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❖Answer: Because at the indifferentห้องสมุดไป่ตู้future
spot rate, so €28,432,732.316 = ST (30,000,000) - €615,000. ST = €0.9683/$ or $1.0327/€
谢谢观赏
1.Compute the guaranteed euro proceeds form the American Sale if Airbus decides to hedge using a forward contract
Answer:$30000000/($1.10/€)=€27272727.273
❖Answer: Since the expected future spot rate
is less than the strike price of the put option: $1.10/€ = €0.909/$ < €0.95/$ So Airbus expects to exercise the option ❖ Income : €28,500,000 =($30,000,000)*(€0.95/$) ❖ Option cost : €615,000 = €0.02*30000000* 1.025 ❖ Thus the net euro proceeds :
€28432732.316=€27739251.04*1.025
❖ So the euro proceeds will be €28432732.316
❖3.If Airbus decides to hedge using put options on US dollars, what would be the “expected” euro proceeds form the American sale? Assume that Airbus regards the current forward exchange rate as an unbiased predictor of the future spot exchange rate.
❖ Step3: invest €27739251.04 in the euro zone
❖ Step4: collect $30000000 from Delta Airlines and use it to repay the dollar loan
❖ Step5: receive the maturity value of the pound investment , that is
€27,885,000 = €28,500,000 — €615,000
4.At what future spot exchange do you think Airbus will be indifferent between the option and money market hedge?
So the euro proceeds will be €27272727.273
❖2. If Airbus decides to hedge using money market instruments, what action does Airbus need to take? What would be the guaranteed euro proceeds form the American sale in this case?
Page:213 MINI CASE
陈燕华 2111207102 房小雪 2111207104 李召凤 2111207111 祁媛媛 2111207117 邱卫 2111207118
Airbus’ Dollar Exposure
Airbus sold an A400 aircraft to Delta Airlines a US company and billed $30 million payable in six months. Airbus is concerned exchange risk. The current spot exchange rate is $1.05/ € and the sixmonth forward exchange rate is $1.10/ €.Airbus can buy a six-month put option on US dollars with a strike price of €0.95/$ for a premium of €0.02 per US dollar. Currently, six-month interest rate is 2.5 percent in the euro zone and 3.0 percent in the United States.
❖ Answer:
❖ Step1: borrow $29126213.592
(=$30000000/(1+3%))
❖ Step2: convert $29126213.592 into €27739251.04 at the current spot exchange rate of $1.05/€
spot rate, so €28,432,732.316 = ST (30,000,000) - €615,000. ST = €0.9683/$ or $1.0327/€
谢谢观赏
1.Compute the guaranteed euro proceeds form the American Sale if Airbus decides to hedge using a forward contract
Answer:$30000000/($1.10/€)=€27272727.273
❖Answer: Since the expected future spot rate
is less than the strike price of the put option: $1.10/€ = €0.909/$ < €0.95/$ So Airbus expects to exercise the option ❖ Income : €28,500,000 =($30,000,000)*(€0.95/$) ❖ Option cost : €615,000 = €0.02*30000000* 1.025 ❖ Thus the net euro proceeds :
€28432732.316=€27739251.04*1.025
❖ So the euro proceeds will be €28432732.316
❖3.If Airbus decides to hedge using put options on US dollars, what would be the “expected” euro proceeds form the American sale? Assume that Airbus regards the current forward exchange rate as an unbiased predictor of the future spot exchange rate.
❖ Step3: invest €27739251.04 in the euro zone
❖ Step4: collect $30000000 from Delta Airlines and use it to repay the dollar loan
❖ Step5: receive the maturity value of the pound investment , that is
€27,885,000 = €28,500,000 — €615,000
4.At what future spot exchange do you think Airbus will be indifferent between the option and money market hedge?
So the euro proceeds will be €27272727.273
❖2. If Airbus decides to hedge using money market instruments, what action does Airbus need to take? What would be the guaranteed euro proceeds form the American sale in this case?
Page:213 MINI CASE
陈燕华 2111207102 房小雪 2111207104 李召凤 2111207111 祁媛媛 2111207117 邱卫 2111207118
Airbus’ Dollar Exposure
Airbus sold an A400 aircraft to Delta Airlines a US company and billed $30 million payable in six months. Airbus is concerned exchange risk. The current spot exchange rate is $1.05/ € and the sixmonth forward exchange rate is $1.10/ €.Airbus can buy a six-month put option on US dollars with a strike price of €0.95/$ for a premium of €0.02 per US dollar. Currently, six-month interest rate is 2.5 percent in the euro zone and 3.0 percent in the United States.
❖ Answer:
❖ Step1: borrow $29126213.592
(=$30000000/(1+3%))
❖ Step2: convert $29126213.592 into €27739251.04 at the current spot exchange rate of $1.05/€