国际财务管理(英文版)课后习题答案.pdf

该【国际财务管理(英文版)课后习题答案 】是由【小屁孩】上传分享，文档一共【15】页，该文档可以免费在线阅读，需要了解更多关于【国际财务管理(英文版)课后习题答案 】的内容，可以使用淘豆网的站内搜索功能，选择自己适合的文档，以下文字是截取该文章内的部分文字，如需要获得完整电子版，请下载此文档到您的设备，方便您编辑和打印。:..精品文档CHAPTER14INTERESTRATEANDCURRENCYSWAPSSUGGESTEDANSWERSANDSOLUTIONSTOEND-OF-:-for-floatinginterestrateswaptobepossible?Answer:Forafixed-for-,thedefault-riskpremiumofthefixed-ratedebtwillbelargerthanthedefault-riskpremiumofthefloating-:-?Answer:,,twofirmsofequivalentcreditworthinesscaneachexploittheir,respective,namerecognitionbyborrowingintheirlocalcapitalmarketatafavorablerateandthenre-lendingatthesameratetotheother..:..:,sincetheindexesarenotperfectlypositivelycorrelated,theswapbankmaynotalwaysreceiveenoughfloatingratefundsfromonecounterpartytopassthroughtosatisfytheotherside,whilestillcoveringitsdesiredspread,-,thedealerconfrontscreditriskfromonecounterpartydefaultinganditshavingtofulfillthedefaultingparty’,orimpossible,,provisionsexistfortheearlyterminationofaswap,:Insteadofthebasicfixed-for-floatinginterestrateswap,therearealsozero-coupon-for-floatingrateswapswherethefixedratepayermakesonlyonezero--for--for-fixed;fixed-for-floatingandfloating-for-,bothcurrencyandinterestrateswapscanbeamortizingaswellasnon-,whatotherexplanationsexisttoexplaintherapiddevelopmentoftheinterestrateswapmarket?Answer:,ypeoffinancingandtoobtainamoredesirabletypeofcreditthatismoresuitableforitsassetmaturitystructure..:..,:----$/￡currencyswap?Answer:MorganGuarantywillpayannualfixed--monthdollarLIBORflat,oritwillreceivefixed---rate￡-monthdollarLIBORflat,oritwillreceiveannualfixed-rate￡-,MorganGuarantywillenterintoacurrencyswapinwhichitwouldpayannualfixed--annualfixed-rate￡,oritwillreceiveannualfixed--rate￡.*,,isthecounterpartythatisrequiredtomakeinterestpaymentsatthehighernominalrateatafinancialdisadvantagetotheotherintheswapagreement?:Superficially,,iftheforwardrateisanunbiasedpredictoroftheexpectedspotrateandifIRPholds,,thecounterpartymakingtheinterestpaymentsatthehighernominalrateisineffectmakinginterestpaymentsatthelowerinterestratebecausethepaymentcurrencyisdepreciatinginvalueversustheborrowingcurrency..:..-yeartermatthefollowingrates:AlphaBetaMoody’screditratingAaBaaFixed-%%Floating-rateborrowingcostLIBORLIBOR+1%(QSD).-ratedebtandBetadesiresfixed-:=(%-%)minus(LIBOR+1%-LIBOR)=.5%.-%andBetaneedstoissuefloatingrate-debtatLIBOR+1%.%,Alpha’sfloating-rateall-in-costis:%+LIBOR-%=LIBOR-.25%,%savingsoverissuingfloating-’sfixed-rateall-in-costis:LIBOR+1%+%-LIBOR=%,%savingsoverissuingfixed-,-%-%:Alphawillissuefixed-%andBetawillissuefloatingrate-debtatLIBOR+1%.%%,Alpha’sfloating-rateall-in-costis:%+LIBOR-%=LIBOR-.20%,%savingsoverissuingfloating-’sfixed-rateall-in-costis:LIBOR+1%+%-LIBOR=%,%savingsoverissuingfixed-ratedebt..:..精品文档panyAisaAAA-ratedfirmdesiringtoissuefive--monthLIBOR+.125percentoratthree-monthLIBOR+.,three-panyBisanA-ratedfirmthatalsodesirestoissuefive--monthLIBOR+-monthLIBOR+.,six-$15,000,-for-:Thequalityspreaddifferentialis[(Six-monthLIBOR+)minus(Six-monthLIBOR+.125percent)=].875percentminus[(Three-monthLIBOR+.625percent)minus(Three-monthLIBOR+.125percent)=].50percent,,-panyBwouldissueFRNsindexedthree-panyBmightmakesemi-annualpaymentsofsix-monthLIBOR+.125percenttotheswapbank,whichwouldpassallpanyA,inturn,mightmakequarterlypaymentsofthree-monthLIBORtotheswapbank,whichwouldpassthroughthree-monthLIBOR-.-monthLIBOR+.125percentandpaythree-monthLIBOR+.-monthLIBOR-.-incostofthesix-monthLIBOR+.825percent,-monthLIBOR+-monthLIBORtotheswapbankandpaysix-monthLIBOR+.-monthLIBOR+.-incostofthree-panyA,-monthLIBOR+.,receivedquarterly.*-€15,000,,hepriceoftheswapfromthecorporation’sviewpointassumingthatthefixed-:Ontheresetdate,thepresentvalueofthefuturefloating-ratepaymentsthecorporationwillreceivefromtheswapbankbasedonthenotionalvaluewillbe€15,000,€15,000,.:..精品文档fixed-€14,814,,theswapbankshouldbewillingtobuyandthecorporationshouldbewillingtoselltheswapfor€15,000,000-€14,814,304=€185,,emanageratMangusCapitalManagement,$1,000,000corporatebondsmaturingonJune15,1999,onewithavariableratebasedon6-,haveverysimilarcreditquality,andpayinterestsemi---,assumingFerris’expectationiscorrect,thechangeintheswap’svalueandhowthatchangewouldaffectthevalueofherportfolio.[Nocalculationsrequiredtoanswerparta.]Insteadoftheswapdescribedinparta,,assumingFerris’expectationiscorrect,howthefollowingstrategyachievesthesameresultinresponsetotheyieldcurveshift.[Nocalculationsrequiredtoanswerpartb.]SettlementDateNominalEurodollarFuturesContractValue12-15-97$1,000,00003-15-981,000,00006-15-981,000,00009-15-981,000,00012-15-981,000,00003-15-991,000,’PortfolioBecauseKarlaFerrisbelievesinterestrateswillrise,shewillwanttoswapher$1,000,000fixed-ratecorporatebondinteresttoreceivesix--.:..精品文档ratesix-,,shewouldenterintoatwo-yearterm,semi-annualsettle,$1,000,000nominalprincipal,payfixed-,theswap’smark-to-,-present-valuefixedrate,“replace