課程名稱︰國際財務管理 課程性質︰選修 課程教師︰何憲章 開課學院：管理學院 開課系所︰財金系 考試日期（年月日）︰100/4/21 考試時限（分鐘）：180 是否需發放獎勵金：是 （如未明確表示，則不予發放） 試題 : Fin 5020 International Financial Management 4/21/2011 Prof.Hsien-Chan Ho Mid-term Exam Note: Answer to the 4th decimal point, show all intrest at %,and list your calculation procedure. Each problem is wroth 20 points. Use the Wall Street Journal handout to anwser Question1 and 2: 1. (1)If IBM borrows $100 million from BOA at the prime rate of 3.25% for 1 months then how much it should pay back after 1 months? And what is the real interest rate? (2)If a European bank borrows US$100 million at LIBOR rate of 0.31350% for 3 months(90days)then how much it should pay back after 3 months? And what is the real interest rate? (3)If you purchase a commercial paper with face value of $1,000,000 for 180 days at the quoted rate of 0.28%,then what is your buying price and what is the real interest rate? 2. For the 5.000% coupon rate,2011 Aug 15 maturity,Treasury Bond, with face value of $100,(note: this was February 23,2011 quotation,and Feb. has 28 days) (1)If you purchased a T-Note, what's your buying price? (2)If you sold a T-Note, what's your buying price? (3)Suppose the asked quote price were 102:11,instead of the published 102:10 ,then what's the asked yield to maturity? 3. If the US Treasury Department used Discriminatory Price Auction method for its 2 year semi-annual coupon T-Note new issue,it raised $5 billion to fill $1 billion Non-competitive and $4 billion Competitive bids,the three successful competitive bidders were $1 billion at 2%,$2 billion at 2.1%, and $1 billion at 2.2% bid yields. (1)What was the coupon rate? (2)What price did Non-competitive bidders pay for $100 face value? (3)What price did the top Competive bid winner pay for $100 face value? 4. Suppose our Central Government Construction Bonds 2011 are just issued, with 2% coupon rate,NT$ 100 face value,paying coupon semi-annually, and expiring in 2013(i.e. 4 coupon payment periods) (1)If you purchase it at 4% asked yield,then what's your buying price? (2)What's the bond's MaCaulay's Duration and Modified Duration (in year)? (3)What's the Convexity? (4)Using the dP/P=-Dm*di+CV(di)^2 formula,if the intrest rate falls 1%,then how many percentages your bond price will increase? 5. In Taiwan Commercial Time handout,if the time horizon is 3 months(90days,or 1/4 year)use Bank of Taiwan US $ Spot & Forward exchange rates and NT Time Deposit interest rates quotation(assume 3 months NT loan rate is the prime rate of 2.276%),as well as Citibank's US $Time Deposit interest rate quotation (assume 3 months US$ loan rate is the prime rate of 3.25%). According to IRP(Interest Rate Parity) Theory, (1)What are the Theoretical Bid and Ask Forward exchange rates F* ? (2)Compare F* to actual Forward exchange rates F,is there any CIA(Covered Interest Arbitrage) opportunity? (3)Suppose the actual Forward exchange rates F' were 29.3 bid rate and 29.4 ask rate(intead of 29.639 and 29.772 respectively on the handout),show your arbitrage process and your net profits in US$ and NT.(note:borrow Principal of either US$1 million or NT 1 million) 試題結束 --

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