What currency appreciation would benefit saputo the most

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Reference no: EM133138348

Question - Assume the following expected cash flows for Saputo Inc for a given period (MM=million):

Currency

Total Inflow

Total Outflow

Exchange Rate

US dollar $

US$ 6.45MM

US$ 3MM

$1.27

Australian dollar$

AUD$ 1.9MM

AUD$ 1.5MM

$0.92

Argentinian peso $

ARP$ 175MM

ARP$ 220MM

$0.012

UK pound £

GBP£ 1MM

GBP£ 50,000

$1.70

a. Calculate each currency's net transaction exposure (in CAD$). Show your work.

b. What currency's appreciation would benefit Saputo the most, why?

c. What currency's depreciation would benefit Saputo the most, why?

d. Assume:

Saputo estimates the standard deviation (σ) of 6-month percentage changes of the US dollar to be 3.25% the US dollar is expected to depreciate by an 2% against the Canadian dollar during the next 6 months.

With a 99% confidence interval, the maximum expected 6-month loss is 1.95x the standard deviation.

Use the VaR method to calculate the maximum 6-month loss on Saputo's US cash flows (in CAD$). Show your work.

Reference no: EM133138348

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