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𝒜𝒩𝒥𝒜 安雅🎃 · 2023年04月12日

原版书课后题是说company credit rating与narrow spread没有关系

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NO.PZ202208160100000203

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.

Question


Which of Carlisle’s statements about bid–offer spreads is the most accurate?

选项:

A.The statement regarding market liquidity B.The statement regarding pricing on large trades C.The statement regarding Nexran’s credit rating

解释:

Solution

C is correct. A client’s credit risk can be a factor because a client with a poor credit profile may be quoted a wider bid–offer spread than one with good credit, reflecting the greater settlement risk.

A is incorrect. The interbank FX markets are most liquid when the major FX trading centers are all open. The two largest, London and New York, overlap from approximately 8:00–11:00 a.m. NY time. As such, the interbank market for most currency pairs is typically most liquid during those hours, which is well after the open in London.

B is incorrect. Transaction size can affect the bid–offer spread. Typically, the larger the transaction, the further away from the current spot exchange rate the dealing price. Wider spreads on larger trades reflect the greater difficulty the dealer faces in “laying off” the FX risk in the interbank market.


我看了另一位同学的提问与助教的解答 https://class.pzacademy.com/qa/117992 ,若spread大小是与企业信用评级有关,那为啥原版书课后题第四小题是说company's credit rating is least likey to a narrow bid-offer spread?


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已采纳答案

笛子_品职助教 · 2023年04月14日

嗨,努力学习的PZer你好:


这道题认为企业的信用评级和外汇市场的bid -ask spread是有关系的。

最新原版书习题认为企业信用评级和外汇市场的bid ask spread是无关的。

关于这个矛盾之处,以原版书习题为准。


这道题是来自handbook,题目比较老旧,有出得不严谨的地方。原版书习题是比较严谨。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

𝒜𝒩𝒥𝒜 安雅🎃 · 2023年04月15日

好的,谢谢!

笛子_品职助教 · 2023年04月13日

嗨,努力学习的PZer你好:


Hello,亲爱的同学!

要看这个spread是什么spread。

如果这个spread是指creidt spread,公司债的信用利差,那么会与发行企业的信用评级有关。

但是如果这个spread是外汇市场的bid -ask spread,这个spread是与作为外汇市场投资者的企业,自身信用无关的。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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