NO.PZ202208160100000204
问题如下：
Nexran Enterprises Case Scenario
Barkley Carlisle was recently hired as an associate analyst in the corporate finance department by Nexran Enterprises. Nexran is a US manufacturer of heavy industrial equipment that sells its products globally. Carlisle assists finance director Jennifer Brannigan in managing Nexran’s foreign currency risk. As part of the training process concerning the complexities of the foreign exchange (FX) markets, Brannigan provides Carlisle with Exhibit 1 and asks him to demonstrate his familiarity with some calculations, such as triangular arbitrage and expected future spot rates. A few days later, Brannigan and Carlisle meet to discuss the results of his work.
Exhibit 1
Interbank Currency Quotes and Market Reference Rates (MRR)
After reviewing the calculations, Brannigan asks Carlisle what factors determine the bid–offer spreads Nexran may face. Carlisle makes the following statements:
The conversation then moves to a discussion of some recent Nexran transactions. Six months ago, a European customer placed an order for EUR 20 million of oil field construction equipment with delivery and payment scheduled to take place one year later. Nexran hedged all of its exposure to the euro by entering into a forward position at a forward price of USD1.1716/EUR.
Nexran has just been informed by the customer that because of the collapse in oil prices, it is canceling the order. Brannigan tells Carlisle to mark the forward position to market to facilitate exiting the currency hedge. (Exhibit 2 provides information about current FX rates and interest rates.)
Exhibit 2
Six-Month Forward and MRR
The next transaction considered is a recently signed multiyear contract with a customer located in the country of Morlundan. Nexran will sell 25 pieces of equipment per year at a fixed price, with the sale priced in the Morlundan pound. Morlundan has a floating exchange rate, and capital flows are highly mobile. Morlundan also has an expansionary monetary policy with a restrictive fiscal policy. Brannigan asks Carlisle to determine the appropriate action Nexran should take to manage its Morlundan currency risk based on that country’s economic policies.
As a final item, Brannigan explains the impact of the balance of payment flows on exchange rates. She notes that in recent years, Nexran sold a sizable portion of its products to the Trundool Republic, a country that is running large current account surpluses versus the United States. Nexran’s sales to the Trundool Republic are expected to be a major component of the company’s future total sales. Consequently, Brannigan believes Nexran should hedge against a potential decline in the USD relative to the TRD because she is concerned that the Trundool Republic may decide to reduce its USD-denominated assets.
QuestionBased on the data in Exhibits 1 and 2, the mark-to-market value for Nexran’s forward position related to the oil field construction equipment order is closest to:
选项：
A.USD874,000. B.USD877,674. C.USD871,690.解释：
SolutionC is correct.
Nexran sold EUR20 million forward to the settlement date at 1.1716 (USD/EUR).
To mark the position to market, Nexran offsets the forward transaction by buying EUR 20 million six months forward to the settlement date.
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For the offsetting forward contract, because the EUR is the base currency in the USD/EUR quote, buying EUR forward means paying the offer for both the spot rate and forward points.
The all-in six-month forward rate is calculated as 1.1243 + 0.0036 = 1.1279 USD/EUR.
This rate gives a net cash flow on settlement day of EUR20,000,000 × (1.1716 – 1.1279) USD/EUR = 20,000,000 × 0.0437 = USD874,000. (This amount is a cash inflow because the EUR depreciated against the USD.)
To determine the mark-to-market value of the original forward position, calculate the present value of the USD cash inflow using the six-month USD discount rate: USD874,000/[1 + 0.0053(180/360)] = USD871,690.
A is incorrect. The present value of the cash flow was not calculated (step 4 of calculation).
B is incorrect. The cash flow was calculated using the bid rate instead of the offer rate.
The all-in six-month forward rate = 1.1241 + 0.0035 = 1.1276
This gives a net cash flow on settlement day of 20,000,000EUR × (1.1716 – 1.1276) USD/EUR = USD880,000, and the present value is calculated as USD880,000/[1 + 0.0053(180/360)] = USD877,674.
这个是反向合约，他一开始卖出EUR，最后要买入EUR，所以用offer
我这个理解是不是对的？
