国际会计课后题答案第七章,第八章整理版

一、讨论题7.1比照本章引述的金融工具的3个定义，说明各自的特点。

经济学家和金融界所举的定义都把金融工具界定为金融领域运用的单证：史密斯的定义把金融工具表述为“对其他经济单位的债权凭证和所有权凭证”，而《银行与金融百科全书》的定义中列举了金融领域运用的各种单证。

FASB和IASC所下的定义基础是一致的，都把金融工具界定为现金、合同权利或义务及权益工具。

IASC 的定义较清晰，在指明金融工具是“形成个企业的金融资产并形成另一企业的金融负债或权益工具的合同”后，又分别就金融资产、金融负债和权益工具下了定义。

7.2比照本章引述的衍生金融工具的4个定义，说叫各自的特点。

OECD的定义指叫衍生金融工具是“一份双边合约或支付交换协议”，ISDA定义中的表述是“有关互换现金流量和旨存为交易名转移风险的双边合同”。

后名的表述更清晰。

两个定义都着币指明衍生金融工具价值的“衍生性”，并指明可作为衍生价值的基础的标的。

两者都列举了各种不同的标的。

FASB和IASC所下的定义基本上是致的，更便于作为衍生金融工具交易的会计处理所依据的概念。

讨论时可参照教本中归纳的6项最基本的特征展开〔本章教学要点〔二〕第3点中的(2)也有简括的表述〕。

7.3区分金融资产和负债与非金融资产和负债项日是否等同于区分货币性资产和负债与非货币性资产和负债项日？请予以说明。

不等同。

形成收取或支付现金或另金融资产的合同权利或义务，是金融资产和负债的最摹本的特征，以此〔合同权利或义务〕区别于非金融资产和负债〔参阅教术7 2 1〕，而货币性资产和负债与非货币性资产和负债的区分则是根据这些项目对通货膨胀影响或汇率变动的不同反应而作出的。

二者是完全不相下的两种分类法。

更为币要的是，不要把“货币性金融资产和负债”与“货币性资产和负债”这两个概念相混淆。

前名是指“将按固定或可确定的金额收取或支付的金融资产和金融负债”，只是金融资产和金融负债的特定类别。

7.4衍生金融工具品目繁多，但其基本形式不外乎：(1)远期合同；(2)期货合同：〔3)期权合同：(4)互换〔掉期〕合同。

国际会计第七版英文版课后答案（第七章）预览说明:预览图片所展示的格式为文档的源格式展示,下载源文件没有水印,内容可编辑和复制Chapter 7Financial Reporting and Changing PricesDiscussion Questions Solutions1.Historical-based financial statements may be misleading during periods of significant inflation.Many resources may have been acquired in periods when the purchasing power of the monetary unit was much higher. These expenses then typically are deducted from revenues that reflect current purchasing power. The resulting income number is unintelligible. Another problem for statement readers is that the value of assets recorded at their historical acquisition cost is typically understated as a result of inflation. Understated asset values produce understated expenses and overstated earnings.Financial trends are also difficult to interpret, as trend statistics generally include monetary units of different purchasing power. A positive trend in sales may be due to price changes, not real increases in sales.2. A price index is a cost ratio, that is, the ratio of a representative “basket” of goods and servicesconsumed by an average family, compared to the price of that same basket in a benchmark (“base”) year. The price index is invaluable in enabling a statement reader to translate sums of money paid in the past to their current purchasing power equivalents.3.This statement is partly true and shows the confusion thatsurrounds inflation accounting. Inaccounting for changing prices, users must distinguish between general price changes and specific price changes. General prices refer to the prices of all goods and services in the economy. The object of accounting for general price level changes is to preserve the general purchasing power of a company’s money capital. Specific price changes refer to changes in the prices of specific commodities. The object of accounting for specific price changes is to preserve a company’s productive capacity or operating capability.4.The congressman is wrong. The object of inflation accounting is to clarify the distinction betweencapital and income, not to minimize corporate taxes. Inflation accounting shows how much money the company can pay in expenses, taxes, and dividends, while keeping enough resources to maintain its capital.5.Although it is generally conceded in principle that price level-adjusted financial statements are moreuseful than conventional accounting statements during periods of significant inflation, it is a judgment call to identify exactly when price level-adjusted statements become more meaningful. Asa rule of thumb, executives in Brazil use an inflation rate greater than 10 % per month. Investors inGermany or Switzerland may believe that 5 % inflation per year is alarming. Unfortunately, no one has yet developed a formal, rigorous, easy-to-apply definition of meaningfulness.How does one determine whether the benefits of price level-adjusted accounting information exceed the costs? While the costs to generate such information can be measured, it is muchharder to quantify the benefits. Financial accounting deals with information produced by business enterprises for use by external decision makers. Consequently, measurement of the benefits of price level-adjusted information must cover all user groups in an economy. Multiple user groups, uneven distributions of benefits (both within and between groups), and favorable economy-wide spillover effects of price level information complicate the task. Adding international dimensions makes the problem even worse.6.The U.S. approach resembles the price-level adjusted current cost model, whereas the U.K.approach embraces the current cost model. While both require disclosure of the impact ofchanging prices on monetary items, the U.S. approach basically uses the general price level index to compute monetary gains and losses, whereas the U.K. employs specific prices changes by way of its gearing adjustment.1.The International Accounting Standards Board sanctions use of the general price level model orthe current cost framework. Whichever method is employed, these inflation adjustments must be expressed in terms of constant purchasing power as of the balance sheet date. Purchasing powergains or losses are to be included in current income. Firms adjusting their accounts for changingprices must disclose, at a minimum: a) the fact that end-of-period purchasing power adjustmentshave been made, b) the asset valuation framework employed in the primary financial statements,c) the type of inflation index or indexes employed and theirlevel at the end of the period as wellas their movements during the period, and d) the net purchasing power gain or loss on netmonetary items held during the period. Given the options that are available, analysts mustunderstand the differences between the approved inflation accounting methods to be able tocompare companies choosing one option over the other and to assure proper interpretation ofinflation adjusted amounts.2.The historical cost-constant dollar model measures the impact of general price level changes on afirm's reported performance and financial position. The current cost model examines the impact of specific price changes on enterprise income and wealth.The two measurement frameworks are similar in that both attempt to clarify the distinction between capital and income. They differ in reporting objectives. Whereas the historical cost/constant dollar model attempts to preserve the general purchasing power of a firm's original money capital, the current cost model attempts to preserve an entity's physical capital or productive capacity.3.Your authors think that restating foreign and domestic accounts to their current cost equivalentsproduces information that is far more helpful to investor decisions than historical cost methods, whether or not adjusted for changes in general price levels. Such information provides a performance measure that signals the maximum amount of resources that enterprises can distribute without reducing their productive capacity. It also facilitates comparisons ofconsolidated data.10. The gearing adjustment is an inflation adjustment that partially offsets the additional charges toincome associated with assets whose values are restated for inflation (e.g., higher depreciation and cost of sales). This adjustment recognizes that borrowers generally gain from inflation because they can repay their debts with currency of reduced purchasing power. Hence, it is unnecessary to recognize the higher replacement cost of inventory and plant and equipment in the income statement so far as they are financed by debt.11. Accounting for foreign inflation differs from accounting for domestic inflation in two major ways.First, foreign rates of inflation often are higher than domestic rates, which increases potential distortions in an entity's reported results from changing prices. Second, as foreign exchange rates and differential national rates of inflation are seldom perfectly negatively correlated, care must be taken to avoid double-dipping when consolidating the results of foreign operations.12.Double-dipping refers to methods that count the effects of foreign inflation twice in reportedearnings. Earnings are reduced once when cost of sales is adjusted upwards for inflation, andagain when inventories are translated to domestic currency using a current exchange rate, whichyields a translation loss. Since the change in the exchange rate itself was caused by inflation, the result is a double charge for inflation.Exercise Solutions1.This exercise is a good way to test students’ understanding of the various approaches toaccounting for changin g prices. Vestel’s earnings numbers are based on the general price levelmodel whereas Infosys is measuring its performance based on a current cost framework. Modello goes a step further and adjusts its current cost statements for changes in the general price level.Some may feel that current cost data, which is based on the notion of replacement costs, is toosubjective a notion to be reliable. Since general price level data are based on general price level indices, the numbers appearing in Vestel’s income statement are much more objective andfacilitates comparisons among companies using a similar methodology. Moreover, Vestel’sstatements do not violate the historical cost doctrine. Others will argue that the value of stockinvestments are based on discounted future cash flows. Accordingly, the current cost framework provided by Infosys is more germane to investor decisions as it measures the amount of earnings that could be distributed as dividends without reducing the firm’s future dividend gen eratingpotential. Moreover, current cost earnings, including the gearing adjustment , reflects how thefirm is impacted by prices that are more germane to the firm, as opposed to the general public.Some will argue that Modello’s income statement combin es the best of both worlds. However,there is merit to the argument that the income statementshould measure the performance of thefirm and that this is best accomplished with the current cost framework. Since individualinvestors are affected by the g eneral price level, they should adjust their share of a firm’s current cost earnings distributions for general inflation.2. a.Income Statement Historical Price Level Historical Cost-Cost Adjustment Constant Dollar Revenue MXP 144,000,000 420/340 MXP 177,882,353 Operating expenses (86,400,000) 420/340 (106,729,412) Depreciation (36,000,000) 420/263 (57,490,494)Operating income MXP 21,600,000 MXP 13,662,447a Monetary gains(losses) - (73,248,759)Net income MXP 53,280,000 MXP(59,586,312)Balance SheetCash MX(P 157,600,000 420/420 MXP 157,600,000Land 180,000,000 420/263 287,452,471Building 720,000,000 420/263 1,149,809,885Acc. Depreciation (36,000,000) 420/263 (57,490,494)Total MXP 1,021,600,000 MXP 1,537,371,862Owners' equity(beg.) MXP1,000,000,000 rolled forward b MXP 1,596,958,174Net income (loss) 21,600,000 (59,586,312)Owner's equity MXP 1,021,600,000 MXP 1,537,371,862(end)a Monetary loss:CashBeginning balance 1,000,000,000 420/263 1,596,958,174 Purchase ofreal estate ( 900,000,000) 420/263 (1,437,262,356)Rental revenues 144,000,000 420/340 177,882,353Operating expenses (86,400,000) 420/340 106,729,412)157,600,000 230,848,759-157,600,000 Monetary loss (73,248,759)b Beginning equity x price level adjustment = adjusted amount= P 1,000,000,000 x 420/263 = P 1,596,958,1742.b.Cost HC/Constant DollarReturn on Assets 21,600,000 (59,586,312)1,021,600,000 1,537,371,862= 2.1% = -3.9%Cost-based profitability ratios tend to provide a distorted (overstated) picture of a company's operating performance during a period of inflation.3.20X7 20X8Cash MJR 2,500 MJR 5,100Current liabilities (1,000) (1,200)LT-Debt (3,000) (4,000)Net monetary liabilities MJR (1,500) MJR (100)Zonolia Enterprise’s net monetary liability position changed by MJR1,400 during the year (MJR100) –(MJR1,500).4.Nominal Restate for ConstantMJR’s Majikstan GPL MJR’sNet monetary liab.'s MJR 1,500 x 32,900/30,000 = MJR1,645 12/31/X7Decrease during year (1,400) = (1,400)Net monetary liab.'s MJR 100 x 32,900/36,000 = MJR 9112/31/X8Monetary (general purchasing power) gain MJR 1545. Historical Current Cost Current Income Statement Cost Adjustment Cost Revenues MXP 144,000,000 - MXP 144,000,000 Operating expenses 86,400,000 - 86,400,000 Depreciation (36,000.000) 1.8 64,800,000 Net Income (loss) MXP 21,600,000 MXP (7,200,000)Balance SheetCash MXP 157,600,000 - P 157,600,000 Land 180,000,000 1.9 342,000,000 Building 720,000,000 1.8 1,296,000,000 Acc. Depreciation (36,000,000) 1.8 (64,800,000) Total MXP1,021,600,000 MXP 1,730,800,000 Owners' Equity Beg. Balance MXP1,000,000,000 MXP 1,000,000,000 OE revaluation a - 738,000,000Net income (loss) 21,600,000 (7,200,000) Total MXP1,021,600,000 MXP 1,730,800,000a Revaluation of land MXP 162,000,000Revaluation of building 576,000,000MXP 738,000,0006. Solution in 000,000's:MJR8,000 X 137.5/100.0 = MJR11,00020X7 20X8Current cost MJR8,000 MJR11,000Acc. depreciation (1,600) (3,300)aNet current cost MJR6,400 MJR7,700a Current cost depreciation = MJR800 X 137.5/100.0 = 1,100per year for 3 years.7. As no new assets were acquired during the year, we must determine to what extent the MJR3,000 increase in the current cost of Zonolia's equipment exceeded the change in the general price level during the year. The appropriate calculation follows: MJR11,000 - [MJR8,000 X 36,000/30,000]= MJR11,000 - MJR9,600= MJR1,400Alternatively, if we follow the FASB’s sug gested methodology, where calculations are expressed in average (20X8) dollars, current cost depreciation would be computed by reference to the average current cost of the related assets. Thus, Current cost, 12/31/X7 MJR8,000,000Current cost, 12/31/X8 11,000,000MJR19,000,000Average current cost MJR19,000,000/2 = MJR9,500,000Current cost depreciation at 10% = MJR950,000Increase in current cost of equipment, net of inflation (000's): Current Restate for Current cost/Cost Inflation Constant Zonos Current cost, net12/31/X7 MJR6,400 X 32,900/30,000 MJR7,019Depreciation (950) (950)Current cost, net12/31/X8 7,700 X 32,900/36,000 7,037MJR 2,250 MJR968The increase in the current cost of equipment, net of inflation is MJR968. The difference between the nominal renge amount (MJR2,250) and constant renges (MJR968) is the inflation component of the equipment's current cost increase.8. Restate-translate method:Constant Translate $ Equivalentsrenges of constantrengesIncrease in currentcost of equip., netof inflation MJR968,000 X 1/4,800 = $202Translate-restate method:CC (MJR) Translate CC ($) Restate CC/ Constant $U.S. GPLCC, net MJR 6,400,000 x 1/4,800 = $1,333 x 292.5/281.5 = $1,38512/31/X7Dep. (950,000) x 1/4,800 = (198) = (198)CC, net 7,700,000 x 1/4,800 = 1,604 x 292.5/303.5 = 1,54612/31/X8MJR 2,250,000 $ 469 $ 3599.20X7 20X8￡m ￡mTrade receivables 242 270-Trade payables (170) (160)Net monetary working capital 72 110Change in monetary working capital = ￡38 (￡110 - ￡72) Nominal Restate for Constant￡British PPI ￡Net monetary W/C 72 X 110/100 = 79.212/31/20X7Increase during year 38 = 38.0Net monetary W/C 110 X 110/120 = 100.812/31/20X8Monetary working capital adjustment = (16.4)aa This amount is added to the current cost adjustments for depreciation and cost of sales because trade receivables exceeded trade payables, thus tying up working capital in an asset that lost purchasing power.Gearing adjustment:[(TL – CA)/(FA + I + MWC)] [CC Dep. Adj. + CC Sales Adj. + MWCA]where TL = total liabilities other than trade payablesCA = current assets other than trade receivables and inventoryFA = fixed assets including investmentsI = inventoryMWC = monetary working capitalCC Dep. Adj. = current cost depreciation adjustmentCC Sales adj. = current cost of sales adjustmentMWCA = monetary working capital adjustment= [(128 – 75)/(479 + 220 + 110] [￡m 216]= [.066 ] [216]= ￡14.3The only number I could readily identify in problem 9 is inventory of 220. The next number I could come close on is fixed assets. Looks like the solution above says 479, the text for 08 indicates 473. I could not see where the 110 (MWC) came from. Neither is it clear where the other 3 items in brackets came from. The solution needs to be clearer before I can check the numbers.This gearing adjustment of ￡14.3 million is subtracted from the current cost of sales and depreciation adjustments. It represents the purchasing power gain from using debt to finance part of the firm's operating assets.a.Nominal Thai Historical Translation U.S.baht inflation c ost/constant rate dollaradjustment baht equivalentInven-tory BHT500,000 x 100/200 = BHT250,000 x .02 = $5,000b.Nominal Translation U.S. U.S. Historicalbaht rate dollar inflation c ost/constantequivalent adjustment dollarsInven-tory BHT500,000 x .02 = 10,000 x 180/198 = $9,090Sorry this seems confusing compared to number 2 where the year end index was in the numerator and either the beginning or average index was in the denominator (e.g. 420/340 or 420/263). It is not clear why we do the opposite here where the Thai price level doubles and we put the 200 in the denominator and 100 in the numerator.c. Most students will prefer the restate-translate method. This approach has merit if general and specific pricelevels move in tandem. If not, neither approach is satisfactory as both are based on a historical cost valuation framework that is generally irrelevant for investment decisions.d. For reasons enumerated in this chapter, we favor restating local currency assets for specific price changesand then translating these current cost equivalents to dollars using the current exchange rate.11. We assume that Doosan Enterprises translates its inventory at the current rate and adjusts its cost ofsales for inflation by simulating what it would have been ona LIFO basis. Two adjustments are necessarybecause local inflation impacts exchange rates used to translate foreign currency inventory balances to dollars.With FIFO inventories, a translation loss is recorded in "as reported" earnings when it is originally translatedto U.S. dollars by a current exchange rate that changed (devalued) during the period. This translation loss isan indirect charge for local inflation. The inflation adjustment (simulated LIFO charge) to increase "as reported" cost of sales to a current cost basis is an additional charge for inflation. Absent some offsettingentry, consolidated results would be charged twice for inflation. To avoid this double charge, the translation loss embodied in reported earnings is deducted from the simulated LIFO charge to arrive at a net U.S. dollarcurrent cost of sales adjustment. Steps in the adjustment process are as follows:1. FIFO inventory subject to simulated LIFO charge KRW10,920,0002. Restate line 1 to January 1 currency units(KRW10,920,000 x 100/120). The result is anapproximation of December 31 LIFO inventory KRW9,100,0003. Difference between FIFO and LIFO inventorybalances (line 1 minus line 2) is the additionallira LIFO expense (current cost adjustment)for the current year. KRW1,820,0004. Translate line 3 to dollars at the January 1exchange rate (KRW1,820,000 ÷ 900). The resultis the additional dollar LIFO expense for thecurrent year $ 2,0225. Calculate the translation loss on FIFO inventory(line 1) that has already been reflected in "asreported" results:a. Translate line 1 at Januaryexchange rate (KRW10,920,000 ÷ KRW900) $ 12,133b. Translate line 1 at December 31exchange rate (L 10,920,000 ÷ KRW1,170) $ 9,333c. The difference is the translationloss in “as reported” results $ (2,800)6. The difference between lines 4 and 5c isthe cost of sales adjustment in dollars:a. Additional dollar LIFO expense fromline 4. $ 2,022b. Less: Inventory translation loss alreadyreflected in "as reported” results (fromline 5c) $ (2,800)c. The difference is the net dollar currentcost of sales adjustment $ (778)Here, the current cost of sales adjustment is negative (i.e., reduces the dollar cost of sales adjustment). This is because the won devalued by more than the differential inflation rate (assuming a U.S. inflation rate close to zero). If the lira devalued by less than the differential inflation rate, the cost of sales adjustment would have been positive.12.1. Cost of fixed assets at 12/31 EUR20,0002. FIFO inventory at 12/31 EUR 8,0003. Total EUR28,0004. Less: Owners' equity at 12/31 EUR 2,0005. Liabilities used to financefixed assets and inventory EUR26,0006. Restate liabilities to beginningof period markka (EUR26,000 X300/390) EUR20,0007. Purchasing power gain EUR 6,0008. Purchasing power gain inpounds (EUR 6,000/EUR 1.5) ￡4,0009. Translation gain on appliedliabilities(EUR 26,000/EUR 1.5 -EUR26,000/EUR1.95) ￡4,00010. Net purchasing power gain ￡ -0-In this case the translation gain on liabilities used to finance nonmonetary assets equals the purchasing power gain because the currency devaluation matched the differential inflation of 30%. Hence, no purchasing power gains would be recognized.Case 7-1 SolutionCase 7.1 Kashmir Enterprises1.a–cHistorical Price Level HistoricalCost Adjustment Cost ConstantIncome Statement RupeesRevenues INR6,000,000 160/144 I NR6,666,667Cost of Sales 2,560,000 160/128 3,200,000Selling & Admin. 1,200,000 160/144 1,333,333Depreciation 160,000 160/128 200,000Interest 240,000 160/160 240,000Monetary gains (losses)a - 741,666Net Income INR1,840,000 INR2,435,000Balance SheetCash INR2,480,000 160/160 I NR2,480,000 Inventory 480,000 160/128 600,000Building 3,200,000 160/128 4,000,000Accu. depreciation (160,000) 160/128 (200,000) Total INR6,000,000 INR6,880,000Accounts payable INR 620,000 160/160 I NR 620,000 Notes payable 2,400,000 160/160 2,400,000 Owners' equity 2,980,000 3,860,000INR 6,000,000 INR6,880,000a Monetary gains/(losses):CashBeg. balance INR 720,000 160/128 INR1,150,000 Down payment (800,000) 160/128 (1,000,000) Sales 6,000,000 160/144 6,666,667Selling & Adm. exp. (1,200,000) 160/144 (1,333,333) Payment on account (2,200,000) 160/144 (2,444,444) Interest (240,000) 160/160 (240,000)INR 2,480,000 INR2,798,890-2,480,000Monetary loss INR (318,890)a Monetary gains and losses:Accounts PayableBeg. balance INR 420,000 160/128 INR525,000 Purchases 2,400,000 160/128 3,000,000Payments on account (2,200,000) 160/144 (2,444,444) INR 620,000 INR1,080,556- 620,000Monetary gain INR 460,556a Monetary gains/(losses):Notes PayablePurchase warehouse INR 2,400,000 160/128 INR 3,000,000 - 2,400,000Monetary gain INR 600,000Net monetary loss: INR(318,890) + INR460,556 + INR600,000 = INR741,666.Current Cost Financial StatementsHistorical Adjustment Current Cost Income Statement Cost F actor EquivalentsRevenues INR6,000,000 - INR 6,000,000Cost of Sales 2,560,000 1.3 3,328,000Selling and adm. 1,200,000 - 1,200,000Depreciation 160,000 1.4 224,000Interest 240,000 - 240,000Net Income INR 1,840,000 INR1,008,000Balance SheetCash INR 2,480,000 - INR 2,480,000Inventory 480,000 1.3 624,000Building 3,200,000 1.4 4,480,000Acc. depreciation 160,000 1.4 224,000Total INR 6,000,000 INR 7,360,000Accounts payable INR 620,000 - INR 620,000Notes payable 2,400,000 - 2,400,000Owners' equity 2,980,000 4,340,000INR 6,000,000 INR 7,360,0002. Your authors favor current cost over historical or historical cost/constant dollar financial statements. Finance theory states that investors are interested in a firm's dividend-generating potential, as the value of their investment depends on future cash flows. A firm's dividend-generating potential, in turn, is directly related to its productive capacity. Unless a firm preserves itsproductive capacity or physical capital(e.g.,plant, equipment, inventories), dividends can’t be sustained over time. Under these circumstances, current cost financial statements give investors information important to their decisions. They show the maximum resources that a firm can distribute to investors without impairing its operating capability.3.Translate-Restate MethodBalance Sheet, Jan. 1Local Currency Trans. Dollar Inflation Historical costRate Equivalents Adjustment Constant $Cash INR 920,000 .025 $23,000 - $23,000Inventory 640,000 .025 16,000 - 16,000 Total INR1,560,000 $39,000 $39,000A/P INR 420,000 .025 $10,500 - $10,500 Owners' equity 1,140,000 .025 28,500 - 28,500 Total INR 1,560,000 $39,000 $ 39,000Income StatementDec. 31Revenues INR 6,000,000 .022 $ 132,000 108/104 $ 137,077 Cost of sales 2,560,000 .022 56,320 108/100 60,825Selling & Adm. 1,200,000 .022 26,400 108/104 27,415 Depreciation 160,000 .022 3,520 108/100 3,802 Interest 240,000 .022 5,280 108/108 5,280Net Income INR 1,840,000 $ 40,480 $ 39,755 Monetary gains (losses)a - - 4,468$44,223a Monetary gains/(losses):CashBeg. Bal INR 920,000 .02 $ 18,400 108/100 $ 19,872Downpayment (800,000) .02 (16,000) 108/100 (17,280) Sales 6,000,000 .02 120,000 108/104 124,615Selling & Adm. (1,200,000) .02 (24,000) 108/104 (24,923)Payments on Acc. (2,200,000) .02 (44,000) 108/104 (45,692) Interest (240,000) .02 (4,800) 108/108 (4,800)INR 2,480,000 $ 49,600 51,792-49,600Monetary loss $ (2,192) Accounts PayableBeg. Bal. INR 420,000 .02 $ 8,400 108/100 $ 9,072Purchases 2,400,000 .02 48,000 108/100 51,840Pmt. on acc. (2,200,000) .02 (44,000) 108/104 45,692INR 620,000 $ 12,400 $ 15,592- 12,400Monetary gain $ 2,820Notes payablePur. W/house Rpe 2,400,000 .02 $ 48,000 108/100 $ 51,840 48,000Monetary gain $ 3,840Netmonetary gain: $(2,192) + $2,820 + $3,840 = $4,468.Balance Sheet Local Trans. Dollar Inflation Historical cost- Dec. 31 Currency Rate Equiv. Adjustment Constant $Cash INR 2,480,000 .02 48,600 108/108 $ 48,600 Inventory 480,000 .02 9,600 108/100 10,368 Building 3,200,000 .02 64,000 108/100 69,120Acc. Dep. 160,000 .02 3,200 108/100 3,456Total INR 6,000,000 $120,000 $ 124,632Acc. payable 620,000 .02 12,400 108/108 $ 12,400Notes payable 2,400,000 .02 48,000 108/108 48,000Trans. adj.b - (9,380) (9,978)Owners' equity c 2,980,000 68,980 74,210Total INR 6,000,000 $120,000 $124,632________________________________________________________________ __b Translation adjustment:Beginning net assets Rpe 1,140,000 (.02 - .025) = $ (5,700) X 108/100 = $(6,156)Increase in net assets Rpe 1,840,000 (.02 - .022) = (3,680) X 108/104 = $(3,822)$(9,380) $(9,978) c Balancing residualRestate - Translate MethodBalance Sheet Local Inflation Historical Cost- Trans. D ollar Jan 1. Currency Adjustment Constant rupee Rate equivalents Cash INR 920,000 128/128 INR 920,000 .025 $ 23,000 Inventory d 640,000 128/128 640,000 .025 16,000Total INR1,560,000 INR1,560,000 $ 39,000Acct. payable INR 420,000 128/128 INR 420,000 .025 $ 10,500Owner's equity 1,140,000 1,140,000 28,500Total INR 1,560,000 INR 1,560,000 $ 39,000d Assumes inventory acquired near year-end.Income StatementYear ended Dec. 31Revenues INR 6,000,000 160/144 INR 6,666,666 .022 $ 146,667Cost of Sales 2,560,000 160/128 3,200,000 .022 70,400 Selling & Adm. 1,200,000 160/144 1,333,333 .022 29,333 Depreciation 160,000 160/128 200,000 .022 4,400Interest 240,000 160/160 240,000 .022 5,280Net Income INR1,840,000 INR1,693,334 $ 37,254 Monetary gains(losses)a- 741,666 .022 16,317INR2,435,000 $ 53,571Balance SheetDec. 31Cash INR 2,480,000 160/160 INR 2,480,000 .02 $ 49,600Inventory 480,000 160/128 600,000 .02 12,000Building 3,200,000 160/128 4,000,000 .02 80,000Acc. deprec. 160,000 160/128 200,000 .02 4,000Total INR 6,000,000 INR 6,880,000 $137,600Acc. payable INR620,000 160/160 INR 620,000 .02 $ 12,400 Notes payable 2,400,000 160/160 2,400,000 .02 48,000Owner's equity 2,980,000 3,860,000 87,770 Translation adj.b - (10,570)Total INR 6,000,000 INR 6,880,000 $137,600________________________________________b Beginning net assets INR1,140,000 (.02 - .025) = $ (5,700)Change in net assets 2,435,000 ).02 - .022) = $(4,870)$(10,570)Both methods are inadequate for American investors because they are based on the historical cost valuation framework. A better reporting procedure is to restate local accounts to their current cost equivalents, then translate these amounts to the reporting currency using the year-end (current) foreign exchange rate. This is illustrated here.Restate (current cost)/Translate (current rate)Cash INR 920,000 - INR 920,000 .025 $ 23,000Inventory 640,000 - 640,000 .025 16,000Total INR 1,560,000 INR1,560,000 $ 39,000Acc. payable INR 420,000 - INR 420,000 .025 $ 10,500Owner's equity 1,140,000 - 1,140,000 28,500。

国际会计课后题答案版 Pleasure Group Office【T985AB-B866SYT-B182C-BS682T-STT18】第1章国际会计的形成与发展一、讨论题为什么说市场国际化，特别是货币市场和资本市场的国际化是会计国际化的主要推动力国际贸易和国际经济技术合作，促使会计成为一种国际商业语言。

特别是国际货币市场和资本市场的兴起向进入市场的贷款人或筹资者提出了应提供在国际间可比且可靠的财务信息的要求（即国际财务报告趋同化的要求），更成为会计国际化的主要推动力。

跨国公司是否在百分之百地推动会计国际化说明你的观点。

不是。

跨国公司对推动会计国际化有其两面性：一方面，基于其跨国经营和国际筹资的需要，他们希望通过会计国际化来缩小和协调国别差异；另一方面，他们又十分重视利用各国现存的会计差异来谋取财务利益。

后者也推动了各国会计模式和重要会计方法的国际比较研究。

（注意：“会计国际化”大体上与“会计的国际协调化”概念一致，而与国际会计研究中的“国别会计”观点对立）会计随商业活动的扩展而传播，你同意这种说法吗从历史发展的进程谈谈你的看法。

同意。

可主要就前殖民帝国的会计向其原殖民地传播、工业革命后西方会计的发展及在世界范围内的广泛传播以及第二次世界大战以后美国会计的影响在一定程度上主宰着世界各地的会计发展等历史事实，加以讨论。

哪些特定会计方法具有国际性质把外币交易和外币报表的折算引入会计领域，是会计国际化带来的独特问题。

它与由此引发的跨国企业合并和国际合并财务报表与外币折算相互关联和制约的问题，以及各国的物价变动影响在国际合并财务报表中如何处理和调整的问题，从20世纪70年代以来，就成为国际会计研究中既需协调一致但又矛盾重重的“三大难题”。

在世纪之交，金融工具（特别是衍生工具）的创新引发的会计处理问题，给传统的会计概念和实务带来了巨大的冲击，成为各国会计准则机构联合攻关、仍未妥善解决的难题。

此外，国际税务会计也是值得关注的课题。

国际会计课后题答案整理版第1章国际会计的形成与发展一、讨论题1.1 为什么说市场国际化，特别是货币市场和资本市场的国际化是会计国际化的主要推动力？国际贸易和国际经济技术合作，促使会计成为一种国际商业语言。

特别是国际货币市场和资本市场的兴起向进入市场的贷款人或筹资者提出了应提供在国际间可比且可靠的财务信息的要求（即国际财务报告趋同化的要求），更成为会计国际化的主要推动力。

1.2 跨国公司是否在百分之百地推动会计国际化？说明你的观点。

不是。

跨国公司对推动会计国际化有其两面性：一方面，基于其跨国经营和国际筹资的需要，他们希望通过会计国际化来缩小和协调国别差异；另一方面，他们又十分重视利用各国现存的会计差异来谋取财务利益。

后者也推动了各国会计模式和重要会计方法的国际比较研究。

（注意：“会计国际化”大体上与“会计的国际协调化”概念一致，而与国际会计研究中的“国别会计”观点对立）1.3 会计随商业活动的扩展而传播，你同意这种说法吗？从历史发展的进程谈谈你的看法。

同意。

可主要就前殖民帝国的会计向其原殖民地传播、工业革命后西方会计的发展及在世界范围内的广泛传播以及第二次世界大战以后美国会计的影响在一定程度上主宰着世界各地的会计发展等历史事实，加以讨论。

1.4 哪些特定会计方法具有国际性质？把外币交易和外币报表的折算引入会计领域，是会计国际化带来的独特问题。

它与由此引发的跨国企业合并和国际合并财务报表与外币折算相互关联和制约的问题，以及各国的物价变动影响在国际合并财务报表中如何处理和调整的问题，从20世纪70年代以来，就成为国际会计研究中既需协调一致但又矛盾重重的“三大难题”。

在世纪之交，金融工具（特别是衍生工具）的创新引发的会计处理问题，给传统的会计概念和实务带来了巨大的冲击，成为各国会计准则机构联合攻关、仍未妥善解决的难题。

此外，国际税务会计也是值得关注的课题。

1.5 你对会计国际化和国家化之间的矛盾及其消长有何看法？会计国际化和国家化的矛盾实际上反映了经济全球化与各国的国家利益之间的矛盾及其消长过程。

国际金融期末复习整理第一章整理：选择整理：1. 《国际收支和国际投资头寸手册》(第六版)将国际收支账户分为( )。

A.经常账户B.资本账户C.储备账户D.金融账户2. 国际收支反映的内容是以交易为基础的，其中交易包括( )。

A.交换B.转移C.移居D.其他根据推论而存在的交易3. 经常账户包括( )。

A.商品的输出和输入B.运输费用C.资本的输出和输入D.财产继承款项4. 下列项目中应记入贷方的是( )。

A.反映进口实际资源的经常项目B.反映出口实际资源的经常项目C.反映资产增加或负债减少的金融项目D.反映资产减少或负债增加的金融项目5.若在国际收支平衡表中，储备资产项目为-100亿美元，表示该国( )。

A.增加了100亿美元的储备B.减少了100亿美元的储备C.人为的账面平衡, 不说明问题D.无法判断6.下列( )账户能够较好地衡量国际收支对国际储备造成的压力。

A. 货物和服务账户差额B.经常账户差额C.资本和金融账户差额D.综合账户差额7.因经济和产业结构变动滞后所引起的国际收支失街属于( )。

A.临时性不平衡B.结构性不平衡C.货币性不平衡D.周期性不平衡E.收入性不平衡8.国际收支顺差会引起( )。

A.外汇储备增加B.国内经济萎缩C.国内通货膨胀D.本币汇率下降判断整理：1.国际收支是一个流量的、事后的概念。

( √)2.国际货币基金组织采用的是狭义的国际收支概念。

( ×)3.资产减少、负债增加的项目应记入借方。

( ×)4.由于一国的国际收支不可能正好收支相抵，因而国际收支平衡表的最终差额绝不恒为零。

( ×)5.理论上说，国际收支的不平衡指自主性交易的不平衡，但在统计上很难做到。

( √)6.因经济增长率的变化而产生的国际收支不平衡，属于持久性失衡。

( √)7.资本和金融账户可以无限制地为经常账户提供融资。

( ×)8.综合账户差额比较综合地反映了自主性国际收支状况，对于全面衡量和分析国际收支状况具有重大意义。

第一章导论2.会计可以被看做是包括三个部分：计量、披露和审计。

这种分类的优点和缺点是什么？你能提出其他有效的分类吗？Advantage: Some might argue that measurement, disclosure, and external auditing are three distinct (although related) processes, involving different members of the company. For example, corporate attorneys often are involved in disclosure issues, but seldom intervene in measurement ssues. The Board of Directors works with the external auditors but not necessarily with the comptroller s office. Thus, discussion of accounting requirements and voluntary accounting choices in different jurisdictions is simplified by focusing on the three components of accounting. Disadvantage: measurement, disclosure and auditing are interdependent, and should not be viewed in isolation of one another. A company choosing to disclose as little as possible, for example, may use accounting measurement approaches that reduce the information content of financial statements, and select an external auditor who will be relatively lenient in enforcing accounting requirements. One alternative classification might include accounting (measurement and disclosure), and auditing. A second classification might include financial reporting (annual and interim reporting, regulatory filings) and ad hoc disclosure (press releases, analyst meetings, etc). Any classification is arbitrary, and potentially useful depending on its purpose.优势：一些人可能认为测量，披露和外部审计是三个不同的（虽然相关）流程，涉及公司的不同成员。

国际会计学第八章课后题答案8.1、会计惯例”与“会计准则”这两个概念是否等同?其关联和区别表现在哪些方面?可以从历史发展的过程阐明其关联和区别。

(1)在长期的历史发展过程中,实务界形成了诸多主体都习惯采用的会计方法，这就是会计惯例。

(2)鉴于这些会计方法相互之间或对同类交易和事项采用的不同会计方法之间,往往存在矛盾乃至相悖之处,不同主体往往根据自身的利益选用不同的会计方法。

在20世纪30年代,美国的会计职业界首先通过对会计惯例的筛选，制定出可作为通用标准的会计准则。

发展至今,这仍是制定会计准则的基本方法。

(3)会计准则可以说是“标准的会计惯例”。

(4)20世纪80年代，美国财务会计准则委员会首先启动制定财务会计概念框架，以指导会计准则的制定工作,使准则的制定从初期的实用主义倾向，转向规范性的寻求概念依据,以此作为筛选不同准则之间和统一准则允许采用的不同会计方法之间矛盾的指导原则。

(5)由此引发了在制定准则时是着重考虑规范性的概念依据，还是着重考虑准则执行的经济后果之争，激化时会导致特定准则的难产，或制定发布的准则不为广大主体所遵循。

社会、经济环境的演变，也导致了原有准则的修订或被取代。

8.2、在资产和负债的确认和计量上的国际协调是否超过国际差异?你认为现存差异还值得关注吗?仍旧超过国际差异,虽然新颁布了会计法,但是在资产负债核算当中许多具备中国特色的条款依旧没有接轨,比如账款的跨年度计量，比如特殊的差旅费用。

这种差异仍旧值得关注，不仅仅对我国GDP核算造成标准不统一。

而且,跨年度核算问题对于进出口贸易的核算的管理造成困难。

今时今日，解决的办法也没有完善。

8.3 在业主权益与分期收益的确定方面,最值得关注的重大差异在哪些方面?其协调前景如何?参阅教材,从3个方面进行阐述:1.收益确定的“总括观念”和“当期经营观念” 2.“收益平稳化”问题;3.由于各国的不同法律要求,股份公司业主权益会计中的诸多差异。

国际会计作业IASB：国际会计准则理事会内涵与背景国际会计准则理事会是制定及批准国际财务报告准则的一个独立私营机构。

国际会计准则理事会在国际财务报告准则基金会的监督下运作。

国际会计准则理事会于2001年成立，取代了先前的国际会计准则委员会。

国际会计准则理事会（International Accounting Standards Board ，简称IASB）。

IASB的前身是国际会计准则委员会（International Accounting Standards committee，简称IASC），在2000年进行全面重组并于2001年初改为国际会计准则理事会。

IASC是由来自澳大利亚、加拿大、法国、德国、日本、墨西哥、荷兰、英国和爱尔兰以及美国的会计职业团体于1973年发起成立的。

从1983年起，作为国际会计师联合会（International Federation of Accountants，简称“IFAC”）成员的所有会计职业团体均已成为IASC的成员。

中国于1998年5月正式加入IASC和国际会计师联合会。

IASC的目标是，制定和发布国际会计准则，促进国际会计的协调。

重组前，国际会计准则制定工作由国际会计准则委员会理事会（IASC Board）承担。

理事会由13个国家的会计职业团体的代表以及不超过4个在财务报告方面利益相关的其他组织的代表组成。

除理事会外，IASC 还成立了咨询团（Consultative Group）、顾问委员会（Advisory Council）和常设解释委员会（Standing Interpretation Committee）三个机构。

咨询团定期开会，与理事会讨论国际会计准则项目中的技术问题、IASC的工作计划及战略，在IASC制定国际会计准则的应循程序（Due Process）以及推动承认国际会计准则方面发挥重要作用。

顾问委员会的作用是提高国际会计准则的可信度，推动国际会计准则广泛承认。

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

国际会计学》课后作业一（红色字为答案）姓名：学号：成绩：A. Explain to the concepts below1. International accountingInternational accounting is an area of accounting which study on how to treat specific accounting practice of a multinational company or how to provide information of an entity to non-domestic readers 国际会计是一种研究如何处理跨国公司具体的会计实务以及如何向非国内读者提供主体信息的会计领域。

2. goodwillGoodwill is capitalized as the difference between fair value of the consideration given in the exchange and the fair values of the underlying net assets acquired.商誉是在交易中得到的对价的公允价值与潜在净资产的公允价值之间的差额的资本化价值。

4.direct quoteThe exchange rate specifies the number of domestic currency units needed to acquire a unit of foreign currency. 汇率指定一定数量的国内货币单位获得一个单位的外国货币所需要的数量。

5.indirect quoteThe exchange rate specifies the price of a unit of the domestic currency in terms of the foreign currency. 汇率指定的以外国货币为单位的国内货币单位的价格。

第5章国际会计协调化■教学目的与要求一、教学目的通过本章和第6章的学习，既要求学生能深刻领会国际会计协调化的含义和当前的强劲趋势，也要求学生了解各种国际性政府间机构（如联合国会计和报告国际准则政府间专家工作组、经济合作与发展组织常设会计准则工作组）、区域性国家联盟（如欧洲联盟）、官方机构国际组织（如证券委员会国际组织）以及民间国际组织（特别是会计职业界的国际组织，如国际会计师联合会和国际会计准则委员会以及区域性会计师联合会）对国际会计协调化所作的努力和成果。

本章介绍除国际会计准则委员会（将在第6章介绍）以外的各主要国际组织的作用和成果。

二、学习要求1．深刻理解国际会计协调化的含义。

2．了解推动国际会计协调化的6个主要国际组织的性质。

3．在推动国际会计协调化的其他国际组织中，关注欧洲会计师联合会和亚太会计师联合会。

4．了解有助于国际会计协调化的其他国际组织。

5．理解联合国会计和报告国际准则政府间专家工作组现今的作用只是推动国际会计协调化的权威性国际论坛。

6．着重理解欧洲联盟是推动国际会计协调化最具成效的区域性国家联盟。

7．了解经济合作与发展组织国际投资和跨国企业委员会及其常设会计准则工作组的活动。

8．了解证券交易委员会国际组织（IOSCO）作为官方机构的国际组织在国际协调中的重要作用。

9．着重理解国际会计师联合会的活动及国际审计准则。

■教学要点、重点与难点一、教学要点（一）国际会计协调化的含义较深入的阐明：1．对国际会计协调化（即会计的国际协调化），至今尚无公认的严谨的定义。

综合各家之说（参见教本），可以把国际会计协调化理解为：（1）国际会计协调化是一个限制和缩小会计差异，形成一套可接受的准则（标准）和惯例的过程；（2）其目的在于促进各国（和地区）的会计实务和财务信息的可比性；（3）国际会计协调化的意图在于归纳不同的会计制度，把多样化的实务组合成能产生共同协作结果的有序结构。

2．国际会计协调化的作用在于：（1）有助于进行国际商贸和经济合作活动；（2）促进了外国企业在国际货币市场融资（特别是在国际资本市场发行证券）时需提供的财务报表的可比性；（3）有利于跨国投资，便于跨国公司合并其分布在世界各地的子公司的财务报表。

第1章国际会计的形成与发展一、讨论题为什么说市场国际化，特别是货币市场和资本市场的国际化是会计国际化的主要推动力国际贸易和国际经济技术合作，促使会计成为一种国际商业语言。

特别是国际货币市场和资本市场的兴起向进入市场的贷款人或筹资者提出了应提供在国际间可比且可靠的财务信息的要求（即国际财务报告趋同化的要求），更成为会计国际化的主要推动力。

跨国公司是否在百分之百地推动会计国际化说明你的观点。

不是。

跨国公司对推动会计国际化有其两面性：一方面，基于其跨国经营和国际筹资的需要，他们希望通过会计国际化来缩小和协调国别差异；另一方面，他们又十分重视利用各国现存的会计差异来谋取财务利益。

后者也推动了各国会计模式和重要会计方法的国际比较研究。

（注意：“会计国际化”大体上与“会计的国际协调化”概念一致，而与国际会计研究中的“国别会计”观点对立）会计随商业活动的扩展而传播，你同意这种说法吗从历史发展的进程谈谈你的看法。

同意。

可主要就前殖民帝国的会计向其原殖民地传播、工业革命后西方会计的发展及在世界范围内的广泛传播以及第二次世界大战以后美国会计的影响在一定程度上主宰着世界各地的会计发展等历史事实，加以讨论。

哪些特定会计方法具有国际性质把外币交易和外币报表的折算引入会计领域，是会计国际化带来的独特问题。

它与由此引发的跨国企业合并和国际合并财务报表与外币折算相互关联和制约的问题，以及各国的物价变动影响在国际合并财务报表中如何处理和调整的问题，从20世纪70年代以来，就成为国际会计研究中既需协调一致但又矛盾重重的“三大难题”。

在世纪之交，金融工具（特别是衍生工具）的创新引发的会计处理问题，给传统的会计概念和实务带来了巨大的冲击，成为各国会计准则机构联合攻关、仍未妥善解决的难题。

此外，国际税务会计也是值得关注的课题。

你对会计国际化和国家化之间的矛盾及其消长有何看法会计国际化和国家化的矛盾实际上反映了经济全球化与各国的国家利益之间的矛盾及其消长过程。

CHAPTER 7 FUTURES AND OPTIONS ON FOREIGN EXCHANGESUGGESTED ANSWERS AND SOLUTIONS TO END-OF-CHAPTERQUESTIONS AND PROBLEMSQUESTIONS1. Explain the basic differences between the operation of a currency forward market and a futures market.Answer: The forward market is an OTC market where the forward contract for purchase or sale of foreign currency is tailor-made between the client and its international bank. No money changes hands until the maturity date of the contract when delivery and receipt are typically made. A futures contract is an exchange-traded instrument with standardized features specifying contract size and delivery date. Futures contracts are marked-to-market daily to reflect changes in the settlement price. Delivery is seldom made in a futures market. Rather a reversing trade is made to close out a long or short position.2. In order for a derivatives market to function most efficiently, two types of economic agents are needed: hedgers and speculators. Explain.Answer: Two types of market participants are necessary for the efficient operation of a derivatives market: speculators and hedgers. A speculator attempts to profit from a change in the futures price. To do this, the speculator will take a long or short position in a futures contract depending upon his expectations of future price movement. A hedger, on-the-other-hand, desires to avoid price variation by locking in a purchase price of the underlying asset through a long position in a futures contract or a sales price through a short position. In effect, the hedger passes off the risk of price variation to the speculator who is better able, or at least more willing, to bear this risk.3. Why are most futures positions closed out through a reversing trade rather than held to delivery?Answer: In forward markets, approximately 90 percent of all contracts that are initially established result in the short making delivery to the long of the asset underlying the contract. This is natural because the terms of forward contracts are tailor-made between the long and short. By contrast, only about one percent of currency futures contracts result in delivery. While futures contracts are useful for speculation and hedging, their standardized delivery dates make them unlikely to correspond to the actual future dates when foreign exchange transactions will occur. Thus, they are generally closed out in a reversing trade. In fact, the commission that buyers and sellers pay to transact in the futures market is a single amount that covers the round-trip transactions of initiating and closing out the position.4. How can the FX futures market be used for price discovery?Answer: To the extent that FX forward prices are an unbiased predictor of future spot exchange rates, the market anticipates whether one currency will appreciate or depreciate versus another. Because FX futures contracts trade in an expiration cycle, different contracts expire at different periodic dates into the future. The pattern of the prices of these cont racts provides information as to the market’s current belief about the relative future value of one currency versus another at the scheduled expiration dates of the contracts. One will generally see a steadily appreciating or depreciating pattern; however, it may be mixed at times. Thus, the futures market is useful for price discovery, i.e., obtaining the market’s forecast of the spot exchange rate at different future dates.5. What is the major difference in the obligation of one with a long position in a futures (or forward) contract in comparison to an options contract?Answer: A futures (or forward) contract is a vehicle for buying or selling a stated amount of foreign exchange at a stated price per unit at a specified time in the future. If the long holds the contract to the delivery date, he pays the effective contractual futures (or forward) price, regardless of whether it is an advantageous price in comparison to the spot price at the delivery date. By contrast, an option is a contract giving the long the right to buy or sell a given quantity of an asset at a specified price at some time in the future, but not enforcing any obligation on him if the spot price is more favorable than the exercise price. Because the option owner does not have to exercise the option if it is to his disadvantage, the option has a price, or premium, whereas no price is paid at inception to enter into a futures (or forward) contract.6. What is meant by the terminology that an option is in-, at-, or out-of-the-money?Answer: A call (put) option with S t > E (E > S t) is referred to as trading in-the-money. If S t E the option is trading at-the-money. If S t< E (E < S t) the call (put) option is trading out-of-the-money.7. List the arguments (variables) of which an FX call or put option model price is a function. How does the call and put premium change with respect to a change in the arguments?Answer: Both call and put options are functions of only six variables: S t, E, r i, r$, T andσ. When all else remains the same, the price of a European FX call (put) option will increase:1. the larger (smaller) is S,2. the smaller (larger) is E,3. the smaller (larger) is r i,4. the larger (smaller) is r$,5. the larger (smaller) r$ is relative to r i, and6. the greater is σ.When r$ and r i are not too much different in size, a European FX call and put will increase in price when the option term-to-maturity increases. However, when r$is very much larger than r i, a European FX call will increase in price, but the put premium will decrease, when the option term-to-maturity increases. The opposite is true when r i is very much greater than r$. For American FX options the analysis is less complicated. Since a longer term American option can be exercised on any date that a shorter term option can be exercised, or a some later date, it follows that the all else remaining the same, the longer term American option will sell at a price at least as large as the shorter term option.PROBLEMS1. Assume today’s settlement price on a CME EUR futures contract is $1.3140/EUR. You have a short position in one contract. Your performance bond account currently has a balance of $1,700. The next three day s’ settlement prices are $1.3126, $1.3133, and $1.3049. Calculate the changes in the performance bond account from daily marking-to-market and the balance of the performance bond account after the third day.Solution: $1,700 + [($1.3140 - $1.3126) + ($1.3126 - $1.3133)+ ($1.3133 - $1.3049)] x EUR125,000 = $2,837.50,where EUR125,000 is the contractual size of one EUR contract.2. Do problem 1 again assuming you have a long position in the futures contract.Solution: $1,700 + [($1.3126 - $1.3140) + ($1.3133 - $1.3126) + ($1.3049 - $1.3133)] x EUR125,000 = $562.50,where EUR125,000 is the contractual size of one EUR contract.With only $562.50 in your performance bond account, you would experience a margin call requesting that additional funds be added to your performance bond account to bring the balance back up to the initial performance bond level.3. Using the quotations in Exhibit 7.3, calculate the face value of the open interest in the June 2005 Swiss franc futures contract.Solution: 2,101 contracts x SF125,000 = SF262,625,000.where SF125,000 is the contractual size of one SF contract.4. Using the quotations in Exhibit 7.3, note that the June 2005 Mexican peso futures contract has a price of $0.08845. You believe the spot price in June will be $0.09500. What speculative position would you enter into to attempt to profit from your beliefs? Calculate your anticipated profits, assuming you take a position in three contracts. What is the size of your profit (loss) if the futures price is indeed an unbiased predictor of the future spot price and this price materializes?Solution: If you expect the Mexican peso to rise from $0.08845 to $0.09500, you would take a long position in futures since the futures price of $0.08845 is less than your expected spot price.Your anticipated profit from a long position in three contracts is: 3 x ($0.09500 - $0.08845) xMP500,000 = $9,825.00, where MP500,000 is the contractual size of one MP contract.If the futures price is an unbiased predictor of the expected spot price, the expected spot price is the futures price of $0.08845/MP. If this spot price materializes, you will not have any profits or losses from your short position in three futures contracts: 3 x ($0.08845 - $0.08845) x MP500,000 = 0.5. Do problem 4 again assuming you believe the June 2005 spot price will be $0.08500.Solution: If you expect the Mexican peso to depreciate from $0.08845 to $0.07500, you would take a short position in futures since the futures price of $0.08845 is greater than your expected spot price.Your anticipated profit from a short position in three contracts is: 3 x ($0.08845 - $0.07500) x MP500,000 = $20,175.00.If the futures price is an unbiased predictor of the future spot price and this price materializes, you will not profit or lose from your long futures position.6. George Johnson is considering a possible six-month $100 million LIBOR-based, floating-rate bank loan to fund a project at terms shown in the table below. Johnson fears a possible rise in the LIBOR rate by December and wants to use the December Eurodollar futures contract to hedge this risk. The contract expires December 20, 1999, has a US$ 1 million contract size, and a discount yield of7.3 percent.Johnson will ignore the cash flow implications of marking to market, initial margin requirements, and any timing mismatch between exchange-traded futures contract cash flows and the interest payments due in March.Loan TermsSeptember 20, 1999 December 20, 1999 March 20, 2000 • Borrow $100 million at • Pay interest for first three • Pay back principal September 20 LIBOR + 200 months plus interestbasis points (bps) • Roll loan over at• September 20 LIBOR = 7% December 20 LIBOR +200 bpsLoan First loan payment (9%) Second paymentinitiated and futures contract expires and principal↓↓↓•••9/20/99 12/20/99 3/20/00a. Formulate Johnson’s September 20 floating-to-fixed-rate strategy using the Eurodollar future contracts discussed in the text above. Show that this strategy would result in a fixed-rate loan, assuming an increase in the LIBOR rate to 7.8 percent by December 20, which remains at 7.8 percent through March 20. Show all calculations.Johnson is considering a 12-month loan as an alternative. This approach will result in two additional uncertain cash flows, as follows:Loan First Second Third Fourth payment initiated payment (9%) payment payment and principal ↓↓↓↓↓•••••9/20/99 12/20/99 3/20/00 6/20/00 9/20/00b. Describe the strip hedge that Johnson could use and explain how it hedges the 12-month loan (specify number of contracts). No calculations are needed.CFA Guideline Answera. The basis point value (BPV) of a Eurodollar futures contract can be found by substituting the contract specifications into the following money market relationship:BPV FUT = Change in Value = (face value) x (days to maturity / 360) x (change in yield)= ($1 million) x (90 / 360) x (.0001)= $25The number of contract, N, can be found by:N = (BPV spot) / (BPV futures)= ($2,500) / ($25)= 100ORN = (value of spot position) / (face value of each futures contract)= ($100 million) / ($1 million)= 100ORN = (value of spot position) / (value of futures position)= ($100,000,000) / ($981,750)where value of futures position = $1,000,000 x [1 – (0.073 / 4)]≈ 102 contractsTherefore on September 20, Johnson would sell 100 (or 102) December Eurodollar futures contracts at the 7.3 percent yield. The implied LIBOR rate in December is 7.3 percent as indicated by the December Eurofutures discount yield of 7.3 percent. Thus a borrowing rate of 9.3 percent (7.3 percent + 200 basis points) can be locked in if the hedge is correctly implemented.A rise in the rate to 7.8 percent represents a 50 basis point (bp) increase over the implied LIBOR rate. For a 50 basis point increase in LIBOR, the cash flow on the short futures position is:= ($25 per basis point per contract) x 50 bp x 100 contracts= $125,000.However, the cash flow on the floating rate liability is:= -0.098 x ($100,000,000 / 4)= - $2,450,000.Combining the cash flow from the hedge with the cash flow from the loan results in a net outflow of $2,325,000, which translates into an annual rate of 9.3 percent:= ($2,325,000 x 4) / $100,000,000 = 0.093This is precisely the implied borrowing rate that Johnson locked in on September 20. Regardless of the LIBOR rate on December 20, the net cash outflow will be $2,325,000, which translates into an annualized rate of 9.3 percent. Consequently, the floating rate liability has been converted to a fixed rate liability in the sense that the interest rate uncertainty associated with the March 20 payment (using the December 20 contract) has been removed as of September 20.b. In a strip hedge, Johnson would sell 100 December futures (for the March payment), 100 March futures (for the June payment), and 100 June futures (for the September payment). The objective is to hedge each interest rate payment separately using the appropriate number of contracts. The problem is the same as in Part A except here three cash flows are subject to rising rates and a strip of futures is used to hedge this interest rate risk. This problem is simplified somewhat because the cash flow mismatch between the futures and the loan payment is ignored. Therefore, in order to hedge each cash flow, Johnson simply sells 100 contracts for each payment. The strip hedge transforms the floating rate loan into a strip of fixed rate payments. As was done in Part A, the fixed rates are found by adding 200 basis points to the implied forward LIBOR rate indicated by the discount yield of the three different Eurodollar futures contracts. The fixed payments will be equal when the LIBOR term structure is flat for the first year.7. Jacob Bower has a liability that:• has a principal balance of $100 million on June 30, 1998,• accrues interest quarterly starting on June 30, 1998,• pays interest quarterly,• has a one-year term to maturity, and• calculates interest due based on 90-day LIBOR (the London Interbank OfferedRate).Bower wishes to hedge his remaining interest payments against changes in interest rates.Bower has correctly calculated that he needs to sell (short) 300 Eurodollar futures contracts to accomplish the hedge. He is considering the alternative hedging strategies outlined in the following table.Initial Position (6/30/98) in90-Day LIBOR Eurodollar ContractsStrategy A Strategy BContract Month (contracts) (contracts)September 1998 300 100December 1998 0 100March 1999 0 100a. Explain why strategy B is a more effective hedge than strategy A when the yield curveundergoes an instantaneous nonparallel shift.b. Discuss an interest rate scenario in which strategy A would be superior to strategy B.CFA Guideline Answera. Strategy B’s SuperiorityStrategy B is a strip hedge that is constructed by selling (shorting) 100 futures contracts maturing in each of the next three quarters. With the strip hedge in place, each quarter of the coming year is hedged against shifts in interest rates for that quarter. The reason Strategy B will be a more effective hedge than Strategy A for Jacob Bower is that Strategy B is likely to work well whether a parallel shift or a nonparallel shift occurs over the one-year term of Bower’s liability. That is, regardless of what happens to the term structure, Strategy B structures the futures hedge so that the rates reflected by the Eurodollar futures cash price match the applicable rates for the underlying liability-the 90day LIBOR-based rate on Bower’s liability. The same is not true for Strategy A. Because Jacob Bower’s liability carries a floating interest rate that resets quarterly, he needs a strategy that provides a series of three-month hedges. Strategy A will need to be restructured when the three-month September contract expires. In particular, if the yield curve twists upward (futures yields rise more for distant expirations than for near expirations), Strategy A will produce inferior hedge results.b. Scenario in Which Strategy A is SuperiorStrategy A is a stack hedge strategy that initially involves selling (shorting) 300 September contracts. Strategy A is rarely better than Strategy B as a hedging or risk-reduction strategy. Only from the perspective of favorable cash flows is Strategy A better than Strategy B. Such cash flows occur only in certain interest rate scenarios. For example Strategy A will work as well as Strategy B for Bower’s liability if i nterest rates (instantaneously) change in parallel fashion. Another interest rate scenario where Strategy A outperforms Strategy B is one in which the yield curve rises but with a twist so that futures yields rise more for near expirations than for distant expirations. Upon expiration of the September contract, Bower will have to roll out his hedge by selling 200 December contracts to hedge the remaining interest payments. This action will have the effect that the cash flow from Strategy A will be larger than the cash flow from Strategy B because the appreciation on the 300 short September futures contracts will be larger than the cumulative appreciation in the 300 contracts shorted in Strategy B (i.e., 100 September, 100 December, and 100 March). Consequently, the cash flow from Strategy A will more than offset the increase in the interest payment on the liability, whereas the cash flow from Strategy B will exactly offset the increase in the interest payment on the liability.8. Use the quotations in Exhibit 7.7 to calculate the intrinsic value and the time value of the 97 September Japanese yen American call and put options.Solution: Premium - Intrinsic Value = Time Value97 Sep Call 2.08 - Max[95.80 – 97.00 = - 1.20, 0] = 2.08 cents per 100 yen97 Sep Put 2.47 - Max[97.00 – 95.80 = 1.20, 0] = 1.27 cents per 100 yen9. Assume spot Swiss franc is $0.7000 and the six-month forward rate is $0.6950. What is the minimum price that a six-month American call option with a striking price of $0.6800 should sell for in a rational market? Assume the annualized six-month Eurodollar rate is 3 ½ percent.Solution:Note to Instructor: A complete solution to this problem relies on the boundary expressions presented in footnote 3 of the text of Chapter 7.C a≥Max[(70 - 68), (69.50 - 68)/(1.0175), 0]≥Max[ 2, 1.47, 0] = 2 cents10. Do problem 9 again assuming an American put option instead of a call option.Solution: P a≥Max[(68 - 70), (68 - 69.50)/(1.0175), 0]≥Max[ -2, -1.47, 0] = 0 cents11. Use the European option-pricing models developed in the chapter to value the call of problem 9 and the put of problem 10. Assume the annualized volatility of the Swiss franc is 14.2 percent. This problem can be solved using the FXOPM.xls spreadsheet.Solution:d1 = [ln(69.50/68) + .5(.142)2(.50)]/(.142)√.50 = .2675d2 = d1 - .142√.50 = .2765 - .1004 = .1671N(d1) = .6055N(d2) = .5664N(-d1) = .3945N(-d2) = .4336C e = [69.50(.6055) - 68(.5664)]e-(.035)(.50) = 3.51 centsP e = [68(.4336) - 69.50(.3945)]e-(.035)(.50) = 2.03 cents12. Use the binomial option-pricing model developed in the chapter to value the call of problem 9.The volatility of the Swiss franc is 14.2 percent.Solution: The spot rate at T will be either 77.39¢ = 70.00¢(1.1056) or 63.32¢ = 70.00¢(.9045), where u = e.142√.50 = 1.1056 and d = 1/u = .9045. At the exercise price of E = 68, the option will only be exercised at time T if the Swiss franc appreciates; its exercise value would be C uT= 9.39¢ = 77.39¢ - 68. If the Swiss franc depreciates it would not be rational to exercise the option; its value would be C dT = 0.The hedge ratio is h = (9.39 – 0)/(77.39 – 63.32) = .6674.Thus, the call premium is:C0 = Max{[69.50(.6674) – 68((70/68)(.6674 – 1) +1)]/(1.0175), 70 – 68}= Max[1.64, 2] = 2 cents per SF.word格式-可编辑-感谢下载支持MINI CASE: THE OPTIONS SPECULATORA speculator is considering the purchase of five three-month Japanese yen call options with a striking price of 96 cents per 100 yen. The premium is 1.35 cents per 100 yen. The spot price is 95.28 cents per 100 yen and the 90-day forward rate is 95.71 cents. The speculator believes the yen will appreciate to $1.00 per 100 yen over the next three months. As the speculator’s assistant, you have been asked to prepare the following:1. Graph the call option cash flow schedule.2. Determine the speculator’s profit if the yen appreciates to $1.00/100 yen.3. Determine the speculator’s profit if the yen only appreciates to the forward rate.4. Determine the future spot price at which the speculator will only break even.Suggested Solution to the Options Speculator:1.2. (5 x ¥6,250,000) x [(100 - 96) - 1.35]/10000 = $8,281.25.3. Since the option expires out-of-the-money, the speculator will let the option expire worthless. He will only lose the option premium.4. S T = E + C = 96 + 1.35 = 97.35 cents per 100 yen.。

IASC是由来自澳大利亚、加拿大、法国、德国、日本、墨西哥、荷兰、英国和爱尔兰以及美国的会计职业团体于１９７３年发起成立的，其目标是制定和发布国际会计准则，促进国际会计的协调。

从１９８３年起，作为国际会计师联合会（IFAC）成员的所有会计职业团体均已成为IASC的成员。

中国于１９９８年５月正式加入IASC和国际会计师联合会。

到２０００年，IASC已经拥有来自１０４个国家的１４３个成员。

１ASC的目标是，制定和发布国际会计准则，促进国际会计的协调。

截至２０００年底，IASC已颁布４１项国际会计准则（其中仍然有效的有３６项）和２４项解释公告。

国际会计准则委员会（IASC）承诺制定的核心准则（core standard）于2000年5月经证券委员会国际组织（I0SC0）认可并向各国资本市场推荐在跨境融资使用后，IASC的声誉空前提高，不仅伦敦证券交易所公开采用国际会计准则（IAS），欧盟还公告至2005年全体企业实施IAS.但是，美国SEC发表声明认为IAS 不是质量最好的准则，言下之意，美国是经济最发达的国家，因而美国FASB的准则是质量最高的。

在此情况下，IASC理事会（IASC Board）于1999年12月决议采纳战略工作组（Strategy Working Party）的未来规划建议，同意重组并投票选出7人组成的托管会提名委员会（Nominating Committee），提名委员会主席为时任美国SEC主席Arthur Levitt.提名委员会在2000年1月7日召开了第一次会议，决定设立由19人组成的托管会（Trustees），其主要职责是筹集资金、任命人员和日常监督。

2000年5月22日宣布选出的托管会成员，其主席为美国联邦储备局前主席Paul A.Volcker.2000年5月24日，IASC成员组织通过了重组决定和新章程（Constitution）。

2000年6月28日托管会任命英国ASB主席David Tweedie为重组后IASC 理事会（IASB）主席，于2001年1月1日起任职。

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 ahedge 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 i s $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 forwa rd 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 $)/(1+i F ). Thus the “indifferent” forward rate will be:$ Co st Options hedge Forward hedge $3,453.75 $3,150 0 0.579 0.64 (strike $/SF $253.75F = 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 dolla rs using Swiss franc. What is the ‘implied’ exercise exchange rate?(b) If the spot exchange rate turns out to be $0.62/SF, which currency do you think the Swiss client will choose to use for payment? What is the value of this free option for the Swiss client?(c) What is the best way for Baltimore Machinery to deal with the exchange exposure?Solution: (a) The implied exercise (price) rate is: 10,000/15,000 = $0.6667/SF.(b) If the Swiss client chooses to pay $10,000, it will cost SF16,129 (=10,000/.62). Since the Swiss client has an option to pay SF15,000, it will choose to do so. The value of this option is obviously SF1,129 (=SF16,129-SF15,000).(c) Baltimore Machinery faces a contingent exposure in the sense that it may or may not receive SF15,000 in the future. The firm thus can hedge this exposure by buying a put option on SF15,000.6. Princess Cruise Company (PCC) purchased a ship from Mitsubishi Heavy Industry. PCC owes Mitsubishi Heavy Industry 500 million yen in one year. The current spot rate is 124 yen per dollar and the one-year forward rate is 110 yen per dollar. The annual interest rate is 5% in Japan and 8% in the U.S. PCC can also buy a one-year call option on yen at the strike price of $.0081 per yen for a premium of .014 cents per yen.(a) Compute the future dollar costs of meeting this obligation using the money market hedge and the forward hedges.(b) Assuming that the forward exchange rate is the best predictor of the future spot rate, compute the expected future dollar cost of meeting this obligation when the option hedge is used.(c) At what future spot rate do you think PCC may be indifferent between the option and forward hedge?Solution: (a) In the case of forward hedge, the dollar cost will be 500,000,000/110 = $4,545,455. In the case of money market hedge, the future dollar cost will be: 500,000,000(1.08)/(1.05)(124) = $4,147,465.(b) The option premium is: (.014/100)(500,000,000) = $70,000. Its future value will be $70,000(1.08) = $75,600.At the expected future spot rate of $.0091(=1/110), which is higher than the exercise of $.0081, PCC will exercise its call option and buy ¥500,000,000 for $4,050,000 (=500,000,000x.0081).The total expected cost will thus be $4,125,600, which is the sum of $75,600 and $4,050,000.(c) When the option hedge is used, PCC will spend “at most” $4,125,000. On the other hand, when the forward hedging is used, PCC will have to spend $4,545,455 regardless of the future spot rate. This means that the options hedge dominates the forward hedge. At no future spot rate, PCC will be indifferent between forward and options hedges.7. Airbus sold an aircraft, A400, to Delta Airlines, a U.S. company, and billed $30 million payable in six months. Airbus is concerned with the euro proceeds from international sales and would like to control exchange risk. The current spot exchange rate is $1.05/€ and six-month forward exchange rate is $1.10/€ at the moment. Airbus can buy a six-month put option on U.S. dollars with a strike price of €0.95/$ for a premium of €0.02 p er 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 tohedge using a forward contract.b.If Airbus decides to hedge using money market instruments, what action does Airbusneed to take? What would be the guaranteed euro proceeds from the American sale in this case?c.If Airbus decides to hedge using put options on U.S. dollars, what would be the ‘expected’euro proceeds from the American sale? Assume that Airbus regards the current forward exchange rate as an unbiased predictor of the future spot exchange rate.d.At what future spot exchange rate do you think Airbus will be indifferent between theoption and money market hedge?Solution:a. Airbus will sell $30 million forward for €27,272,727 = ($30,000,000) / ($1.10/€).b. Airbus will borrow the present value of the dollar receivable, i.e., $29,126,214 = $30,000,000/1.03, and then sell the dollar proceeds spot for euros: €27,739,251. This is the euro amount that Airbus is going to keep.c. Since the expected future spot rate is less than the strike price of the put option, i.e., €0.9091< €0.95, Airbus expects to exercise the option and receive €28,500,000 = ($30,000,000)(€0.95/$). Th is is gross proceeds. Airbus spent €600,000 (=0.02x30,000,000) upfront for the option and its future cost is equal to €615,000 = €600,000 x 1.025. Thus the net euro proceeds from the American sale is €27,885,000, which is the difference between the gross proceeds and the option costs.d. At the indifferent future spot rate, the following will hold:€28,432,732 = S T (30,000,000) - €615,000.Solving for S T, we obtain the “indifference” future spot exchange rate, i.e., €0.9683/$, or $1.0327/€. Note that €28,432,732 is the future value of the proceeds under money market hedging: €28,432,732 = (€27,739,251) (1.025).Suggested solution for Mini Case: Chase Options, Inc.[See Chapter 13 for the case text]Chase Options, Inc.Hedging Foreign Currency Exposure Through Currency OptionsHarvey A. PoniachekI. Case SummaryThis case reviews the foreign exchange options market and hedging. It presents various international transactions that require currency options hedging strategies by the corporations involved. Seven transactions under a variety of circumstances are introduced that require hedging by currency options. The transactions involve hedging of dividend remittances, portfolio investment exposure, and strategic economic competitiveness. Market quotations are provided for options (and options hedging ratios), forwards, and interest rates for various maturities.II. Case Objective.The case introduces the student to the principles of currency options market and hedging strategies. The transactions are of various types that often confront companies that are involved in extensive international business or multinational corporations. The case induces students to acquire hands-on experience in addressing specific exposure and hedging concerns, including how to apply various market quotations, which hedging strategy is most suitable, and how to address exposure in foreign currency through cross hedging policies.III. Proposed Assignment Solution1. The company expects DM100 million in repatriated profits, and does not want the DM/$ exchangerate 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 $1 million greater than the minimum for simply buying a put as above.Buy/Sell OptionsDM/$ Sp otPutPayoff“Put”ProfitsCallPayoff“Call”ProfitsNetProfit1. 60(1,742,846)01,742,84660,716,45460,716,4541. 61(1,742,846)01,742,84660,716,45460,716,4541. 62(1,742,846)01,742,84660,716,45460,716,4541. 63(1,742,846)01,742,84660,716,45460,716,4541. 64(1,742,846)01,742,84660,716,45460,716,4541. 65(1,742,846)60,606,0611,742,846060,606,0611. 66(1,742,846)60,240,9641,742,846060,240,9641. 67(1,742,846)59,880,2401,742,846059,880,2401. 68(1,742,846)59,523,8101,742,846059,523,8101. 69(1,742,846)59,171,5981,742,846059,171,5981. 70(1,742,846)58,823,5291,742,846058,823,5291.(1,742,858,8231,742,8058,823,7146),529465291. 72(1,742,846)58,823,5291,742,846058,823,5291. 73(1,742,846)58,823,5291,742,846058,823,5291. 74(1,742,846)58,823,5291,742,846058,823,5291. 75(1,742,846)58,823,5291,742,846058,823,5291. 76(1,742,846)58,823,5291,742,846058,823,5291. 77(1,742,846)58,823,5291,742,846058,823,5291. 78(1,742,846)58,823,5291,742,846058,823,5291. 79(1,742,846)58,823,5291,742,846058,823,5291. 80(1,742,846)58,823,5291,742,846058,823,5291. 81(1,742,846)58,823,5291,742,846058,823,5291. 82(1,742,846)58,823,5291,742,846058,823,5291. 83(1,742,846)58,823,5291,742,846058,823,5291. 84(1,742,846)58,823,5291,742,846058,823,5291. 85(1,742,846)58,823,5291,742,846058,823,529Since 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 exercisedIf spot falls below .8025, call will expire6) Net payoffSee following Table for net payoff Australian Dollar Bond HedgeStrike PricePutPayoff“Put”PrincipalCallPayoff“Call”PrincipalNetProfit0. 60(75,332)72,000,00075,573072,000,2410. 61(75,332)72,000,00075,573072,000,2410. 62(75,332)72,000,00075,573072,000,2410. 63(75,332)72,000,00075,573072,000,2410. 64(75,332)72,000,00075,573072,000,2410. 65(75,332)72,000,00075,573072,000,2410. 66(75,332)72,000,00075,573072,000,2410. 67(75,332)72,000,00075,573072,000,2410. 68(75,332)72,000,00075,573072,000,2410. 69(75,332)72,000,00075,573072,000,2410. 70(75,332)72,000,00075,573072,000,2410. 71(75,332)72,000,00075,573072,000,2410. 72(75,332)72,000,00075,573072,000,2410. 73(75,332)73,000,00075,573073,000,2410. 74(75,332)74,000,00075,573074,000,2410. 75(75,332)75,000,00075,573075,000,2410. 76(75,332)76,000,00075,573076,000,2410. 77(75,332)77,000,00075,573077,000,2410. 78(75,332)78,000,00075,573078,000,2410. 79(75,332)79,000,00075,573079,000,2410. 80(75,332)80,000,00075,573080,000,2410. 81(75,332)075,57380,250,00080,250,2410. 82(75,332)075,57380,250,00080,250,2410. 83(75,332)075,57380,250,00080,250,2410. 84(75,332)075,57380,250,00080,250,2410. 85(75,332)075,57380,250,00080,250,2414. 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 size 9600 = ($100,000,000)(120¥/$) / ¥1,250,0002) Total Cost = (# contracts)(contract size)(premium)$1,524,000 = (9600)( ¥1,250,000)($0.0001275/¥)3) Floor rate = Exercise – Premium128.1499¥/$ = 128.15¥/$ - $1,524,000/12,000,000,000¥4) The payoff changes depending on the level of the ¥/$ rate. The following tablesummarizes the payoffs. An equilibrium is reached when the spot rate equals the floor rate.。

章后习题参考答案与提示第1章●基本训练○知识题▲简答题1）国际收支平衡表中贷方反映的是一切收入项目，用正号表示货物和服务的出口、收益收入、接受的货物和资金的无偿援助、金融负债的增加和金融资产的减少；借方反映的是一切支出项目，用负号表示货物和服务的进口、收益支出、对外提供的货物和资金无偿援助、金融资产的增加和金融负债的减少。

总的来说，凡是引起本国从国外获得外汇收入的交易记入贷方，凡是引起本国对国外有外汇支出的交易记入借方；而这笔货币收入或支出本身则相应记入借方或贷方。

2）国际收支失衡的原因：一般因素：（1）周期性因素（2）结构性因素（3）货币性因素（4）收入性因素（5）意外事件。

特殊因素：（1）发达国家的国际收支不平衡的表现是：其一，由于发达国家之间的国际竞争力或投资回报的利润率对比有差异，所以巨额逆差的成因或者由于商品劳务输出过多、吸引外来直接投资较多。

其二，发达国家的资本与金融项目在其国际收支中的地位越来越重要，资本的输出与输入日益频繁且不稳定，大规模的资本流入或流出足以引起相关国家的国际收支变动。

其三，在当今高度一体化的国际金融市场上，资本对有资信的发达国家来说筹措相当方便，即使贸易收支或经常项目有巨额逆差，也可以通过调节性交易如提高利率，引起资本与金融项目中的大量资本的流入来加以抵消。

（2）发展中国家国际收支不平衡的表现是：处在经济发展阶段，一方面由于国内资源和技术上的短缺，产品结构比较单一，出口的产品一时只能为传统的初级产品且停留在较低的技术水平上，故出口难以有效持久的扩大；另一方面进口需求相对旺盛，进口的产品都是技术含量较高的制成品或本国还无法制造的高档消费品，其出口增长往往不及进口，从而形成国际收支的逆差。

另外由于资信低，缺乏国际金融专门人才，筹措国外资金成本高，很难通过资本与金融项目的顺差来弥补贸易逆差，所以，发展中国家的国际收支不平衡多数表现为逆差。

3）调节国际收支失衡的措施：（1）外汇缓冲政策财政货币政策：①财政政策,主要是采取缩减或扩大政府的财政预算或财政支出的方式和调整税率的方式，以调节国际收支的顺差或逆差。

Chapter 8Global Accounting and Auditing Standards Discussion Questions1.A rgument for measurement:•Discrepancies in international measurement may produce accounting amounts that are vastly different (even where financial transactions and position are identical), leading to incorrectcomparisons. Here it doesn’t matter what is disclosed; no reliable comparisons are possibleanyway.Arguments for disclosure:•If companies do not disclose complete information, they can hide losses or future problems from financial statement users. For example, losses can be hidden by offsetting them against gains.Expected future problems related to loss contingencies can be hidden simply by not disclosingthem. Thus, if disclosure is incomplete, even the application of similar measurement principleswill lead to incorrect comparisons.Clearly, international accounting convergence requires that both measurement and disclosure be made comparable.2. The term convergence is associated with the International Accounting Standards Board. Beforethe IASB, harmonization was the commonly used term. Harmonization means that standards are compatible; they do not contain conflicts. Harmonization was generally taken to mean the elimination of differences in existing accounting standards, in other words, finding a common ground among existing standards. Convergence means the gradual elimination of differences in national and international accounting standards. Thus, the terms harmonization and convergence are closely aligned. However, convergence might also involve coming up with a new accounting treatment not in any current standards.3.a. Reciprocity, or mutual recognition, exists when regulators outside of the home country accept aforeign firm’s financial statements based on the home country’s principles, or perhaps IFRS. For example, the London Stock Exchange accepts U.S. GAAP-based financial statements in filings made by non-U.K. foreign companies. Reciprocity does not increase cross-country comparability of financial statements, and it can create an unlevel playing field in that foreign companies may be allowed to apply standards that are less rigorous than those used by domestic companies.b. With reconciliation, foreign firms can prepare financial statements using the accountingstandards of their home country or IFRS, but also must provide a reconciliation between accounting measures (such as net income and shareholders’ equity) of the home country and the country where the financial statements are being filed. Reconciliations are less costly than preparing a full set of financial statements under a different set of accounting principles, but provide only a summary, not the full picture of the enterprise.c. International standards are a result of either international or political agreement, or voluntary (orprofessionally encouraged) compliance. When accounting standards are applied through political, legal, or regulatory procedures, statutory rules typically govern the process. All other international standards efforts in accounting are voluntary in nature.a.A growing body of evidence indicates that the goal of international convergence of accounting,disclosure and auditing has been widely accepted.b.A ll dimensions of accounting are becoming converged worldwide.c.Increasing numbers of highly credible organizations strongly support the goals of the IASB.d.N ational differences in the underlying factors that lead to variation in accounting, disclosure, andauditing practices are narrowing as capital and product markets become more international.e.International standards will improve the comparability of international financial information.f.Time and money will be saved on international consolidations, the components of which now aresubject to different national laws and practices.g.T here may be a tendency for accounting standards throughout the world to be raised to the highestpossible level.h.W idespread application of IFRS might also result in:•Improved managerial decision making within multinational enterprises.•Improved allocations of corporate investment money worldwide.•Better international understandability of financial statements.•Cost reductions in accounting information processing and financial disclosure costs for multinational enterprises.•Greater international credibility for published financial statements.a.Accounting has built-in flexibility. Its ability to adapt to widely different situations is one ofits most important features. Critics doubt that international standards can be flexible enoughto handle differences in national backgrounds, traditions, and economic environments, andmay be a politically unacceptable challenge to sovereignty.b.It is claimed that international accounting standard setting is a tactic of the large internationalaccounting service firms to expand their market share.c.International standards may create standards overload for companies that do businessinternationally.d.National political concerns frequently intrude on accounting standards. International politicalinfluences would compromise international accounting standards.e.International standards are not suitable for small and medium-sized companies, particularlyunlisted ones with no public accountability.f.Risks of misinformation — uniform standards may give the appearance of similarities whenin fact countries and companies may be highly dissimilar.g.Political costs of the necessary international treaties on financial accounting and reportingwhich would have to be negotiated to enforce the use of IFRS.6.Evidence indicating wide acceptance of IFRS around the world:a.Growing numbers of companies are adopting IFRS voluntarily and refer to their use of IFRSin their annual reports.b.Dozens of countries base their national accounting standards on IFRS.c.Some 7,000 EU listed companies now use IFRS in their consolidated financial statements.d.Many international organizations, such as IOSCO, endorse the use of IFRS.e.IFRS are used as an international benchmark in many major industrialized countries.f.IFRS are accepted by many stock exchanges and securities regulators.g.IFRS are recognized by the European Commission (EC) and other supranational bodies.h.Norwalk Agreement committed FASB and IASB to convergence.7. The International Accounting Standards Board is overseen by the International Accounting Standards Committee, consisting of 22 trustees: six from North America, six from Europe, six from the Asia-Pacific region, and four from any area. The trustees appoint the members of the IASB. The IASB receives advice from the Standards Advisory Council on its agenda and priorities. The SAC consists of around 30 members appointed by the IASC trustees and they represent a diversity of geographic and professional backgrounds.The IASB consists of 14 members, 12 full-time and two part-time. It follows a due process in setting accounting standards. For each standard, the board normally publishes a discussion paper that sets out the various possible requirements for the standard and the arguments for and against each one. Later, the board publishes an exposure draft for public comment, and it then examines the arguments put forward in the comment process. A final standard is issued when nine of the 14 board members have voted in its favor.8.Accounting harmonization in the EU is just one element of the overall project of harmonizing the legal and economic systems of the member states, and is part of the process of harmonizing company law. The Fourth Directive illustrates the concept of harmonization, and specifies accounting measurement (valuation) and disclosure requirements. It provides format rules for the balance sheet and the profit and loss account. The true and fair view is the overriding requirement and holds for footnote disclosures aswell as the financial statements. The Fourth Directive also sets out the requirements for financial statement audits.The Seventh Directive addresses consolidated financial statements. It requires consolidations for groups of companies above a certain size, specifies disclosures and notes, and requires a directors’ report. When it was issued in 1983, consolidated financial statements were the exception rather than the rule in Europe. The Eighth Directive addressed various aspects of the qualifications of professionals authorized to carry out legally required (statutory) audits. Now referred to as the Statutory Audit Directive, it was substantially amended in 2006. The new directive tightens oversight of the audit profession and has standards for, among other points, auditor appointment and rotation, and continuing professional education.The EU abandoned its approach to harmonization to one favoring the IASB for practical and political reasons. The Fourth and Seventh Directives were incomplete and essentially remained as they were issued. Improvements to them proved difficult to achieve and the directives did not achieve the comparability expected. Some saw a set of Europe-wide standards as an unnecessary redundancy given the emergence of comprehensive IFRS. Others saw U.S. GAAP as a rival to IFRS. The EU cannot influence U.S. GAAP, but can influence IFRS. By putting its weight behind the IASB, the EU could serve as a counterweight to U.S. GAAP.9.International accounting harmonization/convergence should address many, if not most, investor concerns about cross-national differences in accounting practices. The key issue here is comparability –investors want to make “apples to apples” comparisons of financial statements of companies from countries around the world. However, converged standards are only the beginning. Standards must also be comparably applied and they must be rigorously enforced. The financial statements must also be similarly audited to ensure comparable reliability.10.Convergence of auditing standards will help ensure that audit quality will reach acceptable levels worldwide. Auditing convergence may be less difficult to achieve than accounting convergence because auditing is more technically oriented and there is wider agreement as to what constitutes best practices in auditing than there is for accounting principles.IFAC is a worldwide organization of over 160 member organizations in 120 countries. Its mission includes establishing and promoting adherence to high-quality auditing and other professional standards, and furthering the international convergence of such standards. Its work is done through standard setting boards and standing committees. Among its standard setting boards are:•International Accounting Education Standards Board•International Auditing and Assurance Standards Board•International Ethics Standards Board for AccountantsIts work spans the entire array of professional responsibilities of auditors and includes standards covering professional education, the conduct of the audit, and professional ethics.11.IOSCO consists of securities regulators from more than 100 countries. Together, IOSCO members are responsible for regulating more than 90 percent of global securities markets. One of IOSCO’s objectives is promoting “high standards of regulation in order to maintain just, efficient, and sound markets.” IOSCO has worked extensively on international disclosure and accounting standards to facilitate the ability of companies to raise capital efficiently in global securities markets. It has a technical committeewhose sole focus is multinational disclosure and accounting. Model disclosure standards were published in 1998 and 2002.IOSCO’s disclosure harmonization work is important because it has established a set of high quality disclosure standards, globally recognized, that serves as a model for nations around the world as they develop national requirements for cross-border offerings and initial listings.12.The UN and OECD now play supporting roles in harmonizing accounting and auditing standards. The IASB and IFAC are now the clear leaders in this endeavor, but in the 1970s and 1980s, both the UN and OECD were potential rivals. Most of the effort of the UN and OECD is directed toward providing technical accounting assistance to developing countries. For example, the UN has focused much attention on Russia and countries of the former Soviet bloc, and on African countries.Exercises1.One of the main problems with mutual recognition (or reciprocity) is that it actually may make financialstatements within the home market noncomparable. If many different accounting standards are acceptable, then companies domiciled in countries with rigorous standards (such as the United States) would be at a disadvantage to companies whose home country standards are not as stringent, but still would be acceptable. Investors also would face the difficult task of having to master many sets of accounting principles in order to be able to understand the associated financial statements.The U.S. SEC considers reconciliation to be a cost-effective means to allow foreign firms to list on a domestic exchange. With reconciliation, differences between accounting standards are identified and quantified without the need to prepare a second set of financial statements. However, significant differences between domestic and foreign accounting principles can increase the burdens associated with reconciliation, and reconciliations do not provide a full picture of the enterprise as would result from a second set of financial statements.The use of International Financial Reporting Standards would provide many benefits for cross-border listings. Companies would have to provide only one set of financial statements for all nondomestic capital markets, and investors would have to be familiar with only one set of accounting principles to properly understand and interpret nondomestic financial statements. However, as with reconciliation, domestic companies required to comply with domestic standards still would compete for capital with nondomestic companies that would be required to comply with a different (and possibly less stringent) standard.Preferred approaches from perspectives of different groups:a.Investors might prefer international standards, as they would increase the ease in understandinginformation from nondomestic companies. Knowledge of only one set of standards would berequired to understand all nondomestic statements. However, there is also a case forreconciliation, which presents in an economical manner the significant differences betweennondomestic and domestic financial statements and does not require investors to be familiar withany set of accounting standards other than the home country.b.C ompany management might prefer mutual recognition, as it does not require a company to prepareany additional information and requires no additional expense or time commitments. However,companies in some countries might adopt IFRS voluntarily to increase their credibility withinvestors and increase the overall quality of their financial reporting.c.Regulatory authorities might prefer reconciliation as it places the burden on companies yet providesadequate disclosure and investor protection.d.S tock exchanges might prefer convergence as it is the only method that provides truly complete andidentical information disclosure from companies outside the home market.e.Professional associations will take positions according to their constituents –associations ofstockbrokers might prefer convergence to the extent that it would make company informationeasier to understand, whereas associations of company executives might prefer reciprocity.2.The following discussions are based on the respective organizations’ Web sites at the time of writing.International Federation of Accountants (IFAC)IFAC, an organization of national professional accountancy organizations, plays a critical role in the convergence of auditing standards and other international auditing initiatives. The organization has over 160 member organizations in 120 countries, representing more than 2.5 million accountants. Organizedin 1977, IFAC’s goal is to develop the accountancy profession and converge its professional standards worldwide to enable accountants to provide services of consistently high quality in the public interest.To achieve its objective, IFAC develops and promotes technical, professional and ethical standards for accountants, provides leadership on emerging issues, and serves as a voice for the world’s accountants on issues of public and professional concern. IFAC fosters the advancement of strong national professional accountancy organizations, and works closely with regional accountancy organizations and outside agencies to accomplish this.The IFAC Council, comprised of one representative from each member body, provides overall leadership of IFAC. The council elects the IFAC Board, and is responsible setting policy and overseeing IFAC operations, the implementation of programs, and the work of IFAC’s standard setting groups and committees. The Public Interest Oversight Board (PIOB), an independent board, provides additional oversight. Day-to-day administration is provided by the IFAC chief executive located in New York, which is staffed by accounting professionals from around the world.IFAC’s professional work is done through its standard setting boards and standing committees. IFAC standard setting boards are:•International Accounting Education Standards Board•International Auditing and Assurance Standards Board•International Ethics Standards Board for Accountants•International Public Sector Accounting Standards BoardIFAC standing committees are the following:•Compliance Advisory Panel•Developing Nations Committee•Nominating Committee•Professional Accountants in Business Committee•Small and Medium Practices Committee•Transnational Auditors CommitteeIFAC issues standards in these key areas: auditing, assurance, and related services; education; ethics; and public sector accounting. IFAC’s International Auditing and Assurances Stan dards Board issues International Standards on Auditing (ISA), which are intended for international acceptance. ISAs deal with topics such as auditors’ respo nsibilities, risk assessment and evidence, and audit reporting.IFAC has close ties with organizations such as the IASB and IOSCO, and its pronouncements are receiving growing recognition for their quality and relevance. Financial statements of companies around the world are increasingly being audited in conformity with International Standards on Auditing.United Nations Intergovernmental Working Group of Experts on International Standards of Accounting and Reporting (ISAR)ISAR was created in 1982 and is part of the United Nations’ Conference on Trade and Development (UNCTAD). ISAR is the only intergovernmental working group devoted to accounting and auditing at the corporate level. Its objective “is to promote the transparency, reliability and comparability of corporate accounting and reporting as well as to improve disclosures on corporate governance by enterprises in developing countries and countries with economies in transition. ISAR achieves thisthrough an integrated process of research, intergovernmental consensus building, information dissemination and technical cooperation.”In recent years, ISAR focused on important topics that other organizations were not yet ready to address, such as environmental accounting. It has also conducted technical assistance projects in a number of areas such as accounting reforms and retraining in the Russian Federation, Azerbaijan and Uzbekistan, and designing and developing a long-distance learning program in accountancy for French-speaking Africa. Topics discussed at recent ISAR conferences include practical implementation of IFRS, corporate responsibility reporting, and corporate governance disclosures.Organization for Economic Cooperation and Development (OECD)OECD is the international organization of 30 (mostly industrialized) market economy countries. It functions through its governing body, the OECD Council, and its extensive network of committees and working groups. Its publication Financial Market Trends, issued two times each year, assesses trends and prospects in the international and major domestic financial markets of the OECD area.The OECD often publishes reports on the structure and regulation of securities markets, and has played a leading role in promoting improved corporate disclosure and governance around the world. With its membership consisting of larger, industrialized countries, the OECD is often a counterweight to other bodies (such as the United Nations and the International Confederation of Free Trade Unions) that have built-in tendencies to act contrary to the interests of its members.3.As an example, consider the Financial Accounting Standards Board (FASB) in the United States. The FASB’s Web site presents detailed information on the FASB’s international activities, including an overview, convergence with IASB, cooperative efforts with other standards setters, and the FASB/IASB memorandum of understanding.The FASB’s objective for participating in international activities is to increase the international comparability and the quality of standards used in the United States. This objective is consistent with the FASB’s obligation to its domestic constituents, who benefit from comparability of information across national borders. The FASB pursues that objective in cooperation with the International Accounting Standards Board (IASB) and national standard setters.The FASB believes that the ideal outcome of cooperative international accounting standard-setting efforts would be the worldwide use of a single set of high-quality accounting standards for both domestic and cross-border financial reporting. At present, a single set of high-quality international accounting standards that is accepted in all capital markets does not exist. In the United States, for example, domestic firms that are registrants with the SEC must file financial reports using U.S. GAAP. Foreign firms filing with the SEC can use U.S. GAAP, their home country GAAP, or international standards – although if they use their home country GAAP or international standards, foreign issuers must provide a reconciliation to U.S. GAAP.The FASB engages in a variety of activities in pursuit of the goals of high-quality international standards and increased convergence of the accounting standards used in different nations. Almost every FASB project is a matter of interest in some other country or with the IASB.4. a. Comparison of standard-setting proceduresEuropean UnionAccounting and auditing requirements are established under EU company law directives, which are legal instruments that member countries must implement. Thus, all accounting and auditing standards in EU directives become legally enforceable. The EU comprises several key organizations that need to be understood in order to understand how EU directives come into being. Briefly, the European Commission initiates EU p olicy and acts in the community’s general interest. Commissioners are completely independent and may not seek or take instructions from governments or interest groups. The Council of the European Commission is the EU’s decision-maker. Here, the member states legislate for the EU, deciding some matters by majority vote and others unanimously. The European Parliament represents the EU’s citizens. Its main functions are to enact legislation and to scrutinize and control the use of executive power. The Trea ty of European Union of 1993 strengthened the European Parliament’s responsibilities. Only the Commission can propose new directives. Proposals typically undergo many drafts. Proposed directives are submitted to the Council of the European Commission, which first seeks opinions of the Economic and Social Committee and the European Parliament. Next, a working party set up by the Council discusses the proposal. Member countries typically are allowed several years to implement a new directive after its final adoption. (Note to instructors: The information contained in this paragraph is based on information on the EU’s Web site at the time of writing.)IASBThe IASB follows due process in setting accounting standards. For each standard, the Board may publish a discussion paper that sets out the various possible requirements for the standard and the arguments for and against each one. Subsequently, the Board publishes an exposure draft for public comment, and then examines the arguments put forward in the comment process before deciding on the final form of the standard. An exposure draft and final standard can be issued only when nine (of 14) members of the board vote in favor of it.IFACThe standard setting boards of IFAC also follows a due process procedure. Meetings to discuss the development and approval of standards are open to the public and, where practicable, are broadcast over the Internet. Issues papers and draft standards are published on the IFAC Web site along with updated project summaries and meeting highlights. New projects are based on a review of national and international developments and comments from interested observers. An advisory group is consulted to determine priorities and activities. Task forces are usually assigned the responsibility for the development of new standards. These task forces conduct research and consult interested parties on the issues under consideration. One or more public forums or roundtables may be held before an exposure draft is issued. Re-exposure is sometimes necessary. Final standards are issued after considering comments to the exposure draft. (Note to instructors: The information contained in this paragraph is taken from IFAC’s Web site at the time of writing.)a.At what types and sizes of enterprises are their standards primarily directed?EU company law directives apply both to public and private companies in the EU, withoutrespect to size.IFRS are financial reporting standards for business whose applicability depends on thecontext. For example, if IFRS are adopted as national accounting standards in a particularcountry, their applicability depends on the type of entities that are subject to those nationalstandards.IFAC’s standards are directed toward the audits of both public and private companies.In summary, all three sets of standards are meant to apply to most (if not all) enterprises,without regard to size or whether the enterprises are private or public.b.B rief critique of statementIt is true that IFRS are particularly useful to companies that operate in more than one country,because IFRS are widely recognized and are acceptable in many different countries and stockexchanges. However, as stated in the text, IFRS also are used as the basis for nationalaccounting standards in many countries, and these national standards typically apply to a widerange of companies, not just multinational companies.5. Following is a sample essay on the 1995 European Commission adoption of a new approach to accounting harmonization. The essay is based on material in articles by Gerhard G. Mueller, "Harmonization: Efforts in the European Union," in Frederick D.S. Choi, ed., International Accounting and Finance Handbook, New York: John Wiley & Sons, 1997, page 11.28; and Peter Walton, “European Harmonization,” in Frederick D.S. Choi, ed., International Finance and Accounting Handbook, New York: John Wiley & Sons, 2003, page 17.7Beginning in the early 1990s, the Commission examined a number of alternative harmonization strategies. These included, among others, substantive revisions of the existing accounting Directives, creation of a Europe-wide accounting standards-setting board, exempting certain European companies from all EU accounting requirements so that these companies might apply accounting standards of other jurisdictions, or re-enforce its earlier push for mutual recognition.The reality of international pressures and the need of European multinationals to be listed on several stock exchanges finally made it clear that the creation of a strong European regional level of accounting regulation was simply adding an unnecessary third tier, sandwiched between national regulations and the international capital markets.In the end, the European Commission adopted a new accounting harmonization strategy on November 14, 1995 and forwarded respective recommendations to the European Council and to the European Parliament. The essence of the recommendation is that the EU will support the IASC/IOSCO initiatives and work to bring EU accounting requirements in line with International Accounting Standards (IAS). The Commission decided, after many years of hesitation, to participate in IASC standard setting, although only as an observer.In addition, the new harmonization strategy concentrated on consolidated financial statements. It had come to be realized that harmonization of individual company accounts is not necessarily very useful. This decision endorsed a break of the link between individual company accounts and consolidated accounts.The new European Commission’s strategy for EU accountin g harmonization is a major change from the EU accounting harmonization policies that had been in place over the preceding twenty-five years.6.Note to Instructors: Exhibit 8-3 is current at the time of writing. It would be best for you to log on to the IASB Web site, , and complete this exercise yourself before assigning it to students.。

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 reallyexposed 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 ). Th us 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 $10,000, it will cost SF16,129 (=10,000/.62). Since the Swiss client has an option to pay SF15,000, it will choose to do so. The value of this option is obviously SF1,129$ Cost Options hedgeForward hedge$3,453.75 $3,1500.5790.64(strike price)$/SF$253.75(=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 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) 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 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 58,823,529 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 s ales (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。

第八章课后题库参考答案1．什么是会计风险，会计风险是如何产生的？会计风险也叫折算风险，指未预期的汇率变化对国际公司的合并财务报表产生的影响。

对于国际公司而言，国外子公司的财务报表通常是由子公司采用当地货币计算、编制的，所以在编制合并报表以前，母公司首先要将外国子公司用外币编制的财务报表转换为用母公司的记账货币编制的财务报表。

在编制合并财务报表时，如果子公司所有账户都采用同一折算汇率，则折算后子公司会计报表将不存在不平衡的情况，反之，如果用不同的汇率折算不同的会计科目，则折算后子公司财务报表可能出现不平衡。

2．列出流动/非流动法折算外币会计报表的规则。

流动资产和流动负债应按现行汇率进行折算，非流动资产与非流动负债应按历史汇率折算，大多数收益项目要按照会计期内的平均汇率进行折算，但是对于收益表中那些与非流动资产与非流动负债相关的收入和费用项目（如折旧费用），则需按照相应的资产负债表项目的历史汇率进行折算。

3．时态法和货币/非货币法折算外币会计报表有何区别?时态法是针对货币/非货币法的缺陷提出的。

货币/非货币法要求折算汇率必须依据资产负债的类型进行选择，即货币性资产负债项目使用现行汇率，非货币性资产负债项目使用历史汇率，而时态法中折算汇率是依据成本计价基础（历史还是市场）的不同进行选择的。

4．1982年美国财务会计准则委员会颁布了第52号公告，代替第8号公告作为外币会计报表的折算标准，这是否提高了公司盈余的质量？该如何判别？确实提高了公司盈余的质量。

8号公告要求：美国的国际公司将外国子公司财务报表折算成美元时必须使用时态法，要与公认会计准则保持一致。

52号公告规定：美国公司必须采用现行汇率法将以外币表示的资产负债折算成以美元表示的资产和负债，收益上的所有外币收入和费用项目以会计期间的加权平均汇率折算。

FASB-52中最重要的一点是允许汇兑损益从母公司资产负债表中作为一个单独的权益账户进行累计，不再影响当期损益，进行累计的独立账户成为“累积折算调整”（CTA）。

CHAPTER 7 FUTURES AND OPTIONS ON FOREIGN EXCHANGESUGGESTED ANSWERS AND SCX.UTIONS TO END-OF-CIIAPTERQUESTIONS AND PROBLEMSQUESTIONS1 ・ Expl ain the basi c dificrcnces between the operation of a ciurcncy ibrward market and a fiitures market. Answer: Tlie forward mark巩is an OTC market where the forward contract for purchase or sale of foreign currency is tailor-made between the client and its international bank・ No money cliangess hands miti l tlie maturity d^:e of the contract when deliveiy and receipt are typically made. A fijtiues contract is ail exchaiige-tiaded instniment with standaidized featuies specifying contiact size and deliveiy date. Futiues coohacts aie m aiked-to-iiiarket daily to reflect chaiig es in tlie settlement pii ce. Delivery i s seldom made in a futures market. Rather a l^versi ng trade is made to close out a long or short position.2.In order for a derivatives market to fimetion most cfFio cntly, two types of economic agetits are needed: hedgers atid speculdtors・ Explain・Answer: Two types of niarket paiticipants arc ncccssaiy for the 巴尸五ci ent operat on of a derivatives market：speculators and hedgers. A speculator attempts to profit fiom a ijiange in the futures price・ To do this, the speculator wi 11 take a long or sliort position iti a futures contract depending upon his expectations of iuture price movern ent. A hedger, on- tlie-otlier- han d, desir es to avoid price var iation by locking in a purchase pri ce of die wide dying asset thiougli a long position in a liitures ccutract ci a sales price through a short positi on. hi effect, the hedger passes off the iisk of price vai iation to the speculator who is better able, or al I ea?t more willing, to bear this risk.3.Wliy are most fiitiu es positions cl os ed out th rough a reversing trade rath er than held to deliveiy? Answer: In forward markets，approximately 90 percent of all cont「勺cts that 前e initially establishucl result in the short making deliveiy to the long of the asset underlying the contract. This is natural because tlie term s of forward contracts ai e tailor — ni ade between th c long and s hort ・ By contrast, only about one percent of CIUTCIICV fiitiwcs cotit roots result in del i very ・ While futures contracts arc useful for speculation and hedging, their standardized delivery dates make them unlikely to correspond to the actual future dates wiicti forogii cxdiange transactions will occur. Tlius, they are genet'al closed out in arcs z ei^ing trade. In fact, the commission that buyers mid sell ers pay to transact hi the futures maket is s singl c amount that covei^ the round-trip tiTais actio ns of initiating and closing out the position・4.How can the FX firtut es maiket be used for pH cc discovery?Answer: To the extent tliat FX forward pri oes are ail unbiased predictor of fiiture spot exchange rates, tlie market anticipates whether one cuiyenoy will appreciate or depreciate versus another・ Because FX Eitiires conti-acts trade in an expi ration cycle, cliflerent c onto acts expire at diHeient peiiDclic dates into tlie iiiture ・Tlie patteiri of the prices of these contacts provides information as to tlie mai kefs ciin ent belief about th巴rd ative fiiture value of one ciui ency versus anothei at the scheduled expiration dates of the contracts. One will genially see a steadily appreci ating or depreciating pattern; howevei; it may be mixed at times. TTius, the fiitures market is usefill for price dscovery. i.e., obtaining the market's forecast of the spot exchange rate at different future：d“tES・5・ What is tlie major di fFerenoe in the obligation of one with a long positi on in a fijturcs (or fonvaid) contract in comparison to an options confraot?Answer: A futures (or forwaid) contract is a vehicle for buying or sei ing a staled amount of foreign exchange at a stated price per unit at a specified time in tlie fiitiue・ If the long holds the contract to the delivery date, he pays tlie effective contractual fiitures (or foiwat'd) price, regardless; of whether i t is an advantageous pti ce in oompaiiscn to tlie spot price at the delkeiy date. By oontiasf, ail option is a contiact giving the loris tlie riglit to buy ci sell a given quantity of an asset at a specified price at some time in the fiihn e? but not enforcing any obligation on him if the spot pti ce is more favorable tliaii the exercise prize. Because th巴opti on ownei* does not have to exercise t he option if it i s to his disadvaiit^e, the option has a price, or premium, whereas no price is p已id at inception to enter into a futures (orforward) contract6. Wliat is nieait by the terminology that an option is in-, at-, or oiit・of— the-money?Answer： A call (put.) option with St >E (E> S^) is refetred to as trading in-thc-monej r・ If E tlie option is hading at-tlic-money. If Sf< E (E<§) the call (put) option is trading out-ofithe- JYiOYie^ ・7 List the arguments (variables) of which an FX call or put oj^tion model price is a function ・ How does tiic call and put preininm change with respect to s change in the ai'guments?Answer: Botii call mid put options are fiinctions of only six variables：£, E, r讣讣 T an de When all else remains tlic same、the price of aEuicpcaii FX call (put) option w 11 incressc:1・ tlic lai'gei'(smaller) isS,2. the small曰(larged is E、3・ tlie smaller (larger) is r n4・ tlie i aiger (smalleij is r t>5.the laiger (smaller) is relative to r f, arid6.the gj eater is aWhen and are not too niucli different in size, a European FX call and put will increase in price when the option term-to-matiirity increases・ Howe、曰；when 飞 is very mu ch laigei than a European FX cal I will increase in price, but the put premium wil I decrease, whe厂i the option tenn-to-m increascs. The opposite i s tme when i s vety much greater than r$. ForAmerican 二X opti oils tlic analysis is I傑s complicated Since a longer tenn American option can be exercised on any date that a shorter tenn opti on can be exercised or □ some later date, it follows tliat tlie all else remaining the sarne. tlie longer tenn Americen opti on will sell at a price at least as laige as tlie shorter tenn option.PROBLEMS1. Assiunc toda>r，s settlement price on a CME EUR futures contract is S1.314O/EUR. Yon have a short position in one contract. Your performaiicc bond accoimt ciurcntly has a balance of $L 700. The next tlii'cc days, scttleincnt prices ETC $1.3126, $1.3133, arid S1.3049. Calculate the changes in tlic perfonnaiicc bond account from d已ily marking-to-market andthe balance of tlie perfotTnance bond accoiuit after the third day. Solution: $1, 700 +[〔$1.314 O・ S1.3126) + ($1.3126 -Si. 3133)+ (Sl.3133 - SI.3049)]XEUR125,000= $2,837.50,where EUR125, 000 is the contractual size of one EUR contract.2- Do problem 1 again assuming you have a long position in the futures conti act・Solution： $1,700+ [($1.3126 ・ $1.3140)+($ 1 ・ 31 33 ・S1・3126)十($L3(Mg • $1 .3133)] xEUR125,0OO= $562.50,where EUR125, OOO istlie contrachial sizeuf one EUR contract.With only $562・ 50 in your petfonnancc bond account, you would experience a tnargiti call requesting that additional fijnds be added to youipeiionnance bond account to bring tlic balance back up to tlie initial petdonnaiice bond level・3・ Using the quotations in Exlubit 7.3、cal cul ate the face value of the open interest in the June 2005 Swiss franc fiitures contiact ・Solution： 2401 contracts x SF125Q00 二SF262, 625JD00.vvhei'e SF125, 0C0 is tlie couti actnal size of one SF contract ・ing tlie quotations in Exliibit 7. 3, note that the June 2005 Mexican peso Mur es contract has a price of SO. 08845. You believe tlie spot piice in June wil be $ 0. 09500. WhM speculative position would you enter into to attempt to profit frotn your beliefs ? Calculate your anticipated profits, assuming you taP；e aposition in tlwee contracts ・ Wliat is the size of your profit (loss) if the fhtures price is indeed an unbiased predictor of the fiitii re spot price and this price materializes?Solution： If you expect the Mexi can peso to li se from SO.08845 to SO. 09500, you would take a long position in fiitiucs since the fiitiires price of $ 0.08845 is less than your expected spot price.Your anticipated profit from a I ong position in tiirec contracts is: 3 x ($0.09 500 -$0・ 08845)xMP500.0C'0= $9, 825.00. where MP500.00C1 isthe contractual size of one MP contrast.If the fiitures price is sn unbiased predictor of the expected spot price, the expected spot price is tlic iutca cs price of $0.08845///MP・ If tliis spot price materializes, you will not hsrs r e any profits or losses from your short position in three futures contracts: 3 x ($O・ 08845 -$0.08845) XMP500.000 =0.5.Do problem 4 again assuming you believe the Jiuie 2005 spot price will be $0.08500. Solution: If you expect tlie Mexi can psso to depieci ate fi-oni $ 0.08&15 to $ 0.07500, you wou d take a short position in fiitures since the futures price of $0.08845 is greater tliaii your expected spot price・Yciu anticipated p io fit from a sh or t pos ition in three contract s is： 3 x i, $ 0 ・ 08845 ・ $0.07500) xXlP500,000= $20,175.00 ・If tlie fiitiues price is an unbiased predictor of the Future spot price and this price materializes? you will not profit or lose from your long futwes pzisiti on.6.George Johnson is considering a possible ax-motith SI 00 million LJBClR-bascd, floating-ratebank loan to Hind a project 址terms shown in the tabic below. Johnson fears a possible ti ss in the LIBOR rate by December mid wants to use the December Eurodollar fiitures contrast to hedge thi s risk・ Tlie contract expires December 20< 1999. has a US$ 1 mi Ilion contract size,and a discount yield of 7. 3 pei cent・Joints on will ignore the cash flow implications of marking to market、i nitial margin requirements, and any timing niisinatch between ex change-ti'aded fiitures contiact cash flows and tlie interest payments due in March. Loan TermsaLoan First loan payment (9%) Second paynie nto initiated and fiitures contract expires and principal•••5 9/20/99 町2/20/933/20/00a・ Fonnulatc Jolmsotrs September 20 floating-to-f xed-ratc sti ategy using the Eurodollai futui c contracts discussed in tlie text above. Showthat tliis strategy would result in a fixed-rate Icaih assiuning ail increase in tlieLIBOR rate to 7・ 8 percent by December20, which remains at 7.8 peicent tbrougli March 2O・ Show all calculations.Johnson is considering s 1 2 — moutli loan as aii alternatiue・Ihi $ approach wi II result in two additional unceilain cash flows, as follows:I.oaricFii sbSecond Tliii(UFoin1li pa^nnento initiated payment (9%) s>payin ent payment a and principal9/20/99 12/20/99 码/20/00 6/20/009/20/00b. Describe tlie strip hedge that Johnson could use and explain how it liedges the 12-month loan (spec 迅'number of contracts). No calculatious are needed.CFA Guidel ine Answer孔Tlie basis point value (BPV) of a Eiu odollai' fiihu es cxDiiti act can be found by substituting the contract specifications into the following money m aiket relationship：a BPV FUI = Ciiange in Value = (face value) x (days to maturity / 360)x (change in yield)a q尸$(1 milion) x (90 / 360)x (.0001 )$25Tlie nimibcr of contract, N. can be found by:N = (BPV spot) / (BPV fiitiires)x($2,500)/($25)3 = 100aORo N = (value of spot position) f (face value of each Futures contract)尸($ 100 million) / (SI million)a =1CO(value of spot position) / (value of iutiucs position)b □ S(1 OO, 000, 000) / ($ 981,750)where value of fiitiires position = $1,000,000 x [1-(0.073/4)]« 102 contractsTlicreforc on September 20, Johnson would sell ICO (or 102) December Eurodollar futures contracts at the 7.3 percent yield. The imp： iedL1BOR rate in December is 7・3 percent as indicated by the December Eiuofiitiu'es discount yield of 7.3 percent・ fhus a boniowing rate of 9・3 percent (7.3 percent + 200 basis points) can be locked in if tlie hedge is cciTcctly implemented.A rise in the rate to 7.8 percent represents a 50 basis point (bp) increase over tlie implied LIBOR rate. For s 50 basis point increase in LIBOR, the cash flow on the short futures position is:o = ($25 per basis point per contract) x 50 bp x 100 contractsx$125,000.However, the cash flow on die floating rate liabi lity is:x -0.098x ($100,000,000/4)=・ S2,45O, 000.Combining the cash flow fiom tlie hedge with the cash flcwfi-om the loan results in a net outflow of S2?325,GOO, which translates into an annual rate of 9.3 percent：=($2,325,000x4) / $100,000,030 = 0.093This is precisely the implied bor rowii^ rate that Johnson locked in on September 2(). Regardless of the LIBOR rate on December 20. the net outflow will be $ 2,325,000, which translates into ail annualized rate of 9.3 percent. Consequently, tlie floating rate liability 1ms been converted to a fixed rate liabil ity i n the sense tliat tlie interest rate imcertaintv associated with tlie March 20 payine nt (using tlie December 20 contiact) has been removed as of Sepzember 20・ b・【1】a strip hedge, Johnson would sell 100 December futiues (for the March payment), 100 March fiitiires (lor the June payment)、and 100 June firtiu'es (for the September payment)・ The objective is to hedge each interest rate psynient sepaiately using tlie appropriate muiiber of contiacts. The probl em is the same as in Pai! A except here tlii ee cash flows sie subject to rising rat es and a strip of fiitu res is used to hedge this interest rate risk. Tliis pi obi em is simplified somewhat because the cash flow mismatch behveen the fiitiires and the loan payment is ignored ・ Therefore, in ord er to hedge each cash flow, Johnson simply sells 100 contracts far each payment・The strip hedge traiisfbrrns the floating rate loan into a strip of fixed rWc payments・As was done in Part A、the f xed rates are found by adding 200 basis points to tlie imp I icd Foiwar d LIBOR rate indicated by tile dis count yield of the tlirce diiFcrcnt Eiu^odollar fiitiires contracts・ Tlic fixed pajments will be equal wlicn the LIBOR temi structure is flat for the first year ・7.Jacob Bower has a liability that:•has a pnncipal balance of S1 DO million on June 30,1998,•accrues interest quarterly stalling on June 30. 1998.•pf^s interest quarterly、•has a one-yeai' tenn to maturity, end•calculates interest due based on 90-day LIBOR (die London Intel bank Offeredo Rate.)Bower wishes to hedge hi s remaining i nterest payments against changes in interest rates・Bower has coircctly cal cul ated that he needs to sell (short) 300 Eurodollar fhturcs contracts to accomplish the hedge ・ He is considei*ing the altemative hedging strategies out I inedin the following table.Initial Position(6/30/98) in90 Day LlBOR Eurodollai- Contracts曰Explanwhy strategy B is a more effective hedge than strategy A when the yield curve undergoes em instant aiieous iionparallel shift.b・ Discuss ail interest rate scenario in which strategy A would be superior to strates^/ B・CFA Guide! ine Answei*a.^Strategy, B's SuperiorityStrategy B is a strip hedge that is constructed by selling (shoiiiiig) 1 OO Bjtures contracts m aturiiig in each of the next three quailers. With tlie strip liedge in place, each qiiaiter of the coming year is hedged against shifts in interest rates for th at qnailei*. The r eason Strategy B will be a more effective hedge than Strategy A for Jacob Bower is that Strategy B is likely to work well whether a parallel shift or a nonpai'allcl shift occurs over th ㊁onc-yeat' term of Bow er 7s liability. That is, regardless of what happens to the term structiwc, Strategy B structures the fiihires hedge sc that the rates reflected by the Einodollar fiihwcs cash price match the applicable fates forthe undciiying liability-tlic 90day LIBOR-based rate on Bower's liability. The same is net true forStrategy A. Because Jacob Bowers liability cemcs a floating interest rate that resets quaitcrly ・ he needs a sti ategy that provides a series of th rec-month hedges ・ Strategy A will need to be re^triictm'ed when tlie three -montii September contract expires. In particular, if the yield curve twists upward (fijtures yields rise more for distant expirations than for neai' expirstious), Strategy A will produce iiife ioi hedge results・b. Scenaiio in Which Stiategy A is SuperiorStrategy A is a stack hedge stiategy that initially involves selling (sliortirig) 300 September contracts・ Strategy A is raiely better than Stiategy B as a hedging orrisk-nediiction strategy. Only from the perspecti ve of faxorable cnsh flows is Strategj r A better than Strategy B. Such cash flows occur only in certain interest rate scenarbs・For example Strategy A wil 1 work aswclI ss Strategy B for Bowct^s liability if interc^z rates (inst antatieously) change in parallel fashion. Another interest rate scenario where Sfratcgy A outpctioniis Strategy B is one in which tlie yield ciuve rises but witli ahvist so that futures yields rise more for neai' expi rations than for distant expirations. Upon expiration of the September co厂tract. Bower will have to rol 1 out his hedge by selling 200 December contracts to hedge the remaining interest payments. Tliis action will have the effect tliat tlie cash flow from Stiat 已gy A wi 11 be larger than the cash flow from Strategy B b©cause tlie appreciation ou the 300 slioi! September fiitures contracts will be larger tliaii the cumulative appreciation in the 300 contracts shorted in Strategy B (i.e., 100 Septem ber, 100 Deceinber, and 100 Mauch). Consequently, the cash flow fi-oni Strategy A will more thai offset the increase in the intei est payment on the liability, whereas the cash ilowfi-om Strategy B wil I exactly offset the increase in the interest payment on the I lability・e the quotations in Exliibit 7.7 to calcinate the intrinsic value and the time value of the 97 September Japanese yen Amet iceii call arid put options.Solution: Premium- Intrinsic Value = Time Value97 Sep Call 2.08 -Max [95.80 -97.00= - 1.20. o] =2.08 cents per 100 yen97Sep Put 2.47 - Ma>c[97.C0 - 95.80 =1. 20, 0] = 1.27 cents per 1 OOyen9.Assume spot Swiss franc is $ 0.7000 and the six-month fbrwaid rate is $0.6950. What is tlie minitnuni price that a six-month Ametican call option with a striking price of SO.6800 should sellFor in a rational market f Assume the aimualizcdsix-niontii Ewodollar rate is 3 % percent・ Solution:Note to Instnictor: A complete solution to this problem relies on the boiindaiy expressions presented in footnote 3 of the text 济Chapter 7.C a>Mzx[(70 — 68)、(6950 - 68)/(1.0175), O]>Zl4zx[ 2. 1.47. 0] = 2 cents10・ Do problem 9 again assimiing ail American put option instead of a call option・Solution：心必4(68 -70), (68-69. 50)/(1.0175), 0]-2, -1.47. 0] = 0 cents1 1 ・ Use tlie European option-pii ci ng models developed in tlie chapter to value the cal 1 of probl an 9 and tlie put of problem 1 0・ Assume the aimualized volatility of the Swiss fi*anc is 14.2 percent. This problem can be solved using tlie FXOPM.xJ s spreadsheet・Solution:^ = [/n(69.50/68)+.5(. 142)2(.50)]/(.142)心O=.2675<4= £・.142*50 =・ 2765 ・.1004 = .1671N(di) = .6055N(d^ =・ 5664M呦= .3945N(-d^) = .4336Q 二[69.50(.6055)・ 68(・5664)]e"3%j°)= 3.51 centsP. - [68(.4336)-69.50(. 3945张心珈刘=2.03 cents12. Use the binomial option-pricing model developed in the chapter to value the call of problem 9・ Tlie volatility of tlie Swissiiaiic is 14.2 percent・Solut ion: Tlie spot rate at T will be either 77.390 = 70・00c(l・ 1056) or 63.32 0 = 70.00^(.9045), where u = &*灼=1. 1056 and a? = 7血=・©045. At the exerci se price of E =6& the option wi II only be exercised at time T if the Swi ss franc appreciates; its exercise value would be C u f= 9.390 = 77.39^ - 68. If tlie Swiss franc depreciates it would not be rational to exercise the opti on ； its value woul cl be C dT = O.TVie hedge ratio is% = (9.39 一0)/(7739-63 J2)=・ 6674・Thus, the call premium is:=?k^{[69.50(.6674)-68((70/681 (. 6674 - 1)+])]/(1.0175), 70 -68}= Max[l. 64, 2] = 2 cctits per SF.国际财务管理课后习题答案chapter 711/11GMINI CASE ： THE OPTIONS SPECULATORA speciil at or is ccnsid ering the purchase of five three - month Japanese yen call options with a strikingprice of 96 cents per 100 yeti. Tlie premium is 1.35 cents per 100 yen ・ Tlie spot price is 95.28 cents per 100 yen and tlie 90・day forward rate is 95.71 cents. The speculator believes tlie yen will ^Jpreciate to $ 1.00 per 1 00 yen ovei the next du es months. As tlie speculator's assistant, you liavebeen asked to prepare the following ：1 ・ Graph the call option cash flow schedule.2. Det 已 rmine the speculator's profit if the yen appreciates to $1. 00/100 yen.3. Det 曰 Triine the speculators profit if the yen only appreciates to the fonvaid rate.4. Determine the fiitiu c spot price at which the speculator will only break wen.Suggested Solution to tlie Options Speculator:2. (5 x¥6,250000) x [(1 00 - 96)- 1. 35]/1 0000 = $&281・25・3. Sin c e the oprj on expi res out — of-the — money, the -s p ec u lator will let the opt ion expi leworthless ・ He uvill only lose tlie option pi emium ・4. = E +C=96 + 1.35 = 97.35 ceiitsper 100 yen.。