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1、 Page:213 MINI CASE陈燕华 2111207102房小雪 2111207104李召凤 2111207111祁媛媛 2111207117邱卫 2111207118Airbus Dollar Exposure Airbus sold an A400 aircraft to Delta Airlines a US company and billed $30 million payable in six months. Airbus is concerned exchange risk. The current spot exchange rate is $1.05/ and the
2、 six-month forward exchange rate is $1.10/ .Airbus can buy a six-month put option on US dollars with a strike price of 0.95/$ for a premium of 0.02 per US dollar. Currently, six-month interest rate is 2.5 percent in the euro zone and 3.0 percent in the United States. 1.Compute the guaranteed euro pr
3、oceeds form the American Sale if Airbus decides to hedge using a forward contractAnswer:$30000000/($1.10/)=27272727.273So the euro proceeds will be 27272727.273 v2. If Airbus decides to hedge using money market instruments, what action does Airbus need to take? What would be the guaranteed euro proc
4、eeds form the American sale in this case?vAnswer: vStep1: borrow $29126213.592 (=$30000000/(1+3%)vStep2: convert $29126213.592 into 27739251.04 at the current spot exchange rate of $1.05/vStep3: invest 27739251.04 in the euro zonevStep4: collect $30000000 from Delta Airlines and use it to repay the
5、dollar loanvStep5: receive the maturity value of the pound investment , that is 28432732.316=27739251.04*1.025v So the euro proceeds will be 28432732.316 v3.If Airbus decides to hedge using put options on US dollars, what would be the “expected” euro proceeds form the American sale? Assume that Airb
6、us regards the current forward exchange rate as an unbiased predictor of the future spot exchange rate.vAnswer: Since the expected future spot rate is less than the strike price of the put option: $1.10/ = 0.909/$ 0.95/$ So Airbus expects to exercise the option v Income : 28,500,000 =($30,000,000)*(0.95/$)v Option cost : 615,000 = 0.02*30000000* 1.025v Thus the net euro proceeds : 27,885,000 = 28,500,000 615,000 4.At what future spot exchange do you think Airbus will be indifferent between the option and money market hedge?vAnswer: Because at the
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