國(guó)際財(cái)務(wù)管理課后習(xí)題答案chapter-3

國(guó)際財(cái)務(wù)管理課后習(xí)題答案chapter3【實(shí)用文檔】doc文檔可直接使用可編輯，歡迎下載

CHＡPＴER7FUＴUＲESANＤＯPTIONSONFOＲEIGNEXCHAＮGＥ國(guó)際財(cái)務(wù)管理課后習(xí)題答案chapter3【實(shí)用文檔】doc文檔可直接使用可編輯，歡迎下載SＵＧGEＳTEDANＳWEＲSＡＮＤＳOLＵTIＯNSTＯEND－OF—CHAPＴERQUESＴIＯNＳAＮDPROBLEMSQUESTIONS1。Exｐlainthebasicdiffｅｒencesbｅｔｗeentｈeｏｐｅｒaｔｉonoｆaｃurrenｃyfｏrwardmarketandafｕtureｓmarket.Answer：ThefoｒwardｍarkeｔisanOTCmarｋｅtwｈereｔheｆｏrｗardcontractforpurchasｅorｓaleofforeigｎcurreｎｃyisｔａilｏr-madeｂetwｅe(cuò)nｔhecｌientaｎditsｉnteｒnationalｂanｋ。Noｍoneycｈangeshanｄｓｕｎtiltｈｅｍatuｒｉtydateｏｆthecoｎtｒacｔwｈｅndelｉvｅrｙaｎdrｅceiptaｒｅtｙpicaｌlymade。Ａｆuturescｏntractiｓａnexchange-ｔraｄｅdinｓｔrｕｍentwithstandardizedｆeaｔuresspeciｆyingconｔraｃtsｉzｅanddeliveｒｙdａt(yī)e。Ｆutureｓcｏnｔｒａctsａｒemａｒkｅd－ｔo—markeｔdaｉlyｔoreflectchangesintheｓetｔｌemｅntｐrｉce。Delｉvｅryissｅldommadeｉｎafｕtureｓｍａrket.Ｒatheｒarｅｖｅｒｓingtradｅismａｄetocloseoutalｏｎgorｓhｏrtpoｓｉtiｏn.２。Inoｒdeｒforaｄｅrivativesmaｒkeｔｔofuｎcｔionmｏstefficｉｅntｌｙ，twｏtｙpeｓoｆeｃｏnomicagentｓareneｅded：heｄgeｒsａndspecuｌaｔｏｒs。Explａｉn．Aｎsｗｅr:Twoｔypeｓｏｆmarketpaｒtｉｃipanｔsareｎecesｓａrｙfoｒtheefficiｅnｔopeｒatioｎｏｆadeｒｉvaｔｉvesmarket：spｅｃｕlaｔorsａｎdhedgers。Asｐeｃulatoraｔtｅｍptｓtoprofitｆrｏmachａngeintｈefutｕresprice.Todotｈis,tｈesｐｅculatorwｉｌltakeaｌongorshｏrｔpositioｎiｎafｕtureｓconｔractdeｐenｄinguponhisｅxpecｔａｔionsoｆfuturepriｃｅmovｅment。Ahｅdger,on—ｔhｅ-other-ｈａnd，desｉrestｏavｏｉdpriｃevariationｂylockinｇｉnａpuｒｃhaｓepricｅoftheunｄｅrlyinｇasｓeｔthrougｈaｌongpoｓitｉｏninafutuｒesｃｏｎｔraｃｔorasａlesprｉceｔhｒougｈａｓhｏrtpositｉon。Ｉnｅffect，thehｅdｇeｒpassesｏfftherｉｓｋofpｒicevariaｔiontoｔheｓpeｃulatorｗhｏisbetｔeraｂlｅ，oratleａｓtmｏrewｉlｌing,ｔobearｔhisrisk．３。Ｗｈｙareｍostｆuturesposｉｔiｏｎscｌosedouttｈrｏugｈａrｅversｉngtｒaｄｅｒatherthanheｌdｔodeliveｒｙ?4．HｏwcantheFXfuturesmarketbeusedfｏｒｐricediscoveｒｙ？Ａnsweｒ：ToｔheextｅｎttｈatFXforwardpricｅsaｒeanｕnbｉasｅdprｅdiｃtorｏｆｆuturespoｔeｘchaｎgeｒａt(yī)es，theｍarketanｔiｃiｐａt(yī)eswhetheroｎecｕrrencywilｌapprecｉateoｒdｅｐreciaｔeversusanotheｒ。BｅcaｕseFXfｕtureｓcｏntrａctｓｔradeiｎaneｘｐiraｔiｏnｃyｃlｅ，dｉfｆerｅntcontractseｘｐireatdｉffereｎｔperiｏｄicｄatesｉntothefutｕre。Ｔhepaｔternｏｆtｈeprｉcesoftｈｅｓeｃｏntracｔsｐrｏvidｅsinｆｏrmａｔionastｏthｅmaｒket’ｓcｕrrentbelｉefabｏuttｈerelaｔiｖｅｆｕturevalueｏfonecurｒencyｖｅrｓｕsanｏtheratthescheｄuｌedexpirａt(yī)iondａｔeｓofthecoｎtracts．Oｎｅwiｌlgenerａllysｅｅａstｅaｄiｌyapｐreｃiatingoｒdepｒecｉａｔinｇpatｔｅｒn；however，iｔｍａybeｍｉxedaｔtｉmes。Thuｓ,tｈefuturesmarｋetｉsｕsefulforpｒｉｃediscovery，ｉ．e．，ｏｂｔainingthemarｋeｔ’ｓfoｒｅcａstｏftheｓｐotexchａｎgｅrａt(yī)eatdiffereｎtfutureｄates.5。Whaｔisthｅmajoｒdiｆfｅreｎceintheoｂligａt(yī)ionofoｎewｉtｈaloｎgpｏsitionｉｎａｆｕｔureｓ(orforwａrd）ｃonｔrａctiｎcｏｍparisonｔoanoptｉonscｏntｒａcｔ?Answｅr:Ａfutures(orforwarｄ）conｔractisavｅｈicｌefｏrｂｕｙinｇｏrsｅｌlingastatedamouｎtoffoｒｅｉgnexchangeatastatedpriｃｅperuｎitａt(yī)asｐecifiｅdtｉmeinthefｕｔｕｒe。Ｉfｔｈｅlonghｏｌdsthｅcontrａｃｔtoｔｈeｄeliverydａt(yī)e，hepaystｈｅｅfｆeｃtｉｖecontｒacｔualｆｕtｕres(orｆｏrward）prｉce，regａrｄｌessofｗｈetherｉtiｓａnadｖantagｅoｕｓpｒｉcｅｉncoｍparisontｏtｈespotpriｃeatthedelivｅrydate．Byconｔrast，anｏptionisaｃonｔractgivinｇtheｌonｇtherighttoｂuyｏrsｅllagｉvenquantityofanassetatａspecifｉedpricｅａt(yī)sｏmetimｅintｈefuture,ｂutnotenｆorcingaｎyoblｉgatiｏnoｎhimiftｈespotprｉceismoｒefavorａｂｌethanthｅｅxeｒciｓeprｉｃe.Beｃausetheoｐｔionowｎerｄoesｎoｔhavｅtoｅxercｉsetheopｔionifitｉｓtoｈisdisadｖantage，tｈeoptionhasａpｒice,orpremium，whereasnｏpriceispaidatｉnceptionｔoｅｎｔｅrｉntoafutuｒes（oｒｆorwaｒd）coｎtｒact.6.Whａt(yī)iｓmeａntbｙtheｔｅrｍinologythatanoｐｔｉonｉsin-,at－，ｏrout-of—the-moｎｅy？Answeｒ:Acaｌｌ(put)oｐtioｎwｉthSｔ>E（E>Ｓt）isrefeｒreｄtoastradingiｎ－ｔhe-moｎｅy。IｆＳtＥthｅｏptｉonistradingat-the-monｅy.IfSt<Ｅ（E〈St)tｈecａｌｌ(puｔ）optionｉｓtrａｄinｇoｕt-ｏf－tｈe-monｅy.

７。Listtheaｒgumenｔs（variａbles）ｏｆwhｉchanＦXcａlｌoｒｐutoptionmｏｄelpriceisａfｕｎｃtｉon．Howdｏesthecallａndputprｅmiｕmchanｇewitｈrespectｔoacｈaｎｇeiｎthearｇumeｎts？Anｓwer：Bothcalｌanｄｐutoptioｎsarefuｎctｉoｎsoｆｏｎｌyｓixvaｒｉables:Sｔ，E，rｉ，ｒ＄,Ｔand．Ｗhenａｌlelｓeｒemａiｎsthesame,theｐｒiceofaEｕropｅanFＸcall（pｕt）oｐtionwilｌｉnｃｒease：１.thelarｇer（smallｅr）isS,2。thｅsｍａlleｒ（laｒger)ｉsE,3.ｔｈesmａller（lａrgｅr）isrｉ，４。ｔhelａrgｅr(smａllｅr)isr$,５。thelaｒger(smaller）r＄iｓreｌaｔivｅｔoｒi,and6.tｈｅgｒｅatｅris。Ｗheｎr＄ａndriarenoｔtooｍuchdiｆｆereｎtinsｉze，aEuｒopeａｎFXcallaｎｄputwiｌlincreaseｉnｐｒicewheｎtheoptｉｏntｅrm—to-ｍaturｉｔyｉncｒeａsｅs.Howｅver,whenr$isvｅrymuchlargertｈanri，aＥｕropeanFXcａlｌwilｌincreasｅinpｒice,ｂuｔtheｐutpremiumwilldｅcreaｓe，wheｎｔhｅｏｐtｉonｔerｍ-to—maｔｕｒiｔｙｉncreases。Theｏppositeiｓtｒuｅwhenriisveｒymuchgｒeａｔerthａnr$．ForAmｅrｉｃaｎFXoptiｏnsｔheanalｙsisisleｓsｃomplicated。SinｃeaｌｏngeｒtｅrmAmeriｃanｏptiｏncanbeexｅrcisｅdonanydatｅｔhaｔａｓhｏrｔeｒtｅrｍoｐｔｉoncａnｂｅe(cuò)xerｃised,ｏrasomelateｒdatｅ，iｔfｏlloｗsｔhatthealｌelseremaiｎinｇｔhesame，ｔｈelongertｅｒmAmｅricanoｐtiｏｎwｉlｌsellａt(yī)aｐricｅaｔｌeaｓtaｓｌarｇeａsｔheshorteｒｔerｍoptiｏn。

PＲOBLEMS1。Assumetoday’ｓｓetｔlemenｔｐriceoｎaCMEEURfuｔurescontｒaｃtis$1.３14０/EUR。Yｏuhaveaｓhortpｏsｉｔｉoninoｎｅcoｎtraｃt．Yｏurperfoｒmancebondacｃｏuntcｕrrentlyｈaｓabalaｎcｅoｆ＄１,７0０．Ｔhenextｔhreedａys'ｓettleｍｅｎtprｉcesａｒｅ＄1.31２6,$1.３133，aｎd$1。３０4９。Cａlcｕｌatｅｔheｃｈangｅｓinｔhepｅｒformanceｂｏndaccouｎｔfｒomdaｉlｙmａrkinｇ-ｔｏ－maｒketandthｅbalａnceofthｅperfｏｒmaｎcebondaccｏuｎｔａfｔｅrtheｔhｉrdday。Sｏｌｕtiｏn:＄１,７00＋[（$１．3１40-＄1．3126）＋（＄1.３1２6-＄１。３133）+($1.3１33—＄１。3049）］xEUR125，0０0＝＄2，8３7．50,wherｅEUR１2５，0０0isｔhecoｎtｒacｔuａｌsizeｏfoneＥURｃｏntrａct.2。Doｐrｏblem1ａgainasｓuｍinｇyoｕhavealongｐｏsｉtｉonｉntｈeｆuturesｃoｎtrａct．Solutiｏn：$１，700＋[（$１.31２6-＄1．314０）＋(＄1。313３－$1.3126)＋（$1。3049－＄１．313３）］xEUR1２５，０00＝$５62。50,wｈereEＵR１25，00０isthecontractｕalsiｚeofonｅEUＲcoｎtｒacｔ．?Withoｎlｙ$562。5０ｉnyｏｕrpeｒformancｅbonｄaｃcoｕnｔ，yｏｕｗouｌdｅxperienceamaｒｇincallrequeｓｔingtｈataｄditｉoｎalfundsｂeaddeｄｔoｙourperfｏrmａnｃｅbｏndaccounttobrinｇthebalanｃebacｋuｐtｏｔheｉnｉｔialpeｒformａｎcebｏndlｅveｌ。３.ＵｓingｔhｅqｕｏtatiｏnsinＥｘhibit7．3,calcｕｌatethefaｃｅｖalｕeofｔheｏｐenintｅｒeｓtintｈeＪune2005Swiｓsfranｃfuturｅsｃontraｃt.Soluｔiｏn:2,１0１cｏｎtracｔｓxSF125,0０0＝SＦ262，625,00０。ｗｈereSF125,０00ｉstｈｅcontrａcｔualsizｅofoneSFcontｒａct。4.UｓinｇthequotationｓｉnExhibiｔ7．3，noteｔhａt(yī)theJunｅ2005Mexicanpesofuturescoｎtracthａｓapricｅｏf＄0．0884５．ＹoubｅliｅvｅｔheｓｐotpriｃeinJunｅwilｌbe＄0。09５00.Wｈatsｐｅculaｔivｅｐoｓitionｗouldyouentｅｒｉｎtotoatｔｅmpttoprofｉtfrｏｍyｏｕrbｅliefｓ？Caｌculaｔeyourantｉcipａｔedprofits,assumingyoutakeapositiｏninthreｅｃontｒａｃtｓ.Whａｔisｔhesiｚｅofyouｒproｆit（ｌoss）iｆｔhefｕtuｒeｓpriceiｓindeedanｕnｂiasｅｄprｅｄictorofthefuturesｐｏtｐrｉceandthispricｅmａｔｅrializeｓ？Sｏlｕtion:IfyｏuｅｘpectｔｈeMｅxicanpesotoriｓefrom$0.0884５tｏ＄0。0９50０，yｏuwｏuｌdｔaｋeaｌoｎgｐositiｏninfuturｅsｓｉncethefuturespriceof＄0.0８8４5ｉslessthａnyoureｘpecｔeｄｓpoｔprice.Youranticipatedprofｉtfromaｌongpositionｉntｈreecoｎtractｓis:３x(＄0。09500-$０.08８4５)xＭP500，00０＝＄9，825.00，ｗherｅMP500，000isthecoｎtractualsizeofoｎeMPcontrａct。Ｉｆtheｆuturｅsｐrｉceｉsaｎunbiasedpredｉctｏroftheexpecteｄspｏtｐｒice,theｅxpectedspotpｒｉｃｅisthefuturesｐriceof＄0。08８４5/MP。Ifthｉsｓpｏtpricemａｔｅriａlｉzes，ｙouwilｌnoｔhaveanｙｐroｆitsｏrｌosｓesfromyoｕrshortｐositioｎｉnthrｅｅfuturｅscontｒaｃts：３x（＄0.０8845-$0．０８8４5）xMP500，000=0。5．Doｐrｏblem4agaｉnassumｉｎgｙｏubeliｅvetheJuｎe200５spotｐricewillbe＄０.0850０.Ｓｏlｕｔｉon:IfｙouｅxpeｃｔｔheＭeｘicanpｅsotodeｐｒｅciａt(yī)eｆｒｏｍ$0。０８８4５ｔｏ$0.075０0,youwｏuldtakｅasｈｏｒtpｏsitiｏnｉnfuturessincetheｆutuｒｅspriｃｅof＄0.０8845iｓgreaterthａｎyourexｐｅｃtｅdspｏｔprice．Ｙoｕrantｉcipatedprofitfromaｓｈortpｏsitiｏninｔｈreeｃontrａｃtsis:3x($0。08845—＄0。0７5０0)xＭP500，０００＝＄20，1７5.００。Ｉfthｅｆuturespricｅｉsanunｂiａsedpｒedictｏrofｔhｅfutuｒeｓpotpriｃｅandｔhiｓprｉcematerializｅs，youwillnotprｏfiｔorｌoseｆromｙourlongfuturｅsｐｏsitｉｏn.6.GｅoｒgｅJoｈnsｏｎisconsｉdeｒingaｐosｓiｂlesix—monｔh$100millionＬIBOR—based,floａｔｉng－ｒatebaｎkloａnｔofｕndaｐrojｅcｔattermｓｓｈｏwｎintheｔabｌebelｏw。JｏhnｓonfearsapｏｓsｉbleriｓeｉntheLIＢＯRraｔebyDｅcembeｒanｄwantｓtousetheDeceｍbeｒEurｏdoｌlaｒfｕｔurescｏntraｃttohedｇetｈisriｓk.ThecoｎtrａcｔexpireｓDeceｍｂeｒ２0,1999，hasaUＳ$1millioncｏｎtraｃtsize，aｎdadｉscouｎtｙieｌdｏf７．3ｐerceｎｔ。Joｈnsonｗｉllignｏrｅthｅcaｓhfｌoｗｉmｐliｃationｓｏfmａrkingｔomarkｅｔ,inｉtiaｌｍarginｒequiｒeｍenｔｓ，anｄanｙtimiｎｇmｉsmatchｂeｔweeneｘｃhange—tradedｆutureｓcontractｃashfｌowsandtheｉnｔeｒestpａymentsdｕeｉnMarch.LoaｎＴerｍsSeptembｅr20，1９99Ｂorｒｏｗ＄100ｍiｌlionat Ｐａyinterestｆorfiｒｓtｔhrｅe(cuò)?Paybackprinciｐaｌ ?September２0LIBOR+200??months plｕsinｔeresｔ??bａｓiｓpoｉｎｔs（ｂps) ＲｏlｌｌoanoｖeraｔSeptｅmber2０ＬIＢOＲ=7% ?Ｄeｃｅmber2０ＬIＢOR+ ? ２00bpｓ? Loａn?Ｆirstlｏａnｐａymeｎt(9％) Ｓｅｃoｎdpａymeｎt? initｉated andｆuturescoｎtrａｃtｅxｐｉｒｅｓ? anｄpｒincｉpal??９/２0／9９?? 1２/20/99 3/20/00a。FormulateJohｎｓon’sＳeptembeｒ２0flｏaｔinｇ－to－ｆixｅd-ratesｔrategｙｕsｉnｇtｈeＥuｒoｄoｌlarfuｔureｃontrａctsdｉｓｃusseｄｉnｔhｅteｘｔａbｏve.Shｏwthatthisstｒａt(yī)egｙwouldrｅｓultinafixed-ｒatｅlｏan,ａｓｓuｍｉｎｇaninｃreaseinｔheLIBORraｔeｔo７。8perceｎｔbｙDｅcｅmber20，whｉchrｅｍainｓaｔ7．8percentthroｕｇhMarch20。Showallｃaｌcuｌations.Ｊohnsｏnｉsconsidｅriｎga12-monthloanaｓanalternaｔｉｖｅ．Ｔhisapproachwillresｕltiｎtｗoaddｉｔionaｌuncertaincashflows，asfｏｌlows:?Ｌoan Fｉrst Seconｄ?Ｔｈｉrｄ Fourthpaymenｔ iniｔiaｔｅｄ ｐaymｅnt（９％)?paｙmｅnt ｐaｙｍｅnt??aｎdprｉncipal ９/20/99?１２/２0/9９ 3／20/0０?６/20/0０b。DｅscribethestrｉｐhｅdｇｅthaｔJoｈｎsoｎｃouｌｄuｓeａndexplaiｎhｏwｉthedgesthe12－mｏnthloan（ｓpecifynumberｏfcｏntraｃts）。Ｎoｃaｌcuｌationｓareｎｅe(cuò)ｄeｄ。CFAGｕidelinｅAnswerａ．Thebａsisｐointvalue（BPＶ）ofaEuｒodｏllarfuturescontrａctcanbefoundbysｕｂstitｕtingｔheｃｏntraｃｔspecifiｃationsｉntｏthefoｌlowingｍｏneymaｒkｅtrelatｉonｓhip： ＢPＶFUT=ChangeｉnVａlue=(faｃevaluｅ)x(dａysｔomaｔurity/３60）ｘ(cｈaｎｇeiｎｙielｄ）? ? ?=（$1milliｏn）x（90/3６0）x（。０0０１）? ? =＄２5Thenumbeｒoｆcｏnｔraｃt，N，canbeｆoundby: N=（BPVｓpot)/（BPVfutｕres）?? =（＄2，500）/(＄25) ?＝１0０ ＯR? N?＝（vaｌｕeoｆｓpotpositｉoｎ）/(faｃevalueofｅacｈｆｕtureｓcｏntract) ??=(＄100milｌiｏｎ）/（$1mｉlｌion） ?=100? OＲ? N =（valｕｅofspotｐositｉｏn）／(ｖalｕeoffｕtuｒespositioｎ） ??=(＄１00，000,00０）/（$9８1,750）ｗhｅrevａlueｏffuturespｏsitｉｏn=＄1，000，00０x［１–（0．073/4)］102contrａcｔsTherefｏｒeonＳeptｅｍｂeｒ２0,Jｏhnsonｗoｕldｓell１００（oｒ102）DecembeｒEuｒodｏllａrｆuturｅｓｃoｎtｒactｓａt(yī)thｅ７。3percenｔｙielｄ。TheiｍpliedＬIBORrateinDecｅmberis7．3peｒcentasindicaｔｅｄbytheDecemberＥｕroｆuｔuresdiｓｃoｕntyieldof7.３perｃeｎｔ.Thuｓａborrowinｇｒａt(yī)eof９.3perceｎｔ（7.3ｐｅrｃent+2００basispoｉnts)ｃanbeｌocｋeｄｉnifthehedgeiscoｒrectlyimｐｌemented.Aｒiｓeiｎtheｒaｔeto7.８percentrepreｓentｓa50ｂasisｐｏint（bｐ)incｒｅasｅoveｒtheiｍpｌiedLIBＯRrａｔｅ.Forａ50ｂaｓisｐointincreaseinLIBOR，thｅｃａsｈflowｏntｈeshｏｒｔfutuｒｅsｐositionｉs：??＝($25ｐｅｒbasｉspoiｎtpercontract)x50bpx100contracts ＝＄125，0０0。Ｈｏweｖｅｒ，thecashfｌowｏnthefloａt(yī)iｎgｒateliabｉｌityis： ＝－0。098x($10０，0００，０00/4）? =-$2，450，0００.Coｍｂinｉｎgthecaｓhflowｆromthｅｈedgｅwitｈthecasｈflowfｒｏmthｅloanrｅsultsinanetouｔflｏｗoｆ$2,325，0０0，whｉchtraｎｓｌａt(yī)esiｎtoaｎａnnualrａt(yī)eｏf９.3ｐercent: ＝（＄2,325,000x４）/＄100,0００，000=0。093ＴhisiｓpreciselytheｉmpｌieｄborrowｉngｒatethaｔＪohｎsonlockedｉnｏnSeｐｔeｍｂer２０.RegardleｓsｏfｔｈｅLIBＯRｒateonDeceｍｂｅr2０,thenetcａshoutflｏwwillbｅ$2，325,00０，whiｃhｔｒａnｓlatesｉntoaｎannuａｌizedraｔeoｆ9。3pｅrceｎt.Conｓeｑuently，tｈeｆloａt(yī)ingraｔeliａbｉlityhasbeｅncoｎｖertedtoafiｘedraｔeliaｂilitｙｉnｔhesensｅthaｔtheinteｒesｔrateuncertainｔｙasｓociaｔeｄwｉｔhtｈeＭarch20paｙmeｎt（uｓｉnｇtｈeDecemｂｅr2０contracｔ)hａsbeｅｎreｍoveｄasoｆSepteｍbeｒ２０。b.Ｉnastｒｉｐhedge,Jｏhｎsonwｏuｌdselｌ1０0Decｅmbｅrｆutｕrｅs(ｆortｈeＭａrchｐaymｅnｔ）,100Ｍａrcｈfuturｅs(fortheＪunｅpaymｅnt），aｎｄ1０0Jｕnefuｔures(foｒthｅSeptemｂerpaymenｔ)。Tｈeobｊecｔｉvｅiｓtoｈeｄｇeeａcｈｉnterestraｔepaｙmｅntｓｅpａｒateｌyｕｓｉnｇtheapｐropriａｔｅｎumｂerｏfconｔracｔs.ＴheprobｌｅmisthｅsameasinParｔAｅxｃｅｐtherethreeｃａshflｏwsaｒｅsｕbjectｔｏrisingrａt(yī)esａnｄaｓtrｉpofｆuturｅｓisusedtoｈedｇｅthisinｔeresｔｒａｔerisｋ．Thisprｏblｅmissimpｌifｉｅdsomewhatbecausethｅcashｆlｏwｍiｓmatchｂetweｅｎthefuｔｕresaｎdｔheloanpaymentisｉgnored．Tｈerefore,iｎordｅrｔoheｄgeeaｃｈcａshｆlｏw，Ｊohｎsonｓimpｌysells100coｎｔracｔｓforeacｈpayment。Thestriphedｇｅtｒａnsfｏrｍsｔｈｅｆloatingrateloaniｎｔoaｓtripｏffixｅdrateｐaymeｎts．AｓwａsdoｎeiｎPａrtA，theｆiｘedｒａｔｅsａreｆounｄbｙadｄing200basispointｓｔotheimpｌiｅdfｏrｗarｄLIBORｒateiｎdicatｅｄｂytｈｅdｉsｃｏunｔyiｅldofthetｈreｅdｉｆｆerｅntＥurｏdｏllarfutｕｒesｃonｔrａcts.TheｆiｘedｐａymenｔswｉllbeｅｑuaｌｗｈentheLＩBOＲteｒmstｒｕｃtuｒeiｓfｌａｔforthefirstyeaｒ.７.JaｃobBｏweｒｈaｓａｌｉaｂiｌiｔythaｔ：hａsaprinｃiｐalｂalanceof＄10０milｌiononＪune30，1998，acｃruｅｓinｔeｒｅｓtｑuarterlystartingoｎJune30,19９8,paysiｎｔerｅstquarterly，ｈａsaone－ｙeartｅrｍｔoｍaturity，aｎｄｃalculaｔｅsinterｅstduebａsedon90—daｙLIＢOＲ（theLondonInterbａｎkOfｆered Rate）．Boｗｅrwiｓhestohｅdgehisｒｅmａｉnｉngintｅｒestpaymentsagaｉnsｔchangesｉninterestraｔes。Bowerhaｓｃorrectlyｃalcuｌateｄｔhaｔhｅnｅe(cuò)dｓtoselｌ（sｈｏrt)300Ｅurodｏllarfuturｅsconｔractstoacｃｏmplｉsｈthehedｇe.Heisconsideｒingｔｈｅalternativｅｈｅdgingstratｅｇiesoｕｔlinediｎtｈeｆollowingtabｌe．IｎitiａlPｏｓitiｏn(６/30／98)in９0—DａyLIBOREｕrｏdoｌlarConｔractsＳｔｒａt(yī)ｅgyA ?ＳｔrategyBContractMonth ??（coｎtrａcts) ?(ｃoｎtｒacts)Sｅptｅmbeｒ19９８?300?1００Dｅcembｅr１9９8 ０ １00Marcｈ１9９9 0 1００ａ．EｘplａinwｈｙsｔrａｔeｇyBiｓamoreefｆectｉｖｅhedgetｈａnｓtｒategyAwheｎｔｈｅyieldｃurｖeundeｒgoesaｎinｓtantaｎｅoｕsｎonparａlleｌshift。b.DiscussaninｔerestraｔｅｓcenarioiｎwhicｈsｔｒａｔegｙAwouldｂesupｅｒｉortostraｔegyB.ＣFAGuiｄelinｅAnswerａ。?Ｓtｒａt(yī)eｇyB’sSuｐeriｏritｙＳtrａt(yī)egyBiｓasｔripheｄｇethaｔisｃonｓｔｒｕctedbｙselling（ｓhortiｎg）100ｆｕtuｒｅscontracｔsｍａt(yī)urinｇｉｎeaｃhofｔheneｘttｈreｅｑｕarｔers。Ｗithｔhｅstriphedgｅiｎpｌａｃe，eachquartｅｒofthｅcomｉnｇyearisｈｅｄｇｅdａgａiｎstshiftsｉnｉｎｔeｒesｔratesｆorthaｔｑuａrter．ＴheｒeasonＳｔrategyＢwillbeａmoreeffeｃtiveｈｅｄｇeｔhanSｔｒａt(yī)ｅgyAforＪacｏbBowerｉsｔhatStrａt(yī)egyＢｉｓlｉkelytowｏrkwellwhethｅrａparaｌleｌｓｈiftｏranｏnparallelshifｔoｃｃｕrsoveｒｔheｏne－yeartｅrmｏfBower'sliaｂiliｔｙ．Tｈａt(yī)iｓ，rｅgarｄlessoｆwhａｔhaｐpｅnstotｈｅtｅｒmsｔructure，StｒategyBsｔrｕctureｓthefutｕreｓheｄgeｓｏｔhattｈeratesｒeflｅctedbｙｔｈeＥurodoｌlaｒfuturesｃａshpricｅmatchtｈｅapplicableratesfｏｒtheunｄerlyinｇliaｂility-the90dayLIBOＲ—basｅdrateonBower’sliａbility.TｈeｓaｍeisnottｒuｅｆorStratｅgyA．BecａｕseJacoｂBower’sliaｂilitｙcarriesaｆloａt(yī)ingｉnteｒeｓtｒａt(yī)ethａt(yī)reseｔｓquaｒtｅrｌy，ｈeneedsaｓtrategytｈatproｖiｄesaｓeriesofthree—ｍoｎthhｅｄges。StｒaｔeｇｙＡwilｌnｅe(cuò)dtｏbｅｒestrｕctｕrｅdwheｎthｅｔhrｅe(cuò)－moｎthSｅptｅmｂercontractｅxｐｉres。Iｎpａrｔiculaｒ，iftｈeyielｄｃurvetwiｓtsupwarｄ（ｆuturesyiｅldsriseｍorｅfｏrdistanｔexpiraｔiｏnsｔhaｎfｏrnearexｐiratiｏns),StratｅgyAwillproｄuceinferioｒhedgeresults．b．ＳｃｅnarｉoinWhicｈStｒategyAisSupeｒiorStraｔｅgyAisasｔackhｅｄgesｔratｅｇythatinitiaｌlyinvolｖessｅlｌｉng（shｏrtiｎg)3０0Ｓepｔembｅｒconｔracｔs．Ｓtrａt(yī)egyAisrarelｙbetterｔhaｎＳtrategyＢasaｈedgiｎｇoｒrisｋ-reductionstraｔｅgｙ。OｎlyfromthｅｐeｒｓpecｔｉveofｆavorablｅcashflowsisStrateｇyＡbettｅrthanStratｅgyB.Suchcａsｈflowsoｃcｕroｎｌyｉｎcerｔａiｎｉnｔerestraｔescenarios.FｏreｘamｐｌｅStratｅgyＡwillｗoｒkasweｌlasStrａt(yī)ｅｇｙBforBowｅｒ’ｓliabｉlitｙifinｔeｒestrａt(yī)es(inｓtantaneｏusｌy）cｈangｅinｐarａｌlelfashion．AnoｔherinterestｒaｔｅsｃenａriowｈereSｔraｔegｙAoｕtperforｍsＳtrategｙBｉsｏｎeinwhichtｈeyieldcｕrｖerｉｓesｂuｔｗithaｔwistsothａt(yī)futuresyieldsrisemoreforneareｘpirationｓthanｆoｒdistanｔeｘpirations.UponｅxpｉrationofｔｈeSｅptｅmbercoｎtrａcｔ，Bowｅrwillhａvｅtｏrｏllｏｕthisheｄｇｅbyselling2０0Ｄecembeｒcontｒａｃtｓｔｏｈedgetherｅmａｉninginteresｔpaymeｎｔs．Thｉsactｉonwillhaｖｅｔheeffectｔhａt(yī)tｈecaｓｈfloｗfｒoｍStraｔｅgyＡwｉllbelaｒgerthａntｈｅcashflｏwｆｒoｍＳtｒateｇyBbecauseｔheappreciatiｏnonthe30０shortSeptembeｒfｕturｅsｃontraｃtｓwillbelａｒgeｒthanｔhecumulａt(yī)iｖｅappreciatioｎintｈe３０0cｏntｒaｃtsshortedｉｎStrategｙＢ(i。e.，1０0Ｓeptemｂer,10０Ｄｅｃemｂeｒ,and100Marｃｈ）.Conseｑuｅntｌy,ｔｈeｃａshflowfｒoｍＳtrａt(yī)eｇyAwillmoreｔhanoｆfsettheincreasｅｉntheinteresｔｐａymｅｎｔonthｅｌiabiｌiｔy，ｗｈereasthｅｃａshflowｆrｏmStrategyBwｉlｌｅxaｃｔｌyoffseｔtheiｎcrｅａseｉnthｅｉnteｒｅstpaｙmentontheliabilｉｔy．８。ＵsｅｔhｅquoｔationsinExhibｉt7．７tocaｌcuｌatetheｉnｔｒiｎsiｃvalueａｎｄtheｔimevalueoｆthe97SeｐtemｂerＪａｐaneseyｅnAmｅriｃａｎcallandｐutoｐtionｓ.Solutioｎ:Pｒemｉum－IntｒinsicVaｌue=TimeＶaｌue97SepCall２．08-Max［9５．8０–97.０0=-1．20,０］=2。08ceｎtspｅr100yen97ＳｅpPｕｔ２．4７—Ｍａx[97。00–95．80=1.２0,0］=１。２７centｓper１00yｅn9。ＡssumｅspｏｔＳwiｓｓfｒａｎcis＄０．70００ａnｄｔhｅsｉx－monｔhforwaｒｄｒateis＄0．6950。Ｗhatistheｍinimuｍpｒicｅtｈaｔasix-monｔｈAmericａncａｌloptiｏnｗｉｔｈastrikiｎｇpｒicｅof$0。6800shoｕldsｅllｆoｒinaｒationalmarket?Asｓuｍetｈｅannualｉzedsｉx—monthEuｒoｄoｌｌarrateis3?perceｎt.Solutiｏn:NｏｔeｔoＩnstruｃtor：Acomｐletesolutiontothisproblemｒeliesontheboundaｒｙexpressionsprｅｓentｅdinｆootnote３ofｔheｔextofChａptｅｒ7.CａＭax[（７0-68),(69.50—68）/(1．01７５），0］Max［2,1．47,０］=2ｃeｎｔs10。Ｄoproｂｌeｍ9agaiｎasｓuminganAｍeｒiｃanputｏｐtioninstｅadofａｃalloptioｎ.Solｕtion：ＰａＭax[（６8－70)，（６８—69．50）/（1.0175）,0]Max［—2，-1.47，0]=0ceｎts１1.UsetheＥuropeａｎoptioｎ-pｒicｉngmoｄｅｌsdｅvelopedｉnthechaｐterｔｏvaluethｅcallofpｒoblem9andｔｈeputofproblｅm1０．Assumｅthｅanｎualizｅdvoｌａt(yī)ｉlｉtyofｔheSwisｓfraｎcis1４。2percｅnt．TｈiｓproblemcａnbesolvｅｄusinｇtheFＸOPＭ．xｌｓｓpｒeadｓhｅe(cuò)ｔ．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）=。4336Ce＝［６9。5０（．6055）-68(．5664)］e—(。０3５)（．５０）=3.5１centｓPe=[６8(．４３36)－６9.５0（．3９45）]ｅ-(。035）（．５０)＝2．０３cｅnｔs１２．Ｕsethｅｂｉnomｉａlopｔion—priciｎgmｏdeｌdevｅlopeｄiｎｔｈｅchａpｔｅrtovaluetheｃallofｐrobleｍ9．Ｔhｅvolａt(yī)iｌiｔｙoｆtheＳwｉssｆｒancis１4.2percent.Ｓolution：Tｈespotrａt(yī)ｅatTwiｌlbeｅither7７.39￠=７0。0０￠（1．1056）oｒ63。３2￠=70.00￠（.9045)，ｗｈｅreu=ｅ.142.50=1．1056andd=1/u=。904５.Ａｔthｅe(cuò)xerciseｐriceｏfＥ＝68,theoｐtｉonwilloｎｌyｂeexerciseｄattimeTiftｈeSwｉｓｓfrancappｒｅcｉates;itｓexerciseｖａluｅwoｕldｂeＣｕT=9．３9￠=７7.39￠－68.IftheSwｉssｆｒａncdepｒecｉatesiｔwoulｄnoｔberatｉonaltoexercisｅtｈeoｐtioｎ;ｉtsvaｌuewouｌdｂeCdT＝0。Thehedgeｒａt(yī)ioiｓｈ=（9。3９–0）/(77．39–63．3２）=。6６74。Ｔｈus，thecaｌｌpremiumis：C0=Maｘ｛[６９．５0(.6６74）–68((70/68)（。667４–1)+１)］／（1。0175),70–68｝＝Maｘ[1.64，2］=２centspｅrSF.

MINICＡSE:THEＯＰTIOＮSSPEＣＵLＡTORＡspｅculatoriｓconsiｄｅriｎｇthepurchaseoffivethree—ｍｏnthＪapaneseyeｎｃallopｔionｓwithaｓtrｉkingｐricｅoｆ96ｃeｎtsper１00ｙen．Tｈepｒｅｍiumｉs１．３5centsper1００yen。Ｔhｅspｏtpｒiceis95．28centsper100yｅｎanｄthe90—dayfｏｒｗardrａt(yī)ｅis９５。71ｃents.Thesｐecｕｌａt(yī)orbeｌieｖestｈeyenwｉlｌaｐpreciａｔeto＄1.０0per100yenovｅｒtheｎextｔｈrｅe(cuò)montｈｓ。Asthespｅculator’sasｓistant，yｏuhａｖebeｅnaskedtｏpｒｅｐaretｈｅfolloｗing：1.Grａpｈtｈecaｌlopｔiｏncaｓhｆlowschedule．2。Deteｒmｉｎetｈespｅcｕlatoｒ’sｐrｏfitiｆtｈeyenaｐpreciaｔeｓto$1.００/100yen．3．Deterｍｉnｅthespecuｌatoｒ’spｒｏfｉtifthｅｙenonlｙaｐpｒｅcｉatｅsｔoｔheｆorwaｒｄrａｔe。４.Ｄｅterminethefuｔurｅｓpｏｔｐrｉceatwhicｈthesｐeｃulａｔorwｉllonlybｒeakｅｖeｎ。SｕggｅｓｔｅdSolutioｎtothｅOptioｎsSpecｕlaｔoｒ：１. ＋-2．（5x￥６,２５0，00０）ｘ［(1００-96)－1．35]／１00０0=$8,28１。25.３.Sｉncetheoptionexpｉrｅsout-of—the-monｅy，thｅｓpecuｌatoｒwｉｌｌlｅttｈeoptionｅｘpｉrewoｒtｈless.Heｗiｌlonｌylosethｅoｐtionprｅmiｕm。４.SＴ＝E+Ｃ=９6+1。35=９7.３５centｓpeｒ1００yen。ＣＨAPTＥR10MAＮAGＥMENTＯFTＲＡＮSLＡTIＯNＥＸPＯSURESUGGESＴＥＤANSWＥRSAＮDSOLUTIONＳTOEND-OF－CHAＰTERQUESＴIONSAＮDＰＲOBＬEＭＳＱＵESＴIＯＮS1.Ｅxplainthedifferencｅinｔhetraｎslａt(yī)iｏnprｏcesｓbetwｅｅntｈemonetａry／nonmｏnetａrymethodanｄtｈetemporalmetｈｏd.Ａｎswer：Uｎdeｒtheｍonetary／nonmonetaｒｙmethod，allmｏｎetaryｂalaｎcesｈｅe(cuò)taccounｔsoｆaforeignsubsidiaryaｒetranslatedatthecｕrｒeｎｔexｃｈanｇeraｔe。Otherｂalanceshｅe(cuò)ｔaccouｎtsａreｔｒaｎslatedatｔhｅｈistoｒicalｒateeｘcｈａngｅrateiｎｅffecｔｗhｅntｈｅａｃcountｗａsfiｒstrecｏｒded.Undeｒｔhetemporalmethod，mｏneｔａrｙaccoｕntsaretｒanｓｌaｔedattｈｅcurｒenteｘｃhangerate．Ｏtｈerｂalanｃesheetａccoｕntsareａｌｓotｒanｓｌａt(yī)ｅdatｔhecurrentrate，iftheyａｒｅcarrieｄonthebooｋsａt(yī)cuｒrenｔvａlｕｅ.Iftｈeｙaｒeｃａrrｉｅdathistorｉcaｌvaluｅ，tｈeyaretraｎｓlａt(yī)edattｈerateineffectoｎthedａt(yī)eｔheitemｗaｓputonthebooｋs。Sincefｉxedaｓsｅtｓanｄinventorｙaｒeｕsuaｌlycａrriｅdａt(yī)ｈistoricalcosts，tｈetempoｒａlmｅthｏdandthemonｅｔary/ｎoｎｍｏnetarｙmｅthodwiｌltyｐicａlｌyprovｉdeｔhesameｔrａnslatioｎ．2。Hoｗaｒetransｌatｉongaｉｎsandlosseｓｈaｎdledｄifｆerentlyaccoｒdingｔothecｕｒreｎｔrａt(yī)ｅｍethodincomparisontｏｔheoｔheｒthreemethｏds,ｔｈatiｓ，tｈecurrenｔ／noｎｃurｒentｍｅthｏｄ，thｅmonetary/nｏnmonetａｒyｍeｔhod，andｔhetemporalｍｅｔhod？Answer：Unｄerthecｕrrｅntratemeｔhod,transｌａt(yī)iongａinsaｎdｌｏsｓesａrehandledｏnlyasaｎadjｕｓtmenttonetworｔhthrouｇhaneqｕityaccouｎtｎａｍedthe“cumulatiｖeｔrａnslａt(yī)ioｎaｄｊustｍent”accouｎt。Ｎｏtｈｉngpａsseｓｔhroｕgｈthｅincoｍeｓtatemｅnｔ.Tｈｅothertｈrｅe(cuò)trａnｓlatｉｏnｍｅthｏdｓpasｓforeｉgnexchａｎgegainsｏrｌｏsｓestｈroｕghtｈｅiｎcomestaｔｅmeｎtbeforethｅyentｅｒontoｔｈebａlａncｅsｈeetthｒｏughthｅaｃcumulatedrｅtaiｎedearningｓaccount。

３．IｄenｔｉfysomｅinstaｎcesuｎderＦASB52ｗhenａforｅｉgnｅntity'sfunctionａlcｕrrencywoulｄbethｅsameaｓtheｐａrentfiｒm’scurrency。Ａnsｗer:ThｒｅｅｅxampｌesundｅrFASＢ52，wherｅtheforeiｇneｎtity’sｆｕnctiｏnａlcuｒrenｃywｉllbethｅsameａstheparentfirｍ’scurｒenｃｙ，are：ｉ）ｔhefｏｒeignentｉｔｙ'sｃasｈflowsdirｅctlｙaffｅctｔhepareｎt’sｃashflｏｗsaｎdarｅｒeadilyavaiｌａbleforremittancｅｔｏthepaｒｅｎｔfｉrm；ｉｉ)tｈｅsalｅspricesforｔｈｅfoｒｅignentｉty’sproductsarerespｏnsiveonashort－ｔerｍbａsｉstoｅｘcｈangｅrａt(yī)ｅchanges,ｗhｅresalｅspriｃesａredeteｒminedthrｏuｇｈworｌdwｉdｅcomｐetｉtion;and,iｉｉ）ｔhｅｓａlｅsmａrｋｅtiｓprimarｉlylocaｔediｎthｅparenｔ’scｏｕｎtｒyｏrｓalｅscontractｓareｄenoｍiｎatedinｔｈｅpaｒent’scuｒrency．４.DｅｓｃrｉbetheremeasurementａnｄtｒanslatiｏnｐroｃessunderFＡSB52ofawhollyownedaffiliatetｈａt(yī)keepsiｔsｂｏoksｉｎｔｈelocalcuｒrenｃyｏｆthｅcounｔryｉnwhichｉtopｅraｔes，wｈichｉsdiffeｒｅntthanitsfunctｉonａlcurrency．Aｎswer:Forafoｒeignentｉｔytｈａｔkeepsitsboｏksiniｔslｏcalcurｒｅncy，whichisdifｆerentｆromｉtsfｕnctiｏnａｌcuｒrｅncy,tｈetranslaｔｉonｐrｏcesｓａccordingtoFＡSB5２iｓｔｏ:fiｒｓt，remeasurethefiｎaｎcｉalｒepｏrｔｓfｒｏmthelｏcaｌcurrenｃyintｏｔhefuｎctiｏnalcｕrｒeｎｃyusingｔhetemporａlmeｔhｏdｏftrａnslａt(yī)iｏn,ａndsｅｃond，translatefromtｈｅfunｃtiｏｎａlcｕrrencyintｏtherepoｒtiｎｇcurrencyusingtｈｅcｕrｒeｎtratemｅｔｈｏdｏftranslａｔion。5.Itis，generalｌｙ,noｔpｏssibletocompｌetｅlyelimｉnatebｏthtｒaｎslationexposuｒeandｔransａctｉonexposuｒe。Insomｅcａses,theeliminationoｆoｎｅe(cuò)xｐosurewｉllalsoeｌｉminａt(yī)etｈｅｏther．Butiｎotｈercases,tｈeelｉmiｎａt(yī)ionoｆoneeｘpoｓurｅactuallycｒeaｔeｓｔheoｔｈeｒ．Ｄｉｓcuｓsｗhichｅxposureｍiｇhtbeｖieweｄastｈeｍoｓtimｐortａntｔoｅｆfｅcｔivｅｌymanａge,ifaｃonflｉｃtbeｔｗeｅｎconｔrollingｂotｈarisｅs.Aｌso，diｓcussａnｄｃrｉtiｑueｔheｃｏmmonmethodｓfoｒcoｎtrollinｇｔranslationeｘposurｅ。Ａnsｗer:Sinceitｉｓ，ｇenｅｒaｌｌｙ,notpoｓｓｉbletocoｍpletｅlｙｅliminａt(yī)ebotｈtraｎsaｃtｉｏnandｔranｓlationeｘposｕrｅ，wｅrecommｅndthａt(yī)ｔransaｃtionｅxpｏsurｅｂeｇivenｆirsｔpriｏrｉtｙｓinceitiｎvｏlvesｒealcaｓhfｌows.Thetrａnsｌatiｏnprｏcesｓ,oｎ-ｔhe-otherhａnd,hasnoｄiｒectｅｆｆｅctｏnrｅpoｒtiｎgｃurｒeｎcｙcashflｏｗs，andwiｌlonｌｙhａveareaｌｉｚableｅffectonｎetinvｅsｔmeｎtｕpｏnｔhesａｌeorliｑuｉdationｏfｔｈeaｓｓets．?Thｅrｅareｔwoｃoｍmoｎmethoｄsforcｏntｒoｌliｎgtｒaｎsｌationexpｏsurｅ:aｂａlancｅsheethedgｅandaｄeriｖatiｖesｈedge。Thebalaｎcｅsｈeeｔｈedgｅinvoｌvesequａt(yī)ingtｈeamｏuntofｅxｐosｅdaｓsｅｔsinanｅxｐoｓurｅcｕｒreｎcyｗiｔhtheexpｏｓedliabilitiesinｔhａｔcuｒrencｙ,ｓothｅnetexpｏsｕreiszeｒo。Thuswｈenanｅxposuｒecｕrrｅｎｃyexchanｇeraｔechangesveｒsuｓｔｈeｒepｏrtiｎgｃuｒreｎcy，tｈechangｅinassetｓwilｌoffsｅｔthecｈangeinｌiａbilities.Toｃrｅaｔeabａｌａncesheethedｇe,oｎcetranｓactionｅxposｕreｈaｓbeｅncｏntrｏlleｄ，ｏｆtenｍｅansｃreatｉnｇｎewtraｎsaｃｔioｎexｐosure.Tｈiｓisnｏtwisesinｃerｅaｌcaｓhfloｗlosｓescanresulｔ．Ａdeｒivativeshedgeisｎotｒｅallyaｈedgｅ,bｕｔratｈerａspecuｌativｅposｉtion,sｉncethesiｚｅofｔhe“heｄgｅ”isｂaｓｅｄontｈefｕｔureexpｅctedspoｔratｅofexchangefｏrthｅe(cuò)xpoｓｕrecuｒrｅnｃywiththereportingcｕrｒency．Ifｔheactuａlspｏtrａｔｅｄｉfｆｅrsfrｏmthｅe(cuò)ｘpectｅdratｅ,the“hedｇe”mayｒeｓuｌｔiｎtheｌossofrｅａlcaｓhflｏws．?PＲOBLEＭS1。ＡssumethaｔFＡＳＢ8iｓstillineffecｔinstｅadofFASB5２.ConstruｃｔaｔｒanslａｔｉonexposurｅreportfｏｒCentraliａＣoｒporationandｉｔsａｆfiliａt(yī)ｅstｈatistｈｅｃounterpaｒttoＥxhibiｔ10。7inthｅｔext。Ｃentraliａａndｉtsafｆilｉａt(yī)eｓcaｒryinventorｙandfiｘedassetsonｔhebｏoksatｈｉstｏricaｌvalｕes.Ｓolutｉｏn：ThefollowingtableprovideｓaｔransｌatioｎexｐosuｒeｒeportｆoｒCenｔrａliａCｏrporaｔｉｏnanｄitｓaffilｉaｔｅsuｎderFＡＳB8，whichiｓessentｉallythetemporalｍｅthoｄｏfｔrａnｓlａt(yī)ｉon.ThedifｆerencebetweeｎtｈenｅwrｅpｏｒtanｄＥxhiｂit1０．7isthaｔｎoｎmoneｔarｙaccountｓsuchasｉnventｏrｙaｎdfixｅdassetsareｔranslatｅdatｔｈeｈiｓtoricalｅｘｃｈaｎgeｒaｔeiｆtｈeyareｃａrrieｄathistoｒicalcｏｓts。Thus，theseacｃoｕntswillnotchａngevaｌｕeｓwｈeneｘcｈangｅrａt(yī)eｓｃｈａngeanｄｔheyｄonｏtｃrｅatetrａnslａt(yī)ionexｐｏｓuｒｅ．ＥxaminaｔionofthetablｅindｉｃatesthaｔuｎｄeｒFＡSＢ８thereisnegatｉvenetｅｘpoｓurefortheＭexiｃaｎpeｓｏａnｄｔｈｅｅuro，ｗｈeｒｅaｓundｅrＦAＳB52ｔhｅnｅtｅxposｕreｆoｒthesｅｃurrencieｓisｐoｓｉtiｖe.TherｅiｓnochangｅinnetexposｕrｅfortｈeCａnadiandollaranｄtheSｗissfrａnc。Consequently，ifｔhｅｅｕrodeｐrｅｃiatesaｇａｉnstthｅｄoｌlarfrom€1.1０0０／$１．00to€1.1７8６/$１.０0，aｓtheｔextexaｍplｅaｓsｕmｅd，exposedａssｅｔswｉｌlnｏwｆaｌlinvalueｂyaｓmaｌlerａmouｎtthaｎexposedliａbiｌiｔies,insｔeadofviceversa．Ｔheaｓｓociａt(yī)edrｅpｏrtｉnｇcuｒreｎｃyiｍbａlaｎcewillｂｅ＄239,415,caｌcｕｌatｅdasfolloｗｓ:ＲepｏrｔｉｎｇＣurｒeｎcｙＩmｂａlance＝--€3,949,0000€1.1786/$1.00--€3,949,0000€1.1000/$1.00=$239,415.

ＴrａnslatiｏｎExｐｏsureReportｕnderFASＢ8forCeｎtrａliａCoｒporaｔioｎanditsMexicanandSｐaniｓhＡff