币）的价格购入港币100万×（100/105.86）港币=94.46万港币在甲银行用105.96/100（人民币/港币）卖出港币94.46×（105.96/100）=100.09万人民币投资者的收益：100.09-100=0.09万人民币2、（1）如果美元未来没升值到利率平价，则海外投资者具有获利机会。
最大的获利水平：1美元兑换人民币8.28元，在中国境存款投资，1年后换回美元获利：（1+1.98%）-1=1.98%与在美国存款投资收益率1.3%相比，获利更多。
随着美元汇率接近利率平价，这个收益率会向1.3%靠近，最终与美元利率相同。
（2）由于美元存款利率低于人民币存款利率，中国投资者没有套利获利机会。
（3）投资者套利交易面临美元升值的风险，如果必要，可以采用抛补套利防。
（4）如果存在利率平价，此时美元远期汇率升水，升水幅度：K=（1+1.98%）/（1+1.3）-1=0.67%1美元=8.28×（1+0.67%）=8.3355（元人民币）（5）处于利率平价时，投资者无法获得抛补套利收益。
（6）如果目前不存在利率平价，是否抛补套利，取决于投资者对未来美元升值可能性和可能幅度的判断，以及投资者的风险承受能力。
4、公司到期收回人民币：5000×81.21/100=4060（万元）5、如果掉期交易，则卖掉美元得到的人民币: 50×6.79=339.5(万元)美元掉期交易下支付美元的人民币价格：50×6.78=339(万)买卖价差人民币收入净额=339.5-339=0.5(万元)如果不做掉期交易,则美元两周的存款利息收入为50×0.4%×14/365=0.00767(万美元)折合人民币利息收入:0.00767×6.782=0.052(万元)两者相比,掉期交易比较合适.6、2011年11月16日合约执行价格1澳元=1.02美元即期汇率1澳元=1.024美元合约价格低于即期汇率，企业应该履行该合约，企业履约支付的澳元加上期权费：1澳元=1．02+（2.6834/100）=1.0468（美元）与即期交易相比，企业亏损：50×100×（1.0468-1.024）=114（美元）8、远期汇率低于及其汇率，故远期贴水为：远期汇率-即期汇率=0.188-0.190=-0.0029、行权，因为行权价低于实施期权时的即期汇率。
国际财务管理课后习题答案chapter3
国际财务管理课后习题答案chapter3***** 3 ***** OF *****S*****ED ***** AND *****NS TO END-OF-**********NS AND *****S*****NS1. Define the balance of payments.Answer: The balance of payments (BOP) can be defined as the statistical record of a country?s international transactions over a certain period of time presented in the form of double-entry bookkeeping.2. Why would it be useful to examine a country?s balance of payments data?Answer: It would be useful to examine a country?s BOP for at least two reasons. First, BOP provides detailed information about the supply and demand of the country?s currency. Second, BOP data can be used to evaluate the performance of the country in international economic competition. For example, if a country is experiencing perennial BOP deficits, it may signal that the country?s industries lack competitiveness.3. The United States has experienced continuous current account deficits since the early 1980s. What do you think are the main causes for the deficits? What would be the consequences of continuous U.S. current account deficits?Answer: The current account deficits of U.S. may have reflected a few reasons such as (I) a historically high real interest rate in the U.S., which is due to ballooning federal budget deficits, that kept the dollar strong, and (ii) weak competitiveness of the U.S. industries.4. In contrast to the U.S., Japan has realized continuous current account surpluses. What could be the main causes for these surpluses? Is it desirable to have continuous current account surpluses?Answer: Japan?s continuous current account surpluses may have reflected a weak yen and high competitiveness of Japanese industries. Massive capital exports by Japan prevented yen from appreciating more than it did. At the same time, foreigners? exports to Japan were hampered by closed nature of Japanese markets. Continuous current account surpluses disrupt free trade by promoting protectionist IM-1sentiment in the deficit country. It is not desirable especially when it is brought about by the mercantilist policies.5. Comment on the following statement: “Since the U.S. imports more than it exports, it is necessary for the U.S. to import capital from foreign countries to finance its current account deficits.”Answer: The statement presupposes that the U.S. current account deficit causes its capital account surplus. In reality, the causality may be running in the opposite direction: U.S. capital account surplus may cause the country?s current account deficit. Suppose foreigners find the U.S. a great place to invest and send their capital to the U.S., resulting in U.S. capital account surplus. This capital inflow will strengthen the dollar, hurting the U.S. export and encouraging imports from foreign countries, causing current account deficits.6. Explain how a country can run an overall balance of payments deficit or surplus.Answer: A country can run an overall BOP deficit or surplus by engaging in the official reserve transactions. For example, an overall BOP deficit can be supported by drawing down the central bank?s reserve holdings. Likewise, an overall BOP surplus can be absorbed byadding to the central bank?s reserve holdings.7. Explain official reserve assets and its major components.Answer: Official reserve assets are those financial assets that can be used as international means of payments. Currently, official reserve assets comprise: (I) gold, (ii) foreign exchanges, (iii) special drawing rights (SDRs), and (iv) reserve positions with the IMF. Foreign exchanges are by far the most important official reserves.8. Explain how to compute the overall balance and discuss its significance.Answer: The overall BOP is determined by computing the cumulative balance of payments including the current account, capital account, and the statistical discrepancies. The overall BOP is significant because it indicates a country?s international payment gap that must be financed by the government?s official reserve transactions.IM-29. Since the early 1980s, foreign portfolio investors have purchased a significant portion of U.S. treasury bond issues. Discuss the short-term and long-term effects of foreigners? portfolio investment on the U.S. balance of payments.Answer: As foreigners purchase U.S. Treasury bonds, U.S. BOP will improve in the short run. But in the long run, U.S. BOP may deteriorate because the U.S. should pay interests and principals to foreigners. If foreign funds are used productively and contributes to the competitiveness of U.S. industries, however, U.S. BOP may improve in the long run.10. Describe the balance of payments identity and discuss its implications under the fixed and flexible exchange rate regimes.Answer: The balance of payments identity holds that the combined balance on the current and capital accounts should beequal in size, but opposite in sign, to the change in the official reserves: BCA + BKA = -BRA. Under the pure flexible exchange rate regime, central banks do not engage in official reserve transactions. Thus, the overall balance must balance, i.e., BCA = -BKA. Under the fixed exchange rate regime, however, a country can have an overall BOP surplus or deficit as the central bank will accommodate it via official reserve transactions.11. Exhibit 3.3 indicates that in 1991, the U.S. had a current account deficit and at the same time a capital account deficit. Explain how this can happen?Answer: In 1991, the U.S. experienced an overall BOP deficit, which must have been accommodated by the Federal Reserve?s official reserve action, i.e., drawing down its reserve holdings.12. Explain how each of the following transactions will be classified and recorded in the debit and credit of the U.S. balance of payments:(1) A Japanese insurance company purchases U.S. Treasury bonds and pays out of its bank account kept in New York City.(2) A U.S. citizen consumes a meal at a restaurant in Paris and pays with her American Express card. (3) A Indian immigrant living in Los Angeles sends a check drawn on his L.A. bank account as a gift to his parents living in Bombay.IM-3(4) A U.S. computer programmer is hired by a British company for consulting and gets paid from the U.S. bank account maintained by the British company. Answer:_________________________________________________________________ TransactionsJapanese purchase of U.S. T bonds? ? ? ???? ?Credit Debit_________________________________________________________________ Japanese payment using NYC accountU.S. citizen having a meal in Paris Paying the meal with American ExpressGift to parents in Bombay Receipts of the check by parents (goodwill)Export of programming serviceBritish payment out its account in U.S._________________________________________________________________13. Construct the balance of payment table for Japan for the year of 1998 which is comparable in format to Exhibit 3.1, and interpret the numerical data. You may consult International Financial Statistics published by IMF or research for useful websites for the data yourself.IM-4Answer:A summary of the Japanese Balance of Payments for 1998 (in $ billion)Current Account (1) Exports(2) Imports(3) Unilateral transferCapital Account (4) Direct investment (5) Portfolio investmentBalance on financial account [(4) + (5) + (6)]Overall balance (5.1) Equity securities (5.2) Debt securities Balance on current account [(1) + (2) + (3)] (2.1) Merchandise (2.2) Services(3.3) Factor income (1.1) Merchandise (1.2) Services (1.3) Factor incomeCredits646.03 374.04 62.41 209.585.53 120.693.27 73.70 16.11 57.59 39.514.36 6.17Debits-516.50 -251.66 -111.83 -153.01-14.37 -24.62 -113.73 -14.00 -99.73 -109.35-131.22-6.17(6) Other investment(7) Statistical discrepancies Official Reserve AccountSource: IMF, International Financial Statistics Yearbook, 1999.Note: Capital account in the above table corresponds with the ?Financial account? in IMF?s balance of payment statistics. IMF?s Capital account? is included in ?Other investment? in the above table.IM-5。
国际财务管理课后习题答案chapter
国际财务管理课后习题答案c h a p t e rLast updated on the afternoon of January 3, 2021C H A P T E R8M A N A G E M E N T O F T R A N S A C T I O N E X P O S U R ESUGGESTED ANSWERS AND SOLUTIONS TO END-OF-CHAPTER QUESTIONS ANDPROBLEMSQUESTIONS1. How would you define transaction exposure How is it different from economic exposureAnswer: 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 re ceivable. 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 notAnswer: 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. Us ing 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 $€ and the foreign exchange advisor for Cray Research predicts that th e spot rate is likely to be $€ in six months.(a) What is the expected gain/loss from the forward hedging?(b) If you were the financial manager of Cray Research, would you recommend hedging this euro receivable Why or why not(c) Suppose the foreign exchange advisor predicts that the future spot rate will be the same as the forward exchange rate quoted today. Would you recommend hedging in this case Why or why notSolution: (a) Expected gain($) = 10,000,000 –= 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, .,250m/ = ￥245,700,So 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, = ￥250,000,000/105.The dollar cost of meeting this yen obligation is $2,340, as of today.(b)___________________________________________________________________Transaction CF0 CF1____________________________________________________________________1. Buy yens spot -$2,340,with dollars ￥245,700,2. Invest in Japan - ￥245,700, ￥250,000,0003. Pay yens - ￥250,000,000Net cash flow - $2,340,____________________________________________________________________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 $SF and the three-month forward rate is $SF. You can buy the three-month call option on SF with the exercise rate of $SF for the premium of $ 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 $ = $250. At the expected future spot rate of $SF, which is less than the exercise price, you don’t expect to exercise options. Rather, you expect to buy Swiss franc at $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 $, ., $3,.(b) $3,150 = (.63)(5,000).(c) $3,150 = 5,000x + , where x represents the break-even future spot rate. Solving for x, we obtain x = $SF. Note that at the break-even future spot rate, options will not be exercised.(d) If the Swiss franc appreciates beyond $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, = $3,200 + $.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 $€ and the one -year forward rate is $€. The annual interest rate is % in the U.S. and % 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 borroweuros from theCredit 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) = $22,000,000. In the case of money market hedge (MMH), the firm has to first borrow the PV of its euro receivable, ., 20,000,000/ =€19,047,619. Then the firm should exchange this euro amount into dollars at the current spot rate to receive: (€19,047,619)($€) = $20,000,000, which can be invested at the dollar interest rate for one year to yield:$20,000,000 = $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 = / = $€.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 $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 = $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 $ Cost Options hedge Forward hedge$3, $3,150 0 (strike price) $/SF $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 . 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/(124)= $4,147,465.(b) The option premium is: (.014/100)(500,000,000) = $70,000. Its future value will be $70,000 = $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,.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 $€ and six-month forward exchange rate is $€ at the moment. Airbus can buy a six-month put option on . dollars with a strike price of €$ f or a premium of € per . dollar. Currently, six-month interest rate is % in the euro zone and % in the U.S.pute the guaranteed euro proceeds from the American sale if Airbus decides to hedge usinga forward contract.b.If Airbus decides to hedge using money market instruments, what action does Airbus need totake What would be the guaranteed euro proceeds from the American sale in this casec.d.If Airbus decides to hedge using put options on . dollars, what would be the ‘expected’ europroceeds from the American salee.Assume that Airbus regards the current forward exchange rate as an unbiased predictor of thefuture spot exchange rate.f.g.At what future spot exchange rate do you think Airbus will be indifferent between the option andmoney market hedge?Solution:a. Airbus will sell $30 million forward for €27,272,727 = ($30,000,000) / ($€).b. Airbus will borrow the present value of the dollar receivable, ., $29,126,214 = $30,000,000/, 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, ., €< €, Airbus expects to exercise the option and receive €28,500,000 = ($30,000,000)(€$). This is gross proceeds. Airbus spent €600,000 (=,000,000) upfront for the option and its future cost is equal to €615,000 = €600,000 x . 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, ., €$, or $€. Note that €28,432,732 is the future value of the proceeds under money market hedging:€28,432,732 = (€27,739,251) .Suggested solution for Mini Case: Chase Options, Inc.[See Chapter 13 for the case text]Chase Options, Inc.Hedging Foreign Currency Exposure Through Currency OptionsHarvey A. PoniachekI. Case SummaryThis case reviews the foreign exchange options market and hedging. It presents various international transactions that require currency options hedging strategies by the corporations involved. Seven transactions under a variety of circumstances are introduced that require hedging by currency options. The transactions involve hedging of dividend remittances, portfolio investment exposure, and strategic economic competitiveness. Market quotations are provided for options (and options hedging ratios), forwards, and interest rates for various maturities.II. Case Objective.The case introduces the student to the principles of currency options market and hedging strategies. The transactions are of various types that often confront companies that are involved in extensive international business or multinational corporations. The case induces students to acquire hands-on experience in addressing specific exposure and hedging concerns, including how to apply various market quotations, which hedging strategy is most suitable, and how to address exposure in foreign currency through cross hedging policies.III. Proposed Assignment Solution1. The company expects DM100 million in repatriated profits, and does not want the DM/$ exchange rate at which they convert those profits to rise above . They can hedge this exposure using DM put options with a strike price of . If the spot rate rises above , 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 = DM 1,640,000.With a strike price of DM/$, this would assure the U.S. company of receiving at least:DM 100,000,000 – DM 1,640,000 x (1 + x 272/360)= DM 98,254,544/ DM/$ = $57,796,791by exercising the option if the DM depreciated. Note that the proceeds from the repatriated profits are reduced by the premium paid, which is further adjusted by the interest foregone on this amount. However, if the DM were to appreciate relative to the dollar, the company would allow the option to expire, and enjoy greater dollar proceeds from this increase.Should forward contracts be used to hedge this exposure, the proceeds received would be:DM100,000,000/ DM/$ = $59,790,732,regardless of the movement of the DM/$ exchange rate. While this amount is almost $2 million more than that realized using option hedges above, there is no flexibility regarding the exercise date; if this date differs from that at which the repatriate profits are available, the company may be exposed to additional further current exposure. Further, there is no opportunity to enjoy any appreciation in the DM.If the company were to buy DM puts as above, and sell an equivalent amount in calls with strike price , the premium paid would be exactly offset by the premium received. This would assure that the exchange rate realized would fall between and . If the rate rises above , the company will exercise its put option, and if it fell below , the other party would use its call; for any rate in between, both options would expire worthless. The proceeds realized would then fall between:DM 100,00,000/ DM/$ = $60,716,454andDM 100,000,000/ DM/$ = $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”Profits Call Payoff“Call”Profits Net Profit(1,742,846) 0 1,742,846 60,716,454 60,716,454 (1,742,846) 0 1,742,846 60,716,454 60,716,454 (1,742,846) 0 1,742,846 60,716,454 60,716,454 (1,742,846) 0 1,742,846 60,716,454 60,716,454 (1,742,846) 0 1,742,846 60,716,454 60,716,454 (1,742,846) 60,606,061 1,742,846 0 60,606,061 (1,742,846) 60,240,964 1,742,846 0 60,240,964 (1,742,846) 59,880,240 1,742,846 0 59,880,240 (1,742,846) 59,523,810 1,742,846 0 59,523,810 (1,742,846) 59,171,598 1,742,846 0 59,171,598 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 58,823,529 (1,742,846) 58,823,529 1,742,846 0 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 = 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 A$/$. Since he is willing to forego any further currency appreciation, he can sell A$ calls with a strike price of A$/$ to defray the cost of his hedge (in fact he earns a net premium of A$ 100,000,000 x –= A$ 2,300), while knowing that he can’t receive less than 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 $/A$ @Buy puts for $/A$ @# 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 , fund manager will exercise putIf spot rises above , 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 payoff Australian Dollar Bond HedgeStrikePrice Put Payoff “Put”Principal Call Payoff“Call”Principal Net Profit(75,332) 72,000,000 75,573 0 72,000,241(75,332) 72,000,000 75,573 0 72,000,241(75,332) 72,000,000 75,573 0 72,000,241(75,332) 72,000,000 75,573 0 72,000,241(75,332) 72,000,000 75,573 0 72,000,241(75,332) 72,000,000 75,573 0 72,000,241(75,332) 72,000,000 75,573 0 72,000,241(75,332) 72,000,000 75,573 0 72,000,241(75,332) 72,000,000 75,573 0 72,000,241(75,332) 72,000,000 75,573 0 72,000,241(75,332) 72,000,000 75,573 0 72,000,241(75,332) 72,000,000 75,573 0 72,000,241(75,332) 72,000,000 75,573 0 72,000,241(75,332) 73,000,000 75,573 0 73,000,241(75,332) 74,000,000 75,573 0 74,000,241(75,332) 75,000,000 75,573 0 75,000,241(75,332) 76,000,000 75,573 0 76,000,241(75,332) 77,000,000 75,573 0 77,000,241(75,332) 78,000,000 75,573 0 78,000,241(75,332) 79,000,000 75,573 0 79,000,241(75,332) 80,000,000 75,573 0 80,000,241(75,332) 0 75,573 80,250,000 80,250,241(75,332) 0 75,573 80,250,000 80,250,241(75,332) 0 75,573 80,250,000 80,250,241(75,332) 0 75,573 80,250,000 80,250,241(75,332) 0 75,573 80,250,000 80,250,241 4. 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. For a premium of: 12 million STG x = 193,200 STG,they can assure themselves that adverse movements in the pound sterling exchange rate will notdiminish the profitability of the project (and hence the feasibility of their 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 strike vs. 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 = 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 , 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 ., 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 assumed $100 million in sales.1) Buy yen puts# contracts needed = Expected Sales *Current ￥/$ Rate / Contract size9600 = ($100,000,000)(120￥/$) / ￥1,250,0002) Total Cost = (# contracts)(contract size)(premium)$1,524,000 = (9600)( ￥1,250,000)($￥)3) Floor rate = Exercise – Premium￥/$ = ￥/$ - $1,524,000/12,000,000,000￥4) The payoff changes depending on the level of the ￥/$ rate. The following table summarizes thepayoffs. An equilibrium is reached when the spot rate equals the floor rate.AMC ProfitabilityYen/$ Spot Put Payoff Sales Net Profit120 (1,524,990) 100,000,000 98,475,010121 (1,524,990) 99,173,664 97,648,564122 (1,524,990) 98,360,656 96,835,666123 (1,524,990) 97,560,976 86,035,986124 (1,524,990) 96,774,194 95,249,204125 (1,524,990) 96,000,000 94,475,010126 (1,524,990) 95,238,095 93,713,105127 (847,829) 94,488,189 93,640,360128 (109,640) 93,750,000 93,640,360129 617,104 93,023,256 93,640,360130 1,332,668 92,307,692 93,640,360131 2,037,307 91,603,053 93,640,360132 2,731,269 90,909,091 93,640,360133 3,414,796 90,225,664 93,640,360134 4,088,122 89,552,239 93,640,360135 4,751,431 88,888,889 93,640,360136 5,405,066 88,235,294 93,640,360137 6,049,118 87,591,241 93,640,360138 6,683,839 86,966,522 93,640,360139 7,308,425 86,330,936 93,640,360140 7,926,075 85,714,286 93,640,360141 8,533,977 85,106,383 93,640,360142 9,133,318 84,507,042 93,640,360143 9,724,276 83,916,084 93,640,360144 10,307,027 83,333,333 93,640,360145 10,881,740 82,758,621 93,640,360146 11,448,579 82,191,781 93,640,360147 12,007,707 81,632,653 93,640,360148 12,569,279 81,081,081 93,640,360149 13,103,448 80,536,913 93,640,360150 13,640,360 80,000,000 93,640,360The parent has a DM payable, and Lira receivable. It has several ways to cover its exposure; forwards,。
国际财务管理作业及答案
1.若美元对人民币的即期汇率为￥7.9/$，6个月的远期汇率为￥7.8/$，已知中国6个月存款利率为2.9%，美元6个月存款利率为 4.2%。
如果投资者有一笔美元（假定100万美元），你认为应该到哪投资？为什么？答：我认为应该投资中国。
如果100万美元直接存在美国银行中：6个月到期值＝$100×（1＋4.2%×6/12）＝$102.1（万元）如果100万美元按即期汇率换成人民币，存入中国银行，按远期汇率将人民币到期值换成美元：6个月到期值＝$100×7.9×（1＋2.9%×6/12）÷7.8＝$102.75（万元）$102.75－102.1＝$0.65（万元）在中国投资比在美国投资增加收入$6500。
2.论述交易风险管理的范围和策略，并选择某一方法展开论述。
3.国内某企业按9%的利率取得一笔期限为1年的100万港币。
企业收到该比款项后将其兑换为人民币并向供应商支付货款，此时汇率为￥1.02/HK$，一年后偿还时汇率为￥0.96/HK$，该企业所负担的所得税税率为40%。
要求：（1）计算港元的汇率变动率；（2）分别计算该企业考虑和不考虑所得税下的借款实际融资成本。
解：（1）汇率变动率＝（0.96－1.02）/1.02＝-5.88％（2）不考虑所得税，实际融资成本＝（1＋9％）×（1－5.88％）－1＝2.59％考虑所得税，实际融资成本=[（1＋9％）×（1－5.88％）－1]×（1－40％）=1.55％4.为什么国际直接投资决策时大多数公司以母公司为评价主体？答：（1）流向母公司现金流量受到税收差异、外汇管制、收费过量和汇率变动等的影响，与子公司现金流量不同。
税收差异——子公司所取得的收益要汇回母公司，而母公司与子公司面临的税率可能存在差异。
当母公司所在国对汇回的收益课以高税，子公司的可行项目在母公司看来该是不可行的。
国际财务管理课后习题答案chapter-8
国际财务管理课后习题答案chapter-8CHAPTER 8 MANAGEMENT OF TRANSACTION EXPOSURE SUGGESTED ANSWERS AND SOLUTIONS TO END-OF-CHAPTER QUESTIONS ANDPROBLEMSQUESTIONS1. How would you define transaction exposure? How is it different from economic exposure?Answer: T ransaction 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 eliminateIM-1the 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 shareho lders, 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.IM-29. 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.IM-3PROBLEMS1. 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 fo reign 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.IM-4To 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, you 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 ofIM-5buying 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.IM-6IM-7(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:$20,000,000(1.06) = $21,200,000.Clearly, the firm can receive $800,000 more by using forward hedging.$ Co Options Forward $3,453.75 $3,150 0 0.0.64 (strike$/S $253.75(b) According to IRP, F = S(1+i$)/(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.IM-8(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 use d, 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 $1.10/€ at the moment. Airbus can buy a six-month put option on U.S. dollars witha strike price of €0.95/$ for a premium of €0.02 per U.S. dollar. Curr ently, six-month interest rate is2.5% in the euro zone and3.0% in the U.S.pute the guaranteed euro proceeds from the American sale if Airbus decides to hedge usinga forward contract.b.If Airbus decides to hedge using money market instruments, what action does Airbus need totake? 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’ europroceeds 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 between the optionand money market hedge?Solution:a. Airbus will se ll $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 amo unt 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 isIM-9gross 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 opt ion 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 $1.0327/€. Note that €28,432,732 is the futu re value of the proceeds under money market hedging:€28,432,732 = (€27,739,251) (1.025).Suggested solution for Mini Case: Chase Options, Inc.[See Chapter 13 for the case text]Chase Options, Inc.Hedging Foreign Currency Exposure Through Currency OptionsHarvey A. PoniachekI. Case SummaryThis case reviews the foreign exchange options market and hedging. It presents various international transactions that require currency options hedging strategies by the corporations involved. Seven transactions under a variety of circumstances are introduced that require hedging by currency options. The transactions involve hedging of dividend remittances, portfolio investment exposure, and strategic economic competitiveness. Market quotations are provided for options (and options hedging ratios), forwards, and interest rates for various maturities.II. Case Objective.The case introduces the student to the principles of currency options market and hedging strategies. The transactions are of various types that often confront companies that are involved in extensive international business or multinational corporations. The case induces students to acquire hands-on experience in addressing specific exposure and hedging concerns, including how to apply various market quotations, which hedging strategy is most suitable, and how to address exposure in foreigncurrency through cross hedging policies.III. Proposed Assignment Solution1. The company expects DM100 million in repatriated profits, and does not want the DM/$ 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 $2 million more than that realized using option hedges above, there is no flexibility regarding the exercise date; if this date differs from that at which the repatriate profits are available, the company may be exposed to additional further current exposure. Further, there is no opportunity to enjoy any appreciation in the DM.If the company were to buy DM puts as above, and sell an equivalent amount in calls with strike price 1.647, the premium paid would be exactly offset by the premium received. This would assure that the exchange rate realized would fall between 1.647 and 1.700. If the rate rises above 1.700, the company will exercise its put option, and if it fell below 1.647, the other party would use its call; for any rate in between, both options would expire worthless. The proceeds realized would then fall between:DM 100,00,000/1.647 DM/$ = $60,716,454andDM 100,000,000/1.700 DM/$ = $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”Profits Call Payoff“Call”Profits Net Profit1.60 (1,742,846) 0 1,742,846 60,716,454 60,716,454 1.61 (1,742,846) 0 1,742,846 60,716,454 60,716,454 1.62 (1,742,846) 0 1,742,846 60,716,454 60,716,454 1.63 (1,742,846) 0 1,742,846 60,716,454 60,716,454 1.64 (1,742,846) 0 1,742,846 60,716,454 60,716,454 1.65 (1,742,846) 60,606,061 1,742,846 0 60,606,061 1.66 (1,742,846) 60,240,964 1,742,846 0 60,240,964 1.67 (1,742,846) 59,880,240 1,742,846 0 59,880,240 1.68 (1,742,846) 59,523,810 1,742,846 0 59,523,810 1.69 (1,742,846) 59,171,598 1,742,846 0 59,171,598 1.70 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.71 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.72 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.73 (1,742,846) 58,823,529 1,742,846 0 58,823,5291.74 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.75 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.76 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.77 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.78 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.79 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.80 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.81 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.82 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.83 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.84 (1,742,846) 58,823,529 1,742,846 0 58,823,529 1.85 (1,742,846) 58,823,529 1,742,846 0 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 payoff Australian Dollar Bond HedgeStrikePrice Put Payoff “Put”Principal Call Payoff“Call”Principal Net Profit0.60 (75,332) 72,000,000 75,573 0 72,000,2410.61 (75,332) 72,000,000 75,573 0 72,000,2410.62 (75,332) 72,000,000 75,573 0 72,000,2410.63 (75,332) 72,000,000 75,573 0 72,000,2410.64 (75,332) 72,000,000 75,573 0 72,000,2410.65 (75,332) 72,000,000 75,573 0 72,000,2410.66 (75,332) 72,000,000 75,573 0 72,000,2410.67 (75,332) 72,000,000 75,573 0 72,000,2410.68 (75,332) 72,000,000 75,573 0 72,000,2410.69 (75,332) 72,000,000 75,573 0 72,000,2410.70 (75,332) 72,000,000 75,573 0 72,000,2410.71 (75,332) 72,000,000 75,573 0 72,000,2410.72 (75,332) 72,000,000 75,573 0 72,000,2410.73 (75,332) 73,000,000 75,573 0 73,000,2410.74 (75,332) 74,000,000 75,573 0 74,000,2410.75 (75,332) 75,000,000 75,573 0 75,000,2410.76 (75,332) 76,000,000 75,573 0 76,000,2410.77 (75,332) 77,000,000 75,573 0 77,000,2410.78 (75,332) 78,000,000 75,573 0 78,000,2410.79 (75,332) 79,000,000 75,573 0 79,000,2410.80 (75,332) 80,000,000 75,573 0 80,000,2410.81 (75,332) 0 75,573 80,250,000 80,250,2410.82 (75,332) 0 75,573 80,250,000 80,250,2410.83 (75,332) 0 75,573 80,250,000 80,250,2410.84 (75,332) 0 75,573 80,250,000 80,250,2410.85 (75,332) 0 75,573 80,250,000 80,250,2414. 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 asa 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. For a 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 of their 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 valu e of AMC’s sales. I have assumed $100 million in sales.1) Buy yen puts# contracts needed = Expected Sales *Current ¥/$ 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 table summarizes thepayoffs. An equilibrium is reached when the spot rate equals the floor rate.AMC ProfitabilityYen/$ Spot Put Payoff Sales Net Profit 120 (1,524,990) 100,000,000 98,475,010 121 (1,524,990) 99,173,664 97,648,564 122 (1,524,990) 98,360,656 96,835,666 123 (1,524,990) 97,560,976 86,035,986 124 (1,524,990) 96,774,194 95,249,204 125 (1,524,990) 96,000,000 94,475,010 126 (1,524,990) 95,238,095 93,713,105 127 (847,829) 94,488,189 93,640,360 128 (109,640) 93,750,000 93,640,360 129 617,104 93,023,256 93,640,360 130 1,332,668 92,307,692 93,640,360 131 2,037,307 91,603,053 93,640,360 132 2,731,269 90,909,091 93,640,360 133 3,414,796 90,225,664 93,640,360 134 4,088,122 89,552,239 93,640,360 135 4,751,431 88,888,889 93,640,360 136 5,405,066 88,235,294 93,640,360 137 6,049,118 87,591,241 93,640,360 138 6,683,839 86,966,522 93,640,360 139 7,308,425 86,330,936 93,640,360 140 7,926,075 85,714,286 93,640,360 141 8,533,977 85,106,383 93,640,360 142 9,133,318 84,507,042 93,640,360 143 9,724,276 83,916,084 93,640,360 144 10,307,027 83,333,333 93,640,360 145 10,881,740 82,758,621 93,640,360 146 11,448,579 82,191,781 93,640,360 147 12,007,707 81,632,653 93,640,360 148 12,569,279 81,081,081 93,640,360 149 13,103,448 80,536,913 93,640,360。
(完整word版)国际财务管理课后习题答案chapter4
CHAPTER 4 CORPORATE GOVERNANCE AROUND THE WORLDSUGGESTED ANSWERS AND SOLUTIONS TO END-OF-CHAPTERQUESTIONS AND PROBLEMSQuestions1.The majority of major corporations are franchised as public corporations. Discuss the key strengthand weakness of the ‘public corporation’. When do you think the public corporation as an organizational form is unsuitable?Answer: The key strength of the public corporation lies in that it allows for efficient risk sharing among investors. As a result, the public corporation may raise a large sum of capital at a relatively low cost. The main weakness of the public corporation stems from the conflicts of interest between managers and shareholders.2.The public corporation is owned by multitude of shareholders but managed by professional managers.Managers can take self-interested actions at the expense of shareholders. Discuss the conditions under which the so-called agency problem arises.Answer: The agency problem arises when managers have control rights but insignificant cash flow rights. This wedge between control and cash flow rights motivates managers to engage in self-dealings at the expense of shareholders.3.Following corporate scandals and failures in the U.S. and abroad, there is a growingdemand for corporate governance reform. What should be the key objectives ofcorporate governance reform? What kind of obstacles can there be thwarting reformefforts?Answer: The key objectives of corporate governance reform should be to strengthen shareholder rights and protect shareholders from expropriation by corporate insiders, whether managers or large shareholders. Controlling shareholders or managers do not wish to lose their control rights and thus resist reform efforts.4.Studies show that the legal protection of shareholder rights varies a great deal acrosscountries. Discuss the possible reasons why the English common law traditionprovides the strongest and the French civil law tradition the weakest protection ofinvestors.Answer: In civil law countries, the state historically has played an active role in regulating economic activities and has been less protective of property rights. In England, control of the court passed from the crown to the parliament and property owners in seventeenth century. English common law thus became more protective of property owners, and this protection was extended to investors over time.5.Explain ‘the wedge’ between the control and cash flow rights and discuss its implications forcorporate governance.Answer: When there is a separation of ownership and control, managers have control rights with insignificant cash flow rights, whereas shareholders have cash flow rights but no control rights. This wedge gives rise to the conflicts of interest between managers and shareholders. The wedge is the source of the agency problem.6.Discuss different ways that dominant investors use to establish and maintain the control of thecompany with relatively small investments.Answer: Dominant investors may use: (i) shares with superior voting rights, (ii) pyramidal ownership structure, and (iii) inter-firm cross-holdings.7.The Cadbury Code of the Best Practice adopted in the United Kingdom led to a successful reform ofcorporate governance in the country. Explain the key requirements of the Code and discuss how it may have contributed to the success of reform.Answer: The Code requires that chairman of the board and CEO be held by two different individuals, and that there should be at least three outside board members. The recommended board structure helped to strengthen the monitoring function of the board and reduce the agency problem.8.Many companies grant stocks or stock options to the managers. Discuss the benefitsand possible costs of using this kind of incentive compensation scheme.Answer: Stock options can be useful for aligning the interest of managers with that of shareholders and reduce the wedge between managerial control rights and cash flow rights. But at the same time, stock options may induce managers to distort investment decisions and manipulate financial statements so that they can maximize their benefits in the short run.9.It has been shown that foreign companies listed in the U.S. stock exchanges are valued more thanthose from the same countries that are not listed in the U.S. Explain the reasons why U.S.-listed foreign firms are valued more than those which are not. Also explain why not every foreign firm wants to list stocks in the United States.Answer: Foreign companies domiciled in countries with weak investor protection can bond themselves credibly to better investor protection by listing their stocks in U.S. exchanges that are known to provide a strong investor protection. Managers of some companies may not wish to list shares in U.S. exchanges, subjecting themselves to stringent disclosure and monitoring, for fear of losing their control rights and private benefits.。
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《国际财务管理》章后练习题第一章【题1—1】某跨国公司A，2006年11月兼并某亏损国有企业B。
B企业兼并时账面净资产为500万元，2005年亏损100万元（以前年度无亏损），评估确认的价值为550万元。
经双方协商，A 跨国公司可以用以下两种方式兼并B企业。
甲方式：A公司以180万股和10万元人民币购买B企业（A公司股票市价为3元/股）；乙方式：A公司以150万股和100万元人民币购买B企业。
兼并后A公司股票市价3.1元/股。
A公司共有已发行的股票2000万股（面值为1元/股）。
假设兼并后B企业的股东在A公司中所占的股份以后年度不发生变化，兼并后A公司企业每年未弥补亏损前应纳税所得额为900万元，增值后的资产的平均折旧年限为5年，行业平均利润率为10%。
所得税税率为33%。
请计算方式两种发方式的差异。
【题1—1】答案（1）甲方式：B企业不需将转让所得缴纳所得税；B 企业2005年的亏损可以由A公司弥补。
A公司当年应缴所得税=（900-100）×33%=264万元，与合并前相比少缴33万元所得税，但每年必须为增加的股权支付股利。
（2）乙方式：由于支付的非股权额（100万元）大于股权面值的20%（30万元）。
所以，被兼并企业B应就转让所得缴纳所得税。
B企业应缴纳的所得税=（150 ×3 + 100- 500）×33% = 16.5（万元）B企业去年的亏损不能由A公司再弥补。
（3）A公司可按评估后的资产价值入帐,计提折旧,每年可减少所得税(550-500)/5×33%=3.3万元。
【题1—2】东方跨国公司有A、B、C、D四个下属公司，2006年四个公司计税所得额和所在国的所得税税率为：A公司：500万美元 33%B公司：400万美元 33%C公司：300万美元 24%D公司：-300万美元 15%东方公司的计税所得额为-100万美元，其所在地区的所得税税率为15%。
请从税务角度选择成立子公司还是分公司？【题1—2】答案（1）若A、B、C、D为子公司A公司应纳所得税额=500×33%=165（万美元）B公司应纳所得税额=400×33%=132（万美元）C公司应纳所得税额=300×24%=72（万美元）D公司和总公司的亏损留作以后年度弥补。
东方跨国公司2006年度合计应纳所得税额=165+132+72=369（万美元）（2）若A、B、C、D为分公司分公司本身不独立核算，那么，各分支机构的年度计税所得额都要并入总机构缴纳所得税，其应纳所得税的计算为：500+400+300-300-100）×15%=120（万美元）企业合并纳税，一是各自之间的亏损可以弥补，二是由于总机构位于低税率地区，汇总纳税可以降低税率，节税249万美元（369-120）。
第二章【题2—1】以下是2006年8月×日人民币外汇牌价（人民币/100外币）：货币汇买价汇卖价日元 6.816 6.8707美元 795.37 798.55港币 102.29 102.68欧元 1013.01 1021.14英镑 1498.63 1510.67澳元 604.35 609.2加元 715.12 720.87瑞郎 640.65 645.79要求：计算600欧元可以兑换多少人民币？100人民币可以兑换多少日元？100美元可以兑换多少英镑？10加元可以兑换多少澳元？200瑞士法郎可以兑换多少欧元？500港元可以兑换多少美元？【题2—1】答案：600×￥10.1301/€＝￥6078.18￥100÷￥0.068707/JP￥＝JP￥1455.46$100×￥7.9537/$÷￥15.1067/￡＝￡52.65C$10×￥7.1512/C$÷￥6.092/AU$＝AU$11.7387SFr200×￥6.4065/÷￥10.2114/€＝€125.48HK$500×￥1.0229/HK$÷￥7.9855/$＝$64.05【题2—2】2005年9月8日$1＝￥8.890，2006年9月8日$1＝￥7.9533。
要求：计算人民币升值百分比和美元贬值百分比。
答案：【题2—3】某日伦敦外汇市场￡1＝HK$14.6756-94，3个月远期汇率点数248－256。
要求，根据远期报价点数计算远期汇率数。
【题2—3】答案：HK$14.6756＋0.0248＝HK$14.7004HK$14.6794＋0.0256＝HK$14.7050远期汇率报价点数为HK$14.7004-50【题2—4】某日，纽约市场1美元＝1.2130－45欧元，法兰克福市场1英镑＝1.5141－53欧元，伦敦市场1英镑＝1.3300－20美元。
套汇者拟用200万英镑进行间接套汇。
要求：分析该套汇者是否能通过套汇获得收益？如何进行套汇？如果进行套汇，计算其套汇收益（或损失）。
【题2—4】答案：（1）可以进行套汇交易。
因为：根据法兰克福市场与伦敦市场的汇率套算：美元与欧元的套算汇率为：€1.5153/￡÷$1.3300/￡＝€1.1393/$——假定欧元换英镑，再换成美元。
而：纽约市场美元换欧元汇率为：€1.2130/$。
存在汇率差。
（2）可以采用英镑——美元——欧元——英镑方式。
即：伦敦市场：英镑换美元：￡200×1.33＝$266（万元）纽约市场：美元换欧元：$266×1.213＝€322.658（万元）法兰克福市场：欧元换英镑：€322.658÷1.5153＝￡212.933413（万元）（3）套汇获利￡129 334.13。
￡2 129 334.13－2 000 000＝￡129 334.13第三章【题3—1】如果预期的通货膨胀率是75%，收益率为3%，根据费雪效应求名义利率是多少？【题3—1】答案：名义利率＝[1＋0.75]×[1＋0.03]－1＝80.25%【题3—2】假设美国和墨西哥两国都只生产一种商品即大豆，大豆在美国的价格为$2.74，而在墨西哥的价格为₤1.28。
要求：计算a.根据一价定理，$对₤的远期汇率是多少？b.假设下一年的大豆价格预期会上升，在美国将是$3．18，而在墨西哥是₤1．55，一年后$对₤的即期汇率是多少？【题3—2】答案：A：$对₤的汇率＝1.28÷2.74＝是₤0.4672/$B：$对₤的远期汇率＝1.55÷3.18＝是₤0.4874/$【题3—3】英镑与美元的汇率期初为$0.861/￡，期末为$0.934/￡，请分别计算美元相对于英镑的汇率变动幅度和英镑相对于美元的汇率变动幅度。
【题3—3】答案：【题3—4】假设美国的5年期年利率为6%，瑞士法郎5年期年利率为4%，利率平价在5年内存在。
如果瑞士法郎的即期汇率为0.82美元。
要求计算：a.瑞士法郎5年期远期汇率升水或贴水。
b.用远期汇率预测法预测5年后瑞士法郎的即期汇率。
【题3—4】答案：（1）瑞士法郎5年期远期汇率升水。
（2）瑞士法郎5年期预期汇率＝$0.82/SFr×（1＋6%）5÷（1＋4%）5＝0.82×1.3382÷1.2167＝$0.90/SFr【题3—5】2006年9月1日，某跨国公司收到了摩根大通和高盛对未来6个月后人民币与美元汇率的预测，结果分别是￥7.66/$和￥7.74/$。
目前即期汇率为￥7.86/$，三个月远期汇率为￥7.81/$。
在2006年12月1日，即期汇率实际是￥7.83/$。
问：a.哪家公司的预测更为准确？b.哪家公司的预测导致了正确的财务决策？【题3—5】答案：高盛的预测更为准确。
第四章【题4—1】法国某跨国公司预计在6月份（3个月后）有一笔150万的欧元应付账款，同月该公司有一笔美元收入，可以用于支付此笔应付账款。
已知欧元的即期汇率为$1.0450/€，3个月远期汇率$1.0650/€。
公司担心欧元相对于美元的价值将继续上升，决定使用期货交易锁定美元成本。
请回答：（1）该公司应该购买还是出售3个月欧元期货合约？为什么？（2）该公司需要购买或者出售多少份欧元期货合约?（3）该公司6月份应该如何操作？（假定当时欧元的即期汇率是$1.0900/€，期货价格为$1.0950/€）（4）与不进行期货交易保值相比，公司可降低多少美元成本？【题4—1】答案：（1）预计未来欧元升值，为锁定美元成本，应该购买欧元期货合约；（2）公司需要购买欧元期货合约份数：€1 500 000÷€125 000/份＝12份（3）6月份公司应以$1.0950/€的价格出售12份欧元期货合约，轧平欧元期货头寸。
同时在即期市场上以$1.0900/€汇率出售已经收到的美元，买进150万的欧元，支付应付账款。
（4）如果不进行期货交易保值，公司在即期市场购买150万欧元的美元成本为：1 500 000×$1.0900/€＝$1 635 000进行期货交易保值，公司购买150万欧元的美元成本为：1 500 000×（$1.0900/€＋$1.0650/€－$1.0950/€）＝$1 590 000公司降低美元成本：$1 635 000－$1 590 000＝$45 000【题4—2】某公司正在考虑从费城交易所购买3个月期的英镑看涨期权合约，金额为￡250 000。
协定价格为$1.51/￡，期权费为每英镑0.03美元。
假定：目前的即期汇率为$1.48/￡，三个月远期汇率为$1.51/￡。
该公司预测三个月后即期汇率最高为$1.57/￡，最低为$1.44/￡，最可能的汇率是$1.52/￡。
要求：（1）计算盈亏平衡点价格。
（2）用图表表述该公司期权行使与否决策。
（3）计算在预测的范围内，该公司的收益或损失。
【题4—2】答案（1）盈亏平衡点价格＝$1.51/￡＋0.03＝$1.54/￡（2）该公司期权行使与否决策图。
（3-1）当即期外汇市场价格＝$1.57/￡，超过协定价格，行使期权，有收益。
计算如下收益＝￡250 000×（$1.57/￡－$1.54/￡）＝$7 500（3-2）当即期外汇市场价格＝$1.52/￡，高于协定价格，行使期权，有损失，损失低于期权费$7500。
计算如下：损失＝￡250 000×（$1.54/￡－$1.52/￡）＝$5 000（3-2）当即期外汇市场价格＝$1.44/￡，低于协定价格，放弃行使期权，损失期权费$7500。
【题4—3】英国瑞达公司20××年3月根据已经签订的合同及现金预算确定，3个月后（6月份）有美元净收入40元。