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）︰100/04/24 考試時限（分鐘）：180分鐘 是否需發放獎勵金：是 （如未明確表示，則不予發放） 試題 : Note: Answer to the 4th decimal point, show all interest rate at %, and list your caluation procedures. Each problem is worth 20 points. 1. A Qualified Foreign Institutional Investor(QFII) expects US$ to depreciate, sells 1 year Non-Deliverable Forward(NDF) at exercise price X=NT29/$ to Bank A with notional principal of US$1,000,000. In order to hedge, Bank A now borrows US$1 million from Citi at annual interest rate of 3.25% for 1 year, converts to NT at current spot spot exchange rate S=NT29.51, and then deposits into Bank of Taiwan at 1.345% for 1 year. As to the principal and interest payments that Bank A needs to pay to Citi one year after will be purchased at the spot ask rate at that time. (1) If 1 year later, the spot ask rate is depreciated to NT28/$, then what are profit/loss of the QFII and Bank A respectively? (2) If however 1 year later, the spot ask rate is appreciated to NT30/$, then what are profit/loss of the QFII and Bank A respectively? (3) From Bank A's view point, what is the break-even spot ask rate one year later? 2. Given the following data: ┌───────┬─────┬──────┬──────┐ │Exchange Rate │US$ │Chinese Yuen│Japaness Yen│ ├───────┼─────┼──────┼──────┤ │Year 1995 │NT28 /$ │NT4 /RMB │NT0.45 /Yen │ ├───────┼─────┼──────┼──────┤ │ 2012 │NT29.51/$ │NT4.68/RMB │NT0.366/Yen │ └───────┴─────┴──────┴──────┘ ┌──┬───┬───┬───┬───┐ │CPI │Taiwan│US │China │Japan │ ├──┼───┼───┼───┼───┤ │1995│101 │202 │102 │ 95 │ ├──┼───┼───┼───┼───┤ │2012│115 │225 │120 │102 │ └──┴───┴───┴───┴───┘ ┌─────────────────┐ │2012 Ex-Import trade weight │ ├─────┬───┬───┬───┤ │Taiwan VS.│US │China │Japan │ │ ├───┼───┼───┤ │ │22% │50% │28% │ └─────┴───┴───┴───┘ Calculate the (1995 base year) 2012 Ex-Import trade weighted (1) Arithmetic and Geometric average NT Effective Exchange Rate(EER) Indexes (2) Arithmetic and Geometric average NT Real Effective Exchange Rate(REER) Indexes 3. Use the Taiwan Commercial Times handout, if the time horizon is 6 months (180 days, or 1/2 year), use Bank of Taiwan US$ Spot & Forward exahange rates and NT Time Deposit interest rates quotation 1.115% (assume 6 months NT loan rate is the prime rate of 2.896%), as well as Citibank's US$ Time Deposit interest rate quotation 0.34% (assume 6 months US$ loan rate is the prime rate of 3.25%). According tp IRP(Interest Rate Parity) Theory, (1) What are the Theoretical Bid and Ask Forward exchange rate F*? (2) Compare F* to actual Forward exchange rate F, is there any CIA(Covered Interest Arbitrage) opportunity? (3) Suppose the actual Forward exchange rate F' were 29.0 bid rate and 29.1 ask rate (instead of 29.389 and 29.557 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) Use the Wall Street Journal handouts data to answer Question 4 and 5: 4. For the 6/21/2012 maturity, Treasury Bills, with face value of $1,000,000 (Note: this was February 23, 2012 quotation, and Feb. has 29 days) (1) If you purchased the TB, what's your buying price? (2) If you sold the TB, what's your selling price? (3) Suppose the quoted asked discount yield were 0.110%, instead of the published 0.105%, then what's the askd yield to maturity? 5. (1) If Google borrows $100 million from BOA at prime rate 3.25% for 2 months (60days), then how much it should pay back after 2 months? And what is the real interest rate? (2) If an European bank borrows US$100 million at LIBOR rate of 0.75210% for 6 months (180 days), then how much it should pay back after 6 months? And what is the real interest rate? (3) If you purchase a Bank Acceptence with face value of $1,000,000 for 150 days at the quoted ask rate of 0.38%, then what is your buying price and what is the real interest rate? --

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