Ch008 Management of Transaction ExposureWord文档下载推荐.docx
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Ch008 Management of Transaction ExposureWord文档下载推荐.docx
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ToHedgeorNottoHedge
1Transactionexposureisdefinedas:
a)thesensitivityofrealizeddomesticcurrencyvaluesofthefirm’scontractualcashflowsdenominatedinforeigncurrenciestounexpectedexchangeratechanges
b)theextenttowhichthevalueofthefirmwouldbeaffectedbyunanticipatedchangesinexchangerate
c)thepotentialthatthefirm’sconsolidatedfinancialstatementcanbeaffectedbychangesinexchangerates
d)expostandexantecurrencyexposures
Answer:
a)
2Themostdirectandpopularwayofhedgingtransactionexposureisby:
a)exchange-tradedfuturesoptions
b)currencyforwardcontracts
c)foreigncurrencywarrants
d)borrowingandlendinginthedomesticandforeignmoneymarkets
b)
3Ifyouhavealongpositioninaforeigncurrency,youcanhedgewith:
a)Ashortpositioninanexchange-tradedfuturesoption
b)Ashortpositioninacurrencyforwardcontract
c)Ashortpositioninforeigncurrencywarrants
d)borrowing(notlending)inthedomesticandforeignmoneymarkets
4
Ifyouaforeigncurrencydenominateddebt,youcanhedgewith:
a)Alongpositioninacurrencyforwardcontract
b)Alongpositioninanexchange-tradedfuturesoption
c)Buyingtheforeigncurrencytodayandinvestingitintheforeigncounty.
d)Botha)andc)
d)
5Thesensitivityof“realized”domesticcurrencyvaluesofthefirm’scontractualcashflowsdenominatedinforeigncurrencytounexpectedchangesintheexchangerateis:
a)Transactionexposure
b)Translationexposure
c)Economicexposure
d)Noneoftheabove
6Thesensitivityofthefirm’sconsolidatedfinancialstatementstounexpectedchangesintheexchangerateis:
7Theextenttowhichthevalueofthefirmwouldbeaffectedbyunexpectedchangesintheexchangerateis:
c)
8Withanyhedge
a)Yourlossesononesideshouldaboutequalyourgainsontheotherside.
b)Youshouldtrytomakemoneyonbothsidesofthetransaction:
thatwayyoumakemoneycomingandgoing.
c)Youshouldspendatleastasmuchtimeworkingthehedgeasworkingtheunderlyingdealitself.
d)Youshouldagreetoanythingyourbankerputsinfrontofyourface.
9SupposethatBoeingCorporationexportedaBoeing747toBritishAirwaysandbilled£
10millionpayableinoneyear.Themoneymarketinterestratesandforeignexchangeratesaregivenasfollows:
TheU.S.one-yearinterestrate:
6.10%perannum
TheU.K.one-yearinterestrate:
9.00%perannum
Thespotexchangerate:
$1.50/£
Theone-yearforwardexchangerate
$1.46/£
AssumethatBoeingsellsacurrencyforwardcontractof£
10millionfordeliveryinoneyear,inexchangeforapredeterminedamountofU.S.dollar.Whichofthefollowingis(orare)true?
OnthematuritydateofthecontractBoeingwill:
(i)
havetodeliver£
10milliontothebank(thecounterpartyofthecontract)
(ii)
takedeliveryof$14.6million
(iii)
haveazeronetpoundexposure
(iv)
haveaprofit,oraloss,dependingonthefuturechangesintheexchangerate,fromthisBritishsale
a)(i)and(iv)
b)(ii)and(iv)
c)(ii),(iii),and(iv)
d)(i),(ii),and(iii)
d)
10SupposethatBoeingCorporationexportedaBoeing747toBritishAirwaysandbilled£
10millionfordeliveryinoneyear,inexchangeforapredeterminedamountofU.S.dollar.Supposethatonthematuritydateoftheforwardcontract,thespotrateturnsouttobe$1.40/£
(i.e.lessthantheforwardrateof$1.46/£
).Whichofthefollowingistrue?
a)Boeingwouldhavereceived$14.0million,ratherthan$14.6million,haditnotenteredintotheforwardcontract
b)Boeinggained$0.6millionfromforwardhedging
c)a)andb)
d)noneoftheabove
11
Usethefollowingtableforexchangeratedata.
YourfirmisaU.K.-basedexporterofBritishbicycles.YouhavesoldanordertoanItalianfirmfor€1.000.000worthofbicycles.PaymentfromtheItalianfirm(in€)isdueintwelvemonths.Yourfirmwantstohedgethereceivableintopounds.Notdollars.
Country
U.S.$equiv.
CurrencyperU.S.$
Tuesday
Monday
Britain(Pound)£
62,500
1.6000
1.6100
0.625
0.6211
1MonthForward
1.6300
0.6173
3MonthsForward
1.6600
0.6024
6MonthsForward
1.7200
0.5814
12MonthsForward
1.8000
0.5556
Euro€62,500
1.2000
0.833333
1.2100
0.82645
1.2300
0.813008
1.2600
0.793651
1.2900
1.3200
0.775194
0.7575758
Detailastrategyusingforwardcontractsthatwillhedgeyourexchangeraterisk.Haveanestimateofhowmanycontractsofwhattype.
a)Borrow€970,873.79inoneyearyouowe€1m,whichwillbefinancedwiththereceivable.Convert€970,873.79todollarsatspot,receive$1.165.048,54.Convertdollarstopoundsatspot,receive£
728.155.34.
b)Sell€1mforwardusing16contractsat$1.20per€1.Buy£
750,000forwardusing12contractsat$1.60per£
1
c)Sell€1mforwardusing16contractsattheforwardrateof$1.29per€1.
d)Sell€1mforwardusing16contractsattheforwardrateof$1.29per€1.Buy£
750,000forwardusing12contractsattheforwardrateof$1.72per£
Rationale:
Sell€1mforwardusing16contracts,
attheforwardrateof$1.29per€1.Thisresultsin$1,290,000whichisworth£
750.000attheforwardrateof$1.72perpound.Buy£
750.000forwardusing12contracts,
attheforwardrateof$1.72per£
1.
12AJapaneseEXPORTERhasa€1,000,000receivabledueinoneyear.Spotandforwardexchangeratedataisgiveninthetable:
Spotexchangerates
1-yearForwardRates
Contractsize
$1.20=€1.00
$1.25=€1.00
€62,500
$1.00=¥
100
120
¥
12,500,000
Theone-yearriskfreeratesarei$=4.03%;
i€=6.05%;
andi¥
=1%.Detailastrategyusingforwardcontractsthatwillhedgeexchangeraterisk.
a)Borrow€970,873.79today;
inoneyearyouowe€1m,whichwillbefinancedwiththereceivable.Convert€970,873.79todollarsatspot,receive$1,165,048.54.Convertdollarstoyenatspot,receive¥
116,504,854.
b)Sell€1mforwardusing16contractsattheforwardrateof$1.20per€1.Buy¥
150,000,000forwardusing11.52contracts,attheforwardrateof$1.00=¥
120.
c)Sell€1mforwardusing16contractsattheforwardrateof$1.25per€1.Buy¥
150,000,000forwardusing12contracts,attheforwardrateof$1.00=¥
c)
attheforwardrateof$1.25per€1.Thisresultsin$1,250,000whichisworth¥
150,000,000attheforwardrateof$1.00=¥
120:
.Buy¥
150mforwardusing
contracts,attheforwardrateof$1.00=¥
13YourfirmhasaBritishcustomerthatiswillingtoplacea$1millionorder,butwantstopayinpoundsinsteadofdollars.Thespotexchangerateis$1.85=£
1.00andtheone-yearforwardrateis$1.90=£
1.00.Theleadtimeontheorderissuchthatpaymentisdueinoneyear.Whatisthefairestexchangeratetouse?
a)$1.85=£
1.00
b)$1.8750=£
c)$1.90=£
d)noneoftheabove
Paymentisdueinoneyear.Iftheyhavetopayindollars,theycanhedgewithaforwardcontractattherateof$1.90=£
14
YourfirmisaU.K.-basedexporterofBritishbicycles.YouhavesoldanordertoanAmericanfirmfor$1,000,000worthofbicycles.PaymentfromtheAmericanfirm(inU.S.dollars)isdueinsixmonths.Detailastrategyusingforwardcontractsthatwillhedgeyourexchangeraterisk.
1.8100
0.5525
1.8300
0.5464
1.8600
0.5376
1.8200
0.5495
a)Goshort12six-monthforwardcontracts;
pay£
555,600.
b)Goshort16six-monthforwardcontracts.Payapproximately£
537,600
c)Golong12six-monthforwardcontracts.Receiveapproximately£
549,500.
d)Golong16six-monthforwardcontracts;
raiseapproximately£
Buy£
537,634.41(alongpositioninthecontract)forwardusing12contracts,
attheforwardrateof$1.86per£
1;
£
537,634.41=$1,000,000×
1/$1.86
15YourfirmisaU.S.-basedexporterofbicycles.YouhavesoldanordertoaFrenchfirmfor€1,000,000worthofbicycles.PaymentfromtheFrenchfirm(ineuro)isdueinthreemonth
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