課程名稱︰國際財務管理
課程性質︰國企系 財務領域選修
課程教師︰李志偉
開課學院：管理學院
開課系所︰國企系
考試日期（年月日）︰98.04.23
考試時限（分鐘）：160分鐘
是否需發放獎勵金：是
（如未明確表示，則不予發放）
試題 :
Multiple Choice
1.The spot Singapore dollar is quoted bid S$1.7160/US$ and ask S$1.7200/US$.
What is the direct quote in the United State to the nearest 4 decimal points?
(a) US$0.5814/S$ bid, US$0.5828/S$ ask
(b) US$0.5828/S$ bid, US$0.5815/S$ ask
(c) S$1.7160/US$ bid, S$1.7200/US$ ask
(d) S$1.7200/US$ bid, S$1.7160/US$ ask
2.______make money on currency exchange by the difference between the _____
price, or the price they offer to pay, and the _____price, or the price at
which they offer to sell the currency.
(a) Dealers; ask; bid
(b) Dealers; bid; ask
(c) Brokers; ask; bid
(d) Brokers; bid; ask
3.From the viewpoint of a British investor, which of the following would be a
direct quote in the foreign exchange market?
(a) SF2.40/￡ (b) $1.50/￡ (c) ￡0.55/€ (d)$0.90/€
4.A common type of swap transaction in the foreign exchange market is the ____
where the dealer buys the currency in the spot market and sells the same
amount back to the same bank in the forward market.
(a) "forward against spot"
(b) "Non-deliverable Forward, NDF"
(c) repurchase agreement
(d) "spot against forward"
5.One year ago the spot rate of U.S. dollars for Canadian dollars was $1/C$1.
Since that time the rate of inflation in the U.S. has been 4% greater than
that in Canada. Based on the theory of Relative PPP, the current spot
exchange rate of U.S. dollars for Canadian dollars should be approximately
______.
(a) $0.96/C$ (b) $1/C$1 (c) $1.04/C$1
(d) relative PPP provides no guide for this type of question
6.Phillips NV produces DVD players and exports them to the United States. Last
year the exchange rate was $1.25/euro and Phillips charged 120 euro per
player in Euroland and $150 per DVD player in the United States. Currently
the spot exchange rate us $1.45/euro and Phillips is changing $160 per DVD
player. What is the degree of pass through by Phillips NV on their DVD
players?
(a) 92% (b) 33.3% (c) 41.7% (d) 4.1%
7.According to the International Fisher Effect, the forecast change in the spot
rate between two countries is equal to:
(a) the current spot rate multiplied by the ratio of the inflation rates in the
respective countries.
(b) but the opposite sign to the difference between nominal interest rates.
(c) but the opposite sign to the difference between inflation rates.
(d) but the opposite sign to the difference between real interest rates.
8.Peter Simpson thinks that the U.K. pound will cost $1.75/￡ in six months. A
6-month currency futures contract is available today at a rate of $1.77/￡.
If Peter was to speculate in the currency futures market, and his expectations
are correct, which of the following strategies would earn him a profit?
(a) Sell a pound currency futures contract
(b) Buy a pound currency futures contract
(c) Sell pounds today
(d) Sell pounds in six months
9.A foreigh currency_____option gives the holder the right to_____ a foreign
currency whereas a foreign currency_____option gives the holder the right to
_____a foreign currency.
(a) call, buy, put, sell
(b) call, sell, put, buy
(c)put, hold, call, release
(d)None of the above
10.Which of the following factors is (are) likely to drive up the price of a
currency call option?
(a) An increase in the time to maturity
(b) A currency with greater volatility
(c) A currency with lesser volatility
(d) Both (a) and (b) above
Instruction: For the following problem(s),consider these debt strategies being
considered by a corporate borrower. Each is intended to provide $1,000,000 in
financing for a three-year period.
●Strategy #1: Borrow $1,000,000 for three years at a fixed rate of interest
of 7%.
●Strategy #2: Borrow $1,000,000 for three years at a floating rate of LIBOR+2%,
to be reset anually. The current LIBOR rate is 3.50%.
●Strategy #3: Borrow $1,000,000 for one year at a fixed rate, and then renew
the credit anually. The current one-year rate is 5%.
11.Refer to Instruction. After the fact, under which set of circumstances would
you prefer strategy #1? (Assume your firm is borrowing money.)
(a) Your credit rating stayed the same and interest rates went up
(b) Your credit rating stayed the same and interest rates went down
(c) Your credit rating improved and interest rates went down
(d) Not enough information to make a judgment
12.Refer to Instruction. After the fact, under which set of circumstances would
you prefer strategy #2? (Assume your firm is borrowing money.)
(a) Your credit rating stayed the same and interest rates went up
(b) Your credit rating stayed the same and interest rates went down
(c) Your credit rating improved and interest rates went down
(d) Not enough information to make a judgment
13.Refer to Instruction. After the fact, under which set of circumstances would
you prefer strategy #3? (Assume your firm is borrowing money.)
(a) Your credit rating stayed the same and interest rates went up
(b) Your credit rating stayed the same and interest rates went down
(c) Your credit rating improved and interest rates went down
(d) Not enough information to make a judgment
14.An agreement to swap the currencies of a debt service obligation would be
termed a/an _____.
(a) currency swap
(b) forward swap
(c) interest rate swap
(d) none of the above
15.Level Ⅲ ADR commitment applies to
(a) firms that want to list existing shares on the NYSE
(b) banks issuing foreign mutual funds
(c) ADR issues of under $25,000
(d) the sale of a new equity issued in the United States
16.Depositary receipts traded outside the United States are called _____
depositary receipts.
(a) Euro (b) Global (c) American (d) none of the above
17.Each ADR represents _____ of the shares of the ubderlying foreign stock.
(a) a multiple (b) 100 (c) 1 (d) ADRs have nothing to do with foreign stocks
18.Not all firms have the same optimal capital structure. Factors that might
influence a firm's capital structure include
(a) the industry in which it operates
(b) the volatility of its sales and operating income
(c) the collateral value of its assets
(d) all of the above
19.Foreign bonds sold in the United States are nicknamed "Yankee bonds,"foreign
bonds sold in Japan are called "Samurai bonds". What are foreign bonds sold
in the United Kingdom nicknamed?
(a) "Union Jacks" (b) "Royalty" (c) "Bulldogs" (d) "Churchill's"
20.A _____ is a bond underwritten by a syndicate from a single country, sold
within in that country, denominated in that country's currency, but the
issuer is from outside that country.
(a) foreign bond
(b) Eurobond
(c) domestic bond
(d) none of the above
計算題(要計算過程)
1.Assuming the following quotes, calculate how a market trader at Citibank with
$1,000,000 can make an inter-market arbitrage profit:
Citibank quote: US$/pound($/￡) 1.5400
National Westminster quote: euros/pound(€/￡) 1.6000
Deutschebank quote: US$/euro($/€) 0.9700
2.Akira Numata, a foreign exchange trader at Credit Suisse (Tokyo),is exploring
covered interest arbitrage possibilities. He wants to invest $5,000,000 or
its yen equivalent, in a covered interest arbitrage between U.S. dollars and
Japanese yen. He faced the following exchange rate and interest rate quotes:
spot rate (￥/$) 118.60
180-day forward rate (￥/$) 117.80
180-day U.S. dollar interest rate 4.800%
180-day Japanese yen interest rate 3.400%
Explain and diagram the specific steps Akira must take to make a covered
interest arbitrage profit.
3.AAA Co. and BBB Co. face the following interest rates:
Fixed Floating
______________________________________________________________
AAA Corp 4.00% 6-month LIBOR + 0.30%
BBB Corp 5.20% 6-month LIBOR + 1.00%
Assume that AAA wants to borrow USD at a floating rate of interest rate and B
wants to borrow at a fixed-rate of interest. If the IRS is equally attractive
to A and B (雙方對於互相承作之IRS利率都認為公平,即將承作IRS所得之利潤均分),how
much does AAA save by making this swap?
Diagram the cash flows in this transaction.
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