【每日一练】ACCA F9（ Dec 2014）

Please use the space provided on the inside cover of the Candidate Answer Booklet to indicate your chosen answer to each multiple choice question.
Each question is worth 2 marks

A company whose home currency is the dollar ($) expects to receive 500,000 pesos in six months’ time from a
customer in a foreign country. The following interest rates and exchange rates are available to the company:
Spot rate                                                                       15·00 peso per $
Six-month forward rate                                                15·30 peso per $
                                                                                       Home country                    Foreign country
Borrowing interest rate                                                     4% per year                          8% per year
Deposit interest rate                                                         3% per year                          6% per year
Working to the nearest $100, what is the six-month dollar value of the expected receipt using a money-market hedge?
A $32,500
B $33,700
C $31,800
D $31,900

Answer：

A
The hedge needs to create a peso liability to match the 500,000 peso future income.
6-month peso borrowing rate = 8/2 = 4%
6-month dollar deposit rate = 3/2 = 1·5%
Dollar value of money market hedge = 500,000 x 1·015/(1·04 x 15) = $32,532 or $32,500

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