CHAPTER 8 Management of Transaction ExposureWord下载.docx

CHAPTER 8 Management of Transaction ExposureWord下载.docx

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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=£

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.Paymentfromt