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1 Amber McClain

Amber McClain, the currency speculator we met earlier in the chapter,sells eight June futures contracts for

500,000 pesos at the closing price quoted in Exhibit 8.1.

a. What is the value of her position at maturity if the ending spot rate is $0.12000/Ps?

b. What is the value of her position at maturity if the ending spot rate is $0.09800/Ps?

c. What is the value of her position at maturity if the ending spot rate is $0.11000/Ps?

a. b. c.

Assumptions Values Values Values

Number of pesos per futures contract 500,000 500,000 500,000

Number of contracts 8.00 8.00 8.00

Buy or sell the peso futures? Sell Sell Sell

June futures settle price from Exh8.1 ($/peso) $0.10773 $0.10773 $0.10773

Spot - Futures $0.01227 ($0.00973) $0.00227

Value = - Notional x (Spot - Futures) x 8

Interpretation

Amber buys at the spot price and sells at the futures price.

If the futures price is greater than the ending spot price, she makes a profit.

Problem 8.2 Peleh's Puts

Peleh writes a put option on Japanese yen with a strike price of $0.008000/¥ (¥125.00/$) at a premium of 0.0080¢ per yen and with an expiration date six months from

now. The option is for ¥12,500,000. What is Peleh's profit or loss at maturity if the ending spot rates are ¥110/$, ¥115/$, ¥120/$, ¥125/$, ¥130/$, ¥135/$, and ¥140/$.

a) b) c) d) e) f) g)

Assumptions Values Values Values Values Values Values Values

Notional principal (¥) 12,500,000 12,500,000 12,500,000 12,500,000 12,500,000 12,500,000 12,500,000

Maturity (days) 180 180 180 180 180 180 180

Strike price (US$/¥) $0.008000 $0.008000 $0.008000 $0.008000 $0.008000 $0.008000 $0.008000

Premium (US$/¥) $0.000080 $0.000080 $0.000080 $0.000080 $0.000080 $0.000080 $0.000080

Ending spot rate (¥/US$) 110.00 115.00 120.00 125.00 130.00 135.00 140.00

in US$/¥ $0.009091 $0.008696 $0.008333 $0.008000 $0.007692 $0.007407 $0.007143

Gross profit on option $0.000000 $0.000000 $0.000000 $0.000000 $0.000308 $0.000593 $0.000857

Less premium ($0.000080) ($0.000080) ($0.000080) ($0.000080) ($0.000080) ($0.000080) ($0.000080)

Net profit (US$/¥) ($0.000080) ($0.000080) ($0.000080) ($0.000080) $0.000228 $0.000513 $0.000777

Net profit, total ($1,000.00) ($1,000.00) ($1,000.00) ($1,000.00) $2,846.15 $6,407.41 $9,714.29

Problem 8.3 Ventosa Investments

Jamie Rodriguez, a currency trader for Chicago-based Ventosa Investments, uses the following futures quotes on the British pound (£) to speculate on the value

of the pound.

Open

Maturity Open High Low Settle Change High Interest

March 1.4246 1.4268 1.4214 1.4228 0.0032 1.4700 25,605

June 1.4164 1.4188 1.4146 1.4162 0.0030 1.4550 809

a. If Jaime buys 5 June pound futures, and the spot rate at maturity is $1.3980/£, what is the value of her position?

b. If Jamie sells 12 March pound futures, and the spot rate at maturity is $1.4560/£, what is the value of her position?

c. If Jamie buys 3 March pound futures, and the spot rate at maturity is $1.4560/£, what is the value of her position?

d. If Jamie sells 12 June pound futures, and the spot rate at maturity is $1.3980/£, what is the value of her position?

a) b) c) d)

Assumptions Values Values Values Values

Pounds (₤) per futures contract £62,500 £62,500 £62,500 £62,500

Maturity month June March March June

Number of contracts 5 12 3 12

Did she buy or sell the futures? buys sells buys sells

Pound futures contract, settle price ($ $1.4162 $1.4228 $1.4228 $1.4162

Spot - Futures ($0.0182) $0.0332 $0.0332 ($0.0182)

buys: Notional x (Spot - Futures) x contracts

sells: Notional x (Spot - Futures) x contracts

Interpretation

Buys a future: Jamie buys at the futures price and sells at the ending spot price. She therefore profits when the futures price

is less than the ending spot price.

Sells a future: Jamie buys at the ending spot price and sells at the futures price. She therefore profits when the futures price

is greater than the ending spot price.

Problem 8.4 Sallie Schnudel

Sallie Schnudel trades currencies for Keystone Funds in Jakarta. She focuses nearly all of her time and attention on the

U.S. dollar/Singapore dollar ($/S$) cross-rate. The current spot rate is $0.6000/S$. After considerable study, she has

concluded that the Singapore dollar will appreciate versus the U.S. dollar in the coming 90 days, probably to about

$0.7000/S$. She has the following options on the Singapore dollar to choose from:

Put on Sing $ $0.6500/S$ $0.00003/S$

Call on Sing $ $0.6500/S$ $0.00046/S$

b. What is Sallie's breakeven price on the option purchased in part (a)?

c. Using your answer from part (a), what is Sallie's gross profit and net profit (including premium) if the spot rate at the

end of 90 days is indeed $0.7000/S$?

d. Using your answer from part (a), what is Sallie's gross profit and net profit (including premium) if the spot rate at the

end of 90 days is $0.8000/S$?

Strike price (US$/Singapore dollar) $0.6500 $0.6500

Premium (US$/Singapore dollar) $0.00046 $0.00003

Assumptions Values

Current spot rate (US$/Singapore dollar) $0.6000

Days to maturity 90

Expected spot rate in 90 days (US$/Singapore dollar) $0.7000

Since Sallie expects the Singapore dollar to appreciate versus the US dollar, she should buy a call on Singapore dollars.

This gives her the right to BUY Singapore dollars at a future date at $0.65 each, and then immediately resell them in the

open market at $0.70 each for a profit. (If her expectation of the future spot rate proves correct.)

Per S$

Strike price $0.65000

Note this does not include any interest cost on the premium. Plus premium $0.00046

Breakeven $0.65046

c. What is Sallie's gross profit and net profit (including premium) if the ending spot rate is $0.70/S$?

(US$/S$) (US$/S$)

Spot rate $0.70000 $0.70000

Less strike price ($0.65000) ($0.65000)

Less premium ($0.00046)

Profit $0.05000 $0.04954

d. What is Sallie's gross profit and net profit (including premium) if the ending spot rate is $0.80/S$?

(US$/S$) (US$/S$)

Spot rate $0.80000 $0.80000

Less strike price ($0.65000) ($0.65000)

Less premium ($0.00046)

Profit $0.15000 $0.14954

Problem 8.5 Blade Capital (A)

Christoph Hoffeman trades currency for Blade Capital of Geneva. Christoph has $10 million to begin with, and he must state

all profits at the end of any speculation in U.S. dollars. The spot rate on the euro is $1.3358/€, while the 30-day forward rate is

$1.3350/€.

a. If Christoph believes the euro will continue to rise in value against the U.S. dollar, so that he expects the spot rate to be

$1.3600/€ at the end of 30 days, what should he do?

b. If Christoph believes the euro will depreciate in value against the U.S. dollar, so that he expects the spot rate to be

$1.2800/€ at the end of 30 days, what should he do?

a. b.

Assumptions Values Values

Initial investment (funds available) $10,000,000 $10,000,000

Current spot rate (US$/€) $1.3358 $1.3358

30-day forward rate (US$/€) $1.3350 $1.3350

Expected spot rate in 30 days (US$/€) $1.3600 $1.2800

One of the more interesting dimensions of speculating in the forward market is that if the speculator has access to the forward

market (bank lines or relationships when working on behalf of an established firm), many forward speculation strategies

require no actual cash flow position up front. In this case, Christoph believes the dollar will be trading at $1.36/€ in the open

market at the end of 30 days, but he has the ability to buy or sell dollars at a forward rate of $1.3350/€. He should therefore

buy euros forward 30 days (requires no actual cash flow up front), and at the end of 30 days take delivery of those euros and

sell in the spot market at the higher dollar rate for profit.

30 day forward rate (US$/€) $1.3350

Euros bought forward (Investment / forward rate) € 7,490,636.70

Spot rate in open market at end of 30 days (US$/€) $1.3600

US$ proceeds (euros bought forward exchanged to US$ spot) $10,187,265.92

Profit in US$ $187,265.92

Again, a profitable strategy can be executed without any actual cash flow changing hands at the beginning of the period. Since

Christoph believes that the dollar will strengthen to $1.28 in 30 days, he should sell euros forward now at the higher dollar

rate, wait 30 days and buy the euros needed on the open market at $1.28, and immediately then use those euros to fulfill his

forward contract to sell euros for dollars at $1.3350. For a profit.

Spot rate in open market at end of 30 days $1.2800

Euros bought in open market in 30 days (Investment / spot rate) € 7,812,500.00

Stefan had sold these euros forward at the start of the 30 day period.

30 day forward rate (US$/€) $1.3350

US$ proceeds (euros sold forward into US$) $10,429,687.50

Profit in US$ $429,687.50

Problem 8.6 Blade Capital (B)

Christoph Hoffeman of Blade Capital now believes the Swiss franc will appreciate versus the U.S. dollar in the

coming three-month period. He has $100,000 to invest. The current spot rate is $0.5820/SF, the three-month

forward rate is $0.5640/SF, and he expects the spot rates to reach $0.6250/SF in three months.

a. Calculate Christoph's expected profit assuming a pure spot market speculation strategy.

b. Calculate Christoph's expected profit assuming he buys or sells SF three months forward.

a. b.

Assumptions Values Values

Initial investment (funds available) $100,000 $100,000

Current spot rate (US$/Swiss franc) $0.5820 $0.5820

Six-month forward rate (US$/Swiss franc) $0.5640 $0.5640

Expected spot rate in six months (US$/Swiss franc) $0.6250 $0.6250

1. Use the $100,000 today to buy SF at spot rate SFr. 171,821.31

2. Hold the SF indefinitely.

3. At the end of six months, convert SF at expected rate $0.6250

4. Yielding expected dollar revenues of $107,388.32

5. Realize profit (revenues less $100,000 initial invest) $7,388.32

1. Buy SF forward six months (no cash outlay required)

2. Fulfill the six months forward in six months SFr. 177,304.96

cost in US$ ($100,000.00)

3. Convert the SF into US$ at expected spot rate $110,815.60

4. Realize profit $10,815.60

Problem 8.7 Chavez S.A.

Chavez S.A., a Venezuelan company, wishes to borrow $8,000,000 for eight weeks. A rate of 6.250% per annum is quoted

by potential lenders in New York, Great Britain, and Switzerland using, respectively, international, British, and the Swiss-

Eurobond definitions of interest (day count conventions). From which source should Chavez borrow?

Assumptions Values

Principal borrowing need $ 200,000,000

Maturity needed, in weeks 4

Rate of interest charged by ALL potential lenders 6.250%

Interest calculation uses:

Exact number of days in period 56

Number of days in financial year 360

So the interest charge on this principal is $ 1,944,444.44

Interest calculation uses:

Exact number of days in period 56

Number of days in financial year 360

So the interest charge on this principal is $ 1,944,444.44

Interest calculation uses:

Assumed 30 days per month for two months 60

Number of days in financial year 360

So the interest charge on this principal is $ 2,083,333.33

Andina should borrow in Great Britain because it has the lowest interest cost.

Problem 8.8 Botany Bay Corporation

Botany Bay Corporation of Australia seeks to borrow US$30,000,000 in the Eurodollar market. Funding is needed for two years.

Investigation leads to three possibilities. Compare the alternatives and make a recommendation.

#1. Botany Bay could borrow the US$30,000,000 for two years at a fixed 5% rate of interest

#2. Botany Bay could borrow the US$30,000,000 at LIBOR + 1.5%. LIBOR is currently 3.5%, and the rate would be reset every six

months

#3. Botany Bay could borrow the US$30,000,000 for one year only at 4.5%. At the end of the first year Botany Bay would have to

negotiate for a new one-year loan.

Assumptions Values

Principal borrowing need $ 200,000,000

Maturity needed, in years 2.00

Fixed rate, 2 years 5.000%

Floating rate, six-month LIBOR + spread

Current six-month LIBOR 3.500%

Spread 1.500%

Fixed rate, 1 year, then re-fund 4.500%

#1: Fixed rate, 2 years

Interest cost per year $ 10,000,000 $ 10,000,000

Certainty over access to capital Certain Certain Certain Certain

Certainty over cost of capital Certain Certain Certain Certain

Interest cost per year $ 5,000,000 $ 5,000,000 $ 5,000,000 $ 5,000,000

Certainty over access to capital Certain Certain Certain Certain

Certainty over cost of capital Certain Uncertain Uncertain Uncertain

Interest cost per year $ 9,000,000 ??? ???

Certainty over access to capital Certain Certain Uncertain Uncertain

Certainty over cost of capital Certain Certain Uncertain Uncertain

Only alternative #1 has a certain access and cost of capital for the full 2 year period.

Alternative #2 has certain access to capital for both years, but the interest costs in the final 3 of 4 periods is uncertain.

Alternatvie #3, possessing a lower interest cost in year 1, has no guaranteed access to capital in the second year.

Depending on the company's business needs and tolerance for interest rate risk, it could choose between #1 and #2.

Problem 8.9 Vatic Capital

Cachita Haynes works as a currency speculator for Vatic Capital of Los Angeles. Her latest speculative

position is to profit from her expectation that the U.S. dollar will rise significantly against the Japanese yen.

The current spot rate is ¥120.00/$. She must choose between the following 90-day options on the Japanese

yen:

Put on yen ¥125/$ $0.00003/S$

Call on yen ¥125/$ $0.00046/S$

b. What is Cachita's breakeven price on the option purchased in part (a)?

c. Using your answer from part (a), what is Cachita's gross profit and net profit (including premium) if the

spot rate at the end of 90 days is ¥140/$?

Assumptions Values

Current spot rate (Japanese yen/US$) 120.00

in US$/yen $0.00833

Maturity of option (days) 90

Expected ending spot rate in 90 days (yen/$) 140.00

in US$/yen $0.00714

Strike price (yen/US$) 125.00 125.00

in US$/yen $0.00800 $0.00800

Premium (US$/yen) $0.00046 $0.00003

Cachita should buy a put on yen to profit from the rise of the dollar (the fall of the yen).

b. What is Cachita's break even price on her option of choice in part a)?

Cachita buys a put on yen. Pays premium today.

In 90 days, exercises the put, receiving US$.

in yen/$

Strike price $0.00800 125.00

Less premium -$0.00003

Breakeven $0.00797 125.47

c. What is Cachita's gross profit and net profit if the end spot rate is 140 yen/$?

(US$/yen) (US$/yen)

Strike price $0.00800 $0.00800

Less spot rate -$0.00714 -$0.00714

Less premium -$0.00003

Profit $0.00086 $0.00083

Problem 8.10 Calling All Profits

Assume a call option on euros is written with a strike price of $1.2500/€ at a premium of 3.80¢ per euro ($0.0380/€) and with an expiration date three months from now.

The option is for €100,000. Calculate your profit or loss should you exercise before maturity at a time when the euro is traded spot at .....

Note: the option premium is 3.8 cents per euro, not 38 cents per euro.

a. b. c. d. e. f. g.

Assumptions Values Values Values Values Values Values Values

Notional principal (euros) € 100,000.00 € 100,000.00 € 100,000.00 € 100,000.00 € 100,000.00 € 100,000.00 € 100,000.00

Maturity (days) 90 90 90 90 90 90 90

Strike price (US$/euro) $1.2500 $1.2500 $1.2500 $1.2500 $1.2500 $1.2500 $1.2500

Premium (US$/euro) $0.0380 $0.0380 $0.0380 $0.0380 $0.0380 $0.0380 $0.0380

Ending spot rate (US$/euro) $1.1000 $1.1500 $1.2000 $1.2500 $1.3000 $1.3500 $1.4000

Gross profit on option $0.0000 $0.0000 $0.0000 $0.0000 $0.0500 $0.1000 $0.1500

Less premium ($0.0380) ($0.0380) ($0.0380) ($0.0380) ($0.0380) ($0.0380) ($0.0380)

Net profit (US$/euro) ($0.0380) ($0.0380) ($0.0380) ($0.0380) $0.0120 $0.0620 $0.1120

Net profit, total ($3,800.00) ($3,800.00) ($3,800.00) ($3,800.00) $1,200.00 $6,200.00 $11,200.00

Problem 8.11 Mystery at Baker Street

Arthur Doyle is a currency trader for Baker Street, a private investment house in London. Baker Street’s clients are a collection of

wealthy private investors who, with a minimum stake of £250,000 each, wish to speculate on the movement of currencies. The

investors expect annual returns in excess of 25%. Although officed in London, all accounts and expectations are based in U.S. dollars.

Arthur is convinced that the British pound will slide significantly -- possibly to $1.3200/£ -- in the coming 30 to 60 days. The

current spot rate is $1.4260/£. Arthur wishes to buy a put on pounds which will yield the 25% return expected by his investors. Which

of the following put options would you recommend he purchase? Prove your choice is the preferable combination of strike price,

maturity, and up-front premium expense.

$1.36/£ 30 days $0.00081/£

$1.34/£ 30 days $0.00021/£

$1.32/£ 30 days $0.00004/£

$1.36/£ 60 days $0.00333/£

$1.34/£ 60 days $0.00150/£

$1.32/£ 60 days $0.00060/£

Assumptions Values

Current spot rate (US$/£) $1.4260

Expected endings spot rate in 30 to 60 days (US$/£) $1.3200

Potential investment principal per person (£) £250,000.00

Strike price (US$/£) $1.36 $1.34 $1.32

Maturity (days) 30 30 30

Premium (US$/£) $0.0008 $0.0002 $0.0000

Strike price (US$/£) $1.36 $1.34 $1.32

Maturity (days) 60 60 60

Premium (US$/£) $0.0033 $0.0015 $0.0006

1. Because his expectation is for "30 to 60 days" he should confine his choices to the 60 day options to be sure and capture

the timing of the exchange rate change. (We have no explicit idea of why he believes this specific timing.)

* The lower the strike price (1.34 or 1.32), the cheaper the option price.

* The reason they are cheaper is that, statistically speaking, they are increasingly less likely to end up in the money.

* The choice, given that all the options are relatively "cheap," is to pick the strike price which will yield the required return.

* The $1.32 strike price is too far 'down,' given that Sydney only expects the pound to fall to about $1.32.

Net profit Net profit Net profit

Strike price $1.36000 $1.34000 $1.32000

Less expected spot rate (1.32000) (1.32000) (1.32000)

Less premium (0.00333) (0.00150) (0.00060)

Profit $0.03667 $0.01850 ($0.00060)

in this specific option, they would purchase an

option of the following notional principal (£): £75,075,075.08 £166,666,666.67 £416,666,666.67

Initial investment at current spot rate $356,500.00 $356,500.00 $356,500.00

Return on Investment (ROI) 772% 865% -70%

Risk: They could lose it all (full premium)

Problem 8.12 Contrarious Calandra

Calandra Panagakos works for CIBC Currency Funds in Toronto. Calandra is something of a contrarian -- as opposed

to most of the forecasts, she believes the Canadian dollar (C$) will appreciate versus the U.S. dollar over the coming

90 days. The current spot rate is $0.6750/C$. Calandra may choose between the following options on

the Canadian dollar:

Option Strike Price Premium

Put on C$ $0.7000 $0.00003/S$

Call on C$ $0.7000 $0.00049/S$

b. What is Calandra's breakeven price on the option purchased in part (a)?

c. Using your answer from part (a), what is Calandra's gross profit and net profit (including premium) if the spot rate

at the end of 90 days is indeed $0.7600?

d. Using your answer from part (a), what is Calandra's gross profit and net profit (including premium) if the spot rate

at the end of 90 days is $0.8250?

Assumptions Values

Current spot rate (US$/Canadian dollar) $0.6750

Days to maturity 90

Strike price (US$/Canadian dollar) $0.7000 $0.7000

Premium (US$/Canadian dollar) $0.00049 $0.0003

Since Giri expects the Canadian dollar to appreciate versus the US dollar, he should buy a call on Canadian dollars.

Plus premium 0.00049

Breakeven $0.7005

c) What is Calandra's gross profit and net profit (including premium) if the ending spot rate is $0.7600/C$?

(US$/C$) (US$/C$)

Spot rate $0.7600 $0.7600

Less strike price (0.7000) (0.7000)

Less premium (0.00049)

Profit $0.0600 $0.05951

d) What is Calandra's gross profit and net profit (including premium) if the ending spot rate is $0.8250/C$?

(US$/C$) (US$/C$)

Spot rate $0.8250 $0.8250

Less strike price (0.7000) (0.7000)

Less premium (0.00049)

Profit $0.1250 $0.12451

Problem 8.13 Raid Gauloises

Raid Gauloises is a rapidly growing French sporting goods and adventure racing outfitter. The company has decided to borrow €20,000,000 via a

euro-euro floating rate loan for four years. Raid must decide between two competing loan offerings from two of its banks.

Banque de Paris has offered the four-year debt at euro-LIBOR + 2.00% with an up-front initiation fee of 1.8%. Banque de Sorbonne, however,

has offered euro-LIBOR + 2.5%, a higher spread, but with no loan initiation fees up-front, for the same term and principal. Both banks reset the

interest rate at the end of each year.

Euro-LIBOR is currently 4.00%. Raid’s economist forecasts that LIBOR will rise by 0.5 percentage points each year. Banque de Sorbonne,

however, officially forecasts euro-LIBOR to begin trending upward at the rate of 0.25 percentage points per year. Raid Gauloises’s cost of capital is

11%. Which loan proposal do you recommend for Raid Gauloises?

Expected Chg

Assumptions Values in LIBOR

Principal borrowing need € 20,000,000

Maturity needed, in DAYS 30.00

Current euro-LIBOR 4.000%

Banque de Paris' spread & expectation 2.000% 0.500%

Banque de Paris' initiation fee 1.800%

Banque de Sorbonne's spread & expectation 2.500% 0.250%

Banque de Sorbonne's initiation fee 0.000%

Raid Gauloises must evaluate both loan proposals under both potential interest rate scenarios.

Expected interest rates & payments:

Expected euro-LIBOR 4.000% 4.500% 5.000% 5.500% 6.000%

Bank spread 2.000% 2.000% 2.000% 2.000% 2.000%

Interest rate 6.000% 6.500% 7.000% 7.500% 8.000%

Expected interest costs -€ 1,300,000 -€ 1,400,000 -€ 1,500,000 -€ 1,600,000

Repayment of principal -€ 20,000,000

Total cash flows € 19,640,000 -€ 1,300,000 -€ 1,400,000 -€ 1,500,000 -€ 21,600,000

euro-LIBOR rises 0.500% per year 7.7438%

euro-LIBOR rises 0.250% per year 7.1365% Found by plugging in .250% in expectations above.

Expected interest rates & payments:

Expected euro-LIBOR 4.000% 4.250% 4.500% 4.750% 5.000%

Bank spread 2.500% 2.500% 2.500% 2.500% 2.500%

Interest rate 6.500% 6.750% 7.000% 7.250% 7.500%

Expected interest costs -€ 1,350,000 -€ 1,400,000 -€ 1,450,000 -€ 1,500,000

Repayment of principal -€ 20,000,000

Total cash flows € 20,000,000 -€ 1,350,000 -€ 1,400,000 -€ 1,450,000 -€ 21,500,000

euro-LIBOR rises 0.500% per year 7.0370% Found by plugging in .500% in expectations above.

euro-LIBOR rises 0.250% per year 7.1036%

The Banque de Sorbonne loan proposal is actually lower all-in-cost under either interest rate scenario.

Problem 8.14 Schifano Motors

Schifano Motors of Italy recently took out a 4-year €5 million loan on a floating rate basis. It is now worried, however, about rising interest costs. Although it had initially believed interest

rates in the Euro-zone would be trending downward when taking out the loan, recent economic indicators show growing inflationary pressures. Analysts are predicting that the European

Central Bank will slow monetary growth driving interest rates up.

Schifano is now considering whether to seek some protection against a rise in euro-LIBOR, and is considering a Forward Rate Agreement (FRA) with an insurance company. According

to the agreement, Schifano would pay to the insurance company at the end of each year the difference between its initial interest cost at LIBOR + 2.50% (6.50%) and any fall in interest cost

due to a fall in LIBOR. Conversely, the insurance company would pay to Schifano 70% of the difference between Schifano’s initial interest cost and any increase in interest costs caused by a

rise in LIBOR.

Purchase of the floating Rate Agreement will cost €100,000, paid at the time of the initial loan. What are Schifano’s annual financing costs now if LIBOR rises and if LIBOR falls.?

Schifano uses 12% as its weighted average cost of capital. Do you recommend that Schifano purchase the FRA?

Assumptions Values

Principal borrowing need € 5,000,000

Maturity needed, in years 4.00

Current LIBOR 4.000%

Felini's bank spread 2.500%

Proportion of differential paid by FRA 70%

Cost of FRA € 100,000

If LIBOR Falls 50 Basis Pts Per Year Year 0 Year 1 Year 2 Year 3 Year 4 Year 5 Year 6 Year 7

Bank spread 2.500% 2.500% 2.500% 2.500% 2.500% 2.500% 2.500% 2.500%

Interest rate 6.500% 6.000% 2.000% 6.000% 5.500% 5.500% 5.000% 4.500%

Expected interest (interest rate x principal) -€ 300,000 -€ 100,000 -€ 300,000 -€ 275,000 -€ 275,000 -€ 250,000 -€ 225,000

Forward Rate Agreement -€ 100,000 -€ 25,000 -€ 225,000 -€ 25,000 -€ 50,000 -€ 50,000 -€ 75,000 -€ 100,000

Repayment of principal -€ 5,000,000

Total cash flows € 4,900,000 -€ 325,000 -€ 325,000 -€ 325,000 -€ 325,000 -€ 325,000 -€ 325,000 -€ 5,325,000

If LIBOR Rises 50 Basis Pts Per Year Year 0 Year 1 Year 2 Year 2 Year 2 Year 3 Year 3 Year 4

Bank spread 2.500% 2.500% 2.500% 2.500% 2.500% 2.500% 2.500% 2.500%

Interest rate 6.500% 7.000% 3.000% 7.000% 7.500% 7.500% 8.000% 8.500%

Expected interest (interest rate x principal) -€ 350,000 -€ 150,000 -€ 350,000 -€ 375,000 -€ 375,000 -€ 400,000 -€ 425,000

Forward Rate Agreement -€ 100,000 € 17,500 €0 € 17,500 € 35,000 € 35,000 € 52,500 € 70,000

Repayment of principal -€ 5,000,000

Total cash flows € 4,900,000 -€ 332,500 -€ 150,000 -€ 332,500 -€ 340,000 -€ 340,000 -€ 347,500 -€ 5,355,000

This rather unusual forward rate agreement is somewhat one-sided in the favor of the insurance company. When Schifano is correct, Schifano pays the full difference in rates to the insurance

company. But when interest rates move against Schifano, the insurance company pays Schifano only 70% of the difference in rates. And all of that is after Schifano paid €100,000 up-front

for the agreement regardless of outcome. Not a very good deal.

A final note of significance is that since Schifano receives only 70% of the difference in rates, its total cost of funds is not effectively "capped"; they could in fact rise with no limit over the

period as interest rates rose.

Problem 8.15 Chrysler LLC

Chrysler LLC, the now privately held company sold-off by DaimlerChrysler, must pay floating rate interest

three months from now. It wants to lock in these interest payments by buying an interest rate futures

contract. Interest rate futures for three months from now settled at 93.07, for a yield of 6.93% per annum.

a. If the floating-rate interest three months from now is 6.00%, what did Chrysler gain or lose?

b. If the floating-rate interest three months from now is 8.00% , what did Chrysler gain or lose?

Assumptions Values

Interest rate futures, closing price 93.07

Effective yield on interest rate futures 6.930%

Floating Rate is Floating Rate is

Chrysler's interest rate payments with futures 6.000% 8.000%

Sell a future (take a short position) -6.930% -6.930%

Gain or loss on position -0.930% 1.070%

Loss Gain

Problem 8.16 CB Solutions

Heather O'Reilly, the treasurer of CB Solutions, believes interest rates are going to rise, so she wants to swap her future

floating rate interest payments for fixed rates. At present she is paying LIBOR + 2% per annum on $5,000,000 of debt for the

next two years, with payments due semiannually. LIBOR is currently 4.00% per annum. Heather has just made an interest

payment today, so the next payment is due six months from today.

Heather finds that she can swap her current floating rate payments for fixed payments of 7.00% per annum. (CB

Solutions's weighted average cost of capital is 12%, which Heather calculates to be 6% per six month period, compounded

semiannually).

a. If LIBOR rises at the rate of 50 basis points per six month period, starting tomorrow, how much does Heather save or cost

her company by making this swap?

b. If LIBOR falls at the rate of 25 basis points per six month period, starting tomorrow, how much does Heather save or cost

her company by making this swap?

Assumptions Values

Notional principal $ 5,000,000

LIBOR, per annum 4.000%

Spread paid over LIBOR, per annum 2.000%

Swap rate, to pay fixed, per annum 7.000%

Interest & Swap Payments 6-months 6-months 6-months 6-months

Expected LIBOR 4.500% 5.000% 5.500% 6.000%

Expected LIBOR (for 6 months) -2.250% -2.500% -2.750% -3.000%

Spread (for 6 months) -1.000% -1.000% -1.000% -1.000%

Expected interest payment -3.250% -3.500% -3.750% -4.000%

Swap Agreement:

Pay fixed (for 6-months) -3.500% -3.500% -3.500% -3.500%

Receive floating (LIBOR for 6 months) 2.250% 2.500% 2.750% 3.000%

Swap savings?

Net interest after swap $ (225,000) $ (225,000) $ (225,000) $ (225,000)

Loan agreement interest (162,500) (175,000) (187,500) (200,000)

Swap savings (swap cost) $ (62,500) $ (50,000) $ (37,500) $ (25,000)

Expected LIBOR 3.750% 3.500% 3.250% 3.000%

Expected LIBOR (for 6 months) -1.875% -1.750% -1.625% -1.500%

Spread (for 6 months) -1.000% -1.000% -1.000% -1.000%

Expected interest payment -2.875% -2.750% -2.625% -2.500%

Swap Agreement:

Pay fixed (for 6-months) -3.500% -3.500% -3.500% -3.500%

Receive floating (LIBOR for 6 months) 1.875% 1.750% 1.625% 1.500%

Swap savings?

Net interest after swap $ (225,000) $ (225,000) $ (225,000) $ (225,000)

Loan agreement interest (143,750) (137,500) (131,250) (125,000)

Swap savings (swap cost) $ (81,250) $ (87,500) $ (93,750) $ (100,000)

In both cases CB Solutions is suffering higher total interest costs as a result of the swap.

Problem 8.17 Lluvia and Paraguas

Lluvia Manufacturing and Paraguas Products both seek funding at the lowest possible cost. Lluvia

would prefer the flexibility of floating rate borrowing, while Paraguas wants the security of fixed rate

borrowing. Lluvia is the more credit-worthy company. They face the following rate structure. Lluvia,

with the better credit rating, has lower borrowing costs in both types of borrowing.

Lluvia wants floating rate debt, so it could borrow at LIBOR+1%. However it could borrow fixed at

8% and swap for floating rate debt. Paraguas wants fixed rate, so it could borrow fixed at 12%.

However it could borrow floating at LIBOR+2% and swap for fixed rate debt. What should they do?

Credit rating AAA BBB

Prefers to borrow Floating Fixed

Fixed-rate cost of borrowing 8.000% 12.000%

Floating-rate cost of borrowing:

LIBOR (value is unimportant) 5.000% 5.000%

Spread 1.000% 2.000%

Total floating-rate 6.000% 7.000%

Lluvia's absolute advantage:

in fixed rate borrowing 4.000%

in floating-rate borrowing 1.000%

Comparative advantage in fixed rate 3.000%

Lluvia borrows fixed -8.000% ---

Paraguas borrows floating --- -7.000%

Lluvia pays Paraguas floating (LIBOR) -5.000% 5.000%

Paraguas pays Lluvia fixed 8.500% -8.500%

Net interest after swap -4.500% -10.500%

If Lluvia borrowed floating 6.000%

If Lluvia borrows fixed & swaps with Paraguas 4.500%

1.500%

If Paraguas borrows floating & swaps with Lluvia 10.500%

1.500%

The 3.0% comparative advantage enjoyed by Lluvia represents the opportunity set for improvement for

both parties. This could be a 1.5% savings for each (as in the example shown) or any other combination

which distributes the 3.0% between the two parties.

Problem 8.18 Trident's Cross Currency Swap: Sfr for US$

Trident Corporation entered into a three-year cross currency interest rate swap to receive U.S. dollars and pay Swiss francs. Trident, however,

decided to unwind the swap after one year – thereby having two years left on the settlement costs of unwinding the swap after one year. Repeat the

calculations for unwinding, but assume that the following rates now apply:

Notional principal $ 10,000,000 Original: US dollar 5.56% 5.59%

Original spot exchange rate, SFr./$ 1.5000 Original: Swiss franc 1.93% 2.01%

New (1-year later) spot exchange rate, SFr./$ 1.5560

New fixed US dollar interest 5.20%

New fixed Swiss franc interest 2.20%

On a notional principal of: $ 10,000,000

Trident will receive cash flows: → ### → ### → ###

↑

Exchange rate, time of swap (SFr./$) 1.5000

↓

Trident will pay cash flows: → SFr. 301,500 → SFr. 301,500 → SFr. 15,301,500

On a notional principal of: SFr. 15,000,000

Pay fixed rate Swiss francs at this rate: 2.01% 2.01% 2.01%

PV factor at now current fixed $ interest 5.20% 0.9506 0.9036

PV of remaining dollar cash inflows $ 528,517 $ 9,538,232

Cumulative PV of dollar cash inflows $ 10,066,750

PV factor at now current fixed SF interest 2.20% 0.9785 0.9574

PV of remaining SF cash outflows SFr. 295,010 SFr. 14,649,818

Cumulative PV of SF cash outflows SFr. 14,944,827

New current spot rate, SFr./$ 1.5560

Cumulative PF of SF cash outflows in $ $ 9,604,645

Settlement:

Cash inflow $ 10,066,750

Cash outflow (9,604,645)

Net cash settlement of unwinding $ 462,105 This is a cash receipt by Trident from the swap dealer.

Problem 8.19 Trident's Cross Currency Swap: Yen for Euros

Using the table of swap rates in the chapter (Exhibit 8.13), and assume Trident enters into a swap agreement to receive euros and pay Japanese

yen, on a notional principal of €5,000,000. The spot exchange rate at the time of the swap is ¥104/€.

a. Calculate all principal and interest payments, in both euros and Swiss francs, for the life of the swap agreement.

b. Assume that one year into the swap agreement Trident decides it wishes to unwind the swap agreement and settle it in euros. Assuming that a

two-year fixed rate of interest on the Japanese yen is now 0.80%, and a two-year fixed rate of interest on the euro is now 3.60%, and the spot rate

of exchange is now ¥114/€, what is the net present value of the swap agreement? Who pays whom what?

Notional principal € 5,000,000 Euros -- € 3.24% 3.28%

Spot exchange rate, Yen/euro 104.00 Japanese yen 0.56% 0.59%

On a notional principal of: € 5,000,000

Trident will receive cash flows: → ### → ### → ###

↑

Exchange rate, time of swap (¥/€) 104.00

↓

Trident will pay cash flows: → 3,068,000 → 3,068,000 → 523,068,000

On a notional principal of (yen): 520,000,000

Pay fixed rate Japanese yen at this rate: 0.59% 0.59% 0.59%

PV factor at now current fixed € interest 3.60% 0.9653 0.9317

PV of remaining € cash inflows € 156,371 € 4,809,484

Cumulative PV of € cash infllows € 4,965,855

PV factor at now current fixed ¥ interest 0.80% 0.9921 0.9842

PV of remaining ¥ cash outflows SFr. 3,043,651 SFr. 514,798,280

Cumulative PV of ¥ cash outflows 517,841,931

New current spot rate, ¥/€ 114.00

Cumulative PV of ¥ cash outflows in € € 4,542,473

Settlement:

Cash inflow € 4,965,855

Cash outflow (4,542,473)

Net cash settlement of unwinding € 423,382 This is a cash receipt by Trident from the swap dealer.

Problem 8.20 Falcor

Falcor is the U.S.-based automotive parts supplier which was spun-off from General Motors in 2000. With annual sales of over $26 billion, the company has expanded its

markets far beyond the traditional automobile manufacturers in the pursuit of a more diversified sales base. As part of the general diversification effort, the company wishes to

diversify the currency of denomination of its debt portfolio as well. Assume Falcor enters into a $50 million 7-year cross currency interest rate swap to do just that – pay euro

and receive dollars. Using the data in Exhibit 8.13, solve the following:

a. Calculate all principal and interest payments in both currencies for the life of the swap.

b. Assume that three years later Falcor decides to unwind the swap agreement. If 4-year fixed rates of interest in euros have now risen to 5.35% and 4-year fixed rate dollars

have fallen to 4.40%, and the current spot exchange rate of $1.02/€, what is the net present value of the swap agreement? Who pays who mwhat?

Notional principal $ 50,000,000 US dollar 5.86% 5.89%

Spot exchange rate, $/€ 1.16 Euros 4.01% 4.05%

a. Interest & Swap Payments Year 0 Year 1 Year 2 Year 3 Year 4 Year 5 Year 6 Year 7

Notional principal of: $ 50,000,000

Receive cash inflows of: $ 2,930,000 $ 2,930,000 $ 2,930,000 $ 2,930,000 $ 2,930,000 $ 2,930,000 $ 52,930,000

↑

Spot exchange rate, $/€ 1.16

↓

Pay cash outflows of: € 1,745,690 € 1,745,690 € 1,745,690 € 1,745,690 € 1,745,690 € 1,745,690 € 44,849,138

Notional principal of: € 43,103,448

Pay fixed rate euros at rate: 4.05%

b. Unwindingthe Swap Year 0 Year 1 Year 2 Year 3 Year 4 Year 5 Year 6 Year 7

If the swap is unwound three years later, there are four years of cash flows remaining:

PV factor at now current fixed $ interest 4.40% 0.9579 0.9175 0.8788 0.8418

PV of remaining dollar cash inflows $ 2,806,513 $ 2,688,231 $ 2,574,934 $ 44,555,354

Cumulative PV of $ cash infllows $ 52,625,033

PV factor at now current fixed € interest 5.35% 0.9492 0.9010 0.8553 0.8118

PV of remaining euro cash outflows € 1,657,038 € 1,572,889 € 1,493,012 € 36,409,603

Cumulative PV of € cash outflows € 41,132,542

Spot exchange rate at unwinding ($/€) 1.02

Cumulative PV of € cash outflows, $ $ 41,955,193

Settlement:

Cash inflow $ 52,625,033

Cash outflow (41,955,193)

Net cash settlement of unwinding $ 10,669,840 This is a net cash payment to Falcor from the swap dealer.

Problem 8.21 U.S. dollar/Euro

A U.S.-based firm wishing to buy A European firm wishing to buy

or sell euros (the foreign currency) or sell dollars (the foreign currency)

Spot rate (domestic/foreign) S0 $1.2480 S0 € 0.8013

Strike rate (domestic/foreign) X $1.2500 X € 0.8000

Domestic interest rate (% p.a.) rd 1.453% rd 2.187%

Foreign interest rate (% p.a.) rf 2.187% rf 1.453%

Time (years, 365 days) T 1.000 T 1.000

Days equivalent 365.00 365.00

Volatility (% p.a.) s 12.000% s 12.000%

Put option premium (per unit fc) p $0.0643 p € 0.0342

(European pricing)

Put option premium (%) p 5.15% p 4.27%

When the volatility is increased to 12.000% from 10.500%, the premium on the call option on euros rises to $0.0412/€, or 5.15%.

Problem 8.22 U.S. Dollar/Japanese Yen

A Japanese firm wishing to buy A U.S.-based firm wishing to buy

or sell dollars (the foreign currency) or sell yen (the foreign currency)

Spot rate (domestic/foreign) S0 JPY 105.64 S0 $0.0095

Strike rate (domestic/foreign) X JPY 100.00 X $0.0100

Domestic interest rate (% p.a.) rd 0.089% rd 1.453%

Foreign interest rate (% p.a.) rf 1.453% rf 0.089%

Time (years, 365 days) T 1.000 T 1.000

Days equivalent 365.00 365.00

Volatility (% p.a.) s 12.000% s 12.000%

Put option premium (per unit fc) p JPY 3.06 p $0.0007

(European pricing)

Put option premium (%) p 2.90% p 7.27%

A Japanese firm wishing to sell U.S. dollars would need to purchase a put on dollars. The put option premium listed above is JPY3.06/$.

Notional principal (US$) $750,000

Total cost (JPY) JPY 2,297,243

Problem 8.23 Euro/Japanese Yen

A Japanese firm wishing to buy A European firm wishing to buy

or sell euros (the foreign currency) or sell yen (the foreign currency)

Spot rate (domestic/foreign) S0 JPY 133.89 S0 € 0.0072

Strike rate (domestic/foreign) X JPY 136.00 X € 0.0074

Domestic interest rate (% p.a.) rd 0.088% rd 2.187%

Foreign interest rate (% p.a.) rf 2.187% rf 0.088%

Time (years, 365 days) T 0.247 T 0.247

Days equivalent 90.00 90.00

Volatility (% p.a.) s 10.000% s 10.000%

Put option premium (per unit fc) p JPY 4.30 p € 0.0002

(European pricing)

Put option premium (%) p 3.21% p 2.90%

A European-based firm like Legrand (France) would need to purchase a put option on the Japanese yen. The company wishes a strike rate of 0.0072

euro for each yen sold (the strike rate) and a 90-day maturity. Note that the "Time" must be entered as the fraction of a 365 day year, in this case, 90/365

= 0.247.

Notional principal (JPY) JPY 10,400,000

Total cost (euro) € 2,167.90

Problem 8.24 U.S. Dollar/British Pound

A U.S.-based firm wishing to buy A British firm wishing to buy

or sell pounds (the foreign currency) or sell dollars (the foreign currency)

Spot rate (domestic/foreign) S0 $1.8674 S0 £0.5355

Strike rate (domestic/foreign) X $1.8000 X £0.5556

Domestic interest rate (% p.a.) rd 1.453% rd 4.525%

Foreign interest rate (% p.a.) rf 4.525% rf 1.453%

Time (years, 365 days) T 0.493 T 0.493

Days equivalent 180.00 180.00

Volatility (% p.a.) s 9.400% s 9.400%

Put option premium (per unit fc) p $0.0306 p £0.0207

(European pricing)

Put option premium (%) p 1.64% p 3.87%

Call option premiums for a U.S.-based firm buying call options on the British pound:

90-day maturity ($/pound) $0.0669

Difference ($/pound) $0.0027

The maturity doubled while the option premium rose only about 4%.

Problem 8.25 Euro/British Pound

A European firm wishing to buy A British firm wishing to buy

or sell pounds (the foreign currency) or sell euros (the foreign currency)

Spot rate (domestic/foreign) S0 € 1.4730 S0 £0.6789

Strike rate (domestic/foreign) X € 1.5000 X £0.6667

Domestic interest rate (% p.a.) rd 4.000% rd 4.160%

Foreign interest rate (% p.a.) rf 4.160% rf 4.000%

Time (years, 365 days) T 0.247 T 0.247

Days equivalent 90.00 90.00

Volatility (% p.a.) s 11.400% s 11.400%

Put option premium (per unit fc) p € 0.0487 p £0.0097

(European pricing)

Put option premium (%) p 3.30% p 1.42%

When the euro's interest rate rises from 2.072% to 4.000%, the call option premium on British pounds rises:

Call option on pounds when euro interest is 2.072% € 0.0189

Change, an increase in the premium € 0.0213

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