网课2017-06考前冲刺直播p46月

C TKeyPointsinP4TE E Overview PartARoleoftheseniorfinancialadvisorinmulti-nationalfirms ysis, Earningsbeforeinterestandtax(EBIT)LesstaxonEBITPlusnon-cashcharges(egdepreciation)LesscapitalexpenditureLessnetworkingcapitalincreasesPlusnetworkingcapitaldecreasesPlussalvagevaluereceived PartARoleoftheseniorfinancialadvisorinmulti-nationalfirmsFinancialstrategyüFCFE[Dividendcapacity,Valuationofequity(FCFE,Marketcapitalisation,P/EDirectFCFE= e(EBIT–netinterest–taxcashflow

(changeincapitalinvestment+changeinworkingcapital)Netdebtissued(newborrowingslessanyrepayments)Netequityissued(newissueslessanyequityrepurchases) PartARoleoftheseniorfinancialadvisorinmulti-nationalfirms bias, PartARoleoftheseniorfinancialadvisorinmulti-nationalfirms PartARoleoftheseniorfinancialadvisorinmulti-nationalfirms Darkpooltradinge.g.June2015[Problems, PartARoleoftheseniorfinancialadvisorinmulti-nationalfirms [FCFE,dividend PartBAdvancedInvestmentDecision IRR&MIRR[Definition(reinvestmentrateis 'scostofcapital), PartBAdvancedInvestmentDecision Duration[Definition(averagetimeoverwhichaprojectdeliversitsvalue),Calculation(weightingeachyearoftheprojectbythe%ofthepresentvalueofthecashinflowsreceivedinthatyear),Decisionrule] Modifiedduration[Definition(Measureshowsensitivethepriceofthebondistoachangeintheinterestrate),Calculation,Benefits(bondsofdifferentmaturitiesandcouponrate, ysis,modifyinterestraterisk),Limitations(assumesalinearrelationship] PartBAdvancedInvestmentDecision VaR[Definition(Minimumamountbywhichthevalueofaninvestmentorportfoliowilloveragivenperiodoftimeatagivenlevelofprobability),Calculation(VAR=99%95%90%ConsiderationswithVaR[Dec2014Differentriskprofile.VaRcalculationsindicatethattheinvestmentsinvolvedifferentrisk.However,thecashflowsarediscountedatthesamerate,whichtheyshouldnotbe,sincetheriskdiffersbetweenthem. withregardtodecisionMoreinformationshouldbecollectedand PartBAdvancedInvestmentDecision Risk-adjustedcostofcapitalinAdvancedInvestmentDecision[2014Dec PartBAdvancedInvestmentDecision Basicoptionknowledge[longcall,shortcall,American BSOP[Calculation Realoption[Types(optiontodelay→calloption,optiontoexpand→calloption,optiontoabandon/withdraw→putoption),] PartBAdvancedInvestmentDecision Basicoptionknowledge[longcall,shortcall,American BSOP[Calculation Realoption[Types(optiontodelay→calloption,optiontoexpand→calloption,optiontoabandon/withdraw→putoption),] PartBAdvancedInvestmentDecision Basicoptionknowledge[longcall,shortcall,American BSOP[CalculationShareTimeto

→Discountedfactorislargerwhichmeansthatfutureexercisepriceofoptioncost→Sharepurchasecanbedeferredwhichmeansthatmoneyleftinbankcanearn PartBAdvancedInvestmentDecision Basicoptionknowledge[longcall,shortcall,American BSOP[CalculationShareTimeto

→Discountedfactorislargerwhichmeansthatfutureexercisepriceofoptioncost→Sharepurchasecanbedeferredwhichmeansthatmoneyleftinbankcanearn PartBAdvancedInvestmentDecisionOptionpricingüBSOP[CalculationUnderlyingassumptions[June2016Q4,June2014SuitableforEuropeanstyleoptionsthereforeitassumedthatthewarrantsareoftheTherearenotaxedortransactionTheshareiscontinuouslytradedandthesharepricehasalog-normalVolatilityofreturnswillremainInterestratesareconstantandInvestorscanborrowat Nodividendpayablebeforetheoptionexpiryü[Ifthereisdividendpayablebeforetheoptionexpirydate,Pa ethePa-ofdividend,andthePVofdividendcanbecalculatedas(Dividend*e- PartBAdvancedInvestmentDecisionBSOPwithDebtandEquityPe:ThevaluePe:ThevalueofPewillnotjustbetheredemptionvalueofthedebt.Theamountowedtothebankincorporatesalltheinterestpaymentsaswellastheultimatecapitalrepayment.i.e.ValueofPe=PVofdebtPa=Fairvalueofthefirm'sassets[Currentvalue]s=standarddeviationoftheassets'valuePe=amountowedtobank[Futurevalue]t=timeuntildebtisDebtThevalueofabondcanbecalculatedasthevalueofanequivalent bondminusvalueofaput-optionoverthe PartBAdvancedInvestmentDecisionDeltaanddelta N(d1)isknownas Deltameasuresthechangesinoptionvaluewhichwouldresultfroma$1changeinthevalueoftheunderlyingasset(e.g.share) Numberofoptioncallstosell=Numberofsharesheld/ Thewriterofacalloptioncanusedeltahedgingtomanageitsexposuretotheriskthe Acalloptionwillincreaseinvalueinarisingmarketasitfixesalowerstrikepriceallowingtheholdertobuyatacheaperprice.Adeltahedgeensuresthattheoptionwriteralsoownstheunderlyingassetwhichwillshowagianasthepricerises. Becausesharepriceschangecontinuouslyinrealworld,thevalueofthedeltaalsochangescontinuously.Therefore,theinvestorwhowantstomaintainariskneutralpositionwillhavetocontinuouslyadjustthebalanceofoptionsandsharesinhisportfolio. calloptionisatthemoney,thedeltais0.5butalsochanges PartBAdvancedInvestmentDecisionThe [June2016Q4,June2014Q4,Dec2013Q2,June2013Measuresthesensitivityoftheoptionvaluetochangesinvalueoftheunderlying atthe ] Measurestherateofchangeofdeltaastheunderlyingassets'price Measuresthechangeinoptionvaluecausedbya1%changeinthe callputMeasuresthesentivityoftheoptionvaluetochange rateof [Atthemoney,ThetaMeasurestherateofdeclineinthevalueoftheoptioncausedbythepassageof

PartBAdvancedInvestmentDecisionUsingtheBSOPmodeltovaluerealoption[June2016Q4][June2012Q1][Dec2013 Valueoftheunderlyingasset:[Presentvalueoffuturecashflowsexcludinginitial(PVoffuturepositivecashPutOption—Optiontoabandon/switch:ThevalueofthecashflowsforegoneforaputTimeto Manywriterscontinuetousetherisk- rateforrealoptions.However,somearguesthatagigherratebeusedtoreflecttheextrariskswhenre cingthesharepricewiththePVoffuturecashflows PartBAdvancedInvestmentDecision Sourcesoffinance[Ke(CAPM,DVM),Kd(creditspread,creditrisk),Ungearand (tax),Subsidy(subsidybenefit,lossoftaxrelief)),Adv&Disadv] PartBAdvancedInvestmentDecision DomesticAPVCalculationStep1BasecaseAstheinitialNPVassumesthattheprojectisfinancedentirelybyequity,theappropriatecostofcapitalisthecostofequity(allowingforprojectriskbutexcludingfinancialrisk).→allequity-financedcostofequity βe→βa→[usingCAPM]allequityfinancedcostof βe→Ke→[usingMMwithtax]Kei→allequityfinancedcostofStep2Financingimpact:[DiscountratecanbeRforPVofequityanddebtissuecosts[issuecost-taxDebtissuecostareallowedfortaxrelief,andequityissuecostarenotfortaxGrossinguptheamountofPVoftaxshield[annualtaxrelief*annuityStep3Addthevaluesfromthefirsttwostepstoobtainthe PartBAdvancedInvestmentDecision Purchasingpowerparity[spotexchangerateswillvaryovertimeaccordingtorelative Interestrateparity[Underinterestrateparitythedifferencebetweenspotandforwardratesreflectsdifferencesininterestrates] PartBAdvancedInvestmentDecision Thecashflowmustberelevant[Q1June2015—PartAdjustCapitalallowancesfortaxcalculationpurposetogettaxableprofit.[Q2JuneStep2ConvertintoahomecurrencyCFatthespotexchangeratetogetremittable[calculatedthroughPPPTorStep3Addingotherdomesticcashflowtogettotaldomesticcashflows[Q1June ltaxStep4GetPVoftotaldomesticcashflowsdiscountedatprojectspecificdiscount PartBAdvancedInvestmentDecision InternationalAPVapproach[PilotpaperPreviouslosscarriedforwardasareductionoftaxableprofit.[PilotpaperStep2ConvertintoahomecurrencyatthespotexchangeratetogetTotalcash[calculatedthroughPPPTorStep3DiscountatAllequityfinancedprojectdiscountrate-KeiandcalculatetheBase PartBAdvancedInvestmentDecision InternationalAPVapproach[PilotpaperStep4Financingimpact:[DiscountratecanbeRforPVofequityanddebtissuecosts[issuecost-taxDebtissuecostareallowedfortaxrelief,andequityissuecostarenotallowedfortaxrelief.GrossinguptheamountofPVoftaxshield[annualtaxrelief*annuityPVofpost-taxsubsidiesStep5Otheradjustment[PilotpaperQ1][Discountrateispost-projectcostofAdditionaltax(bila ltaxtreaty)[basedontaxableprofitconvertedintodomesticStep6Closurerevenuesandcosts[Pilotpaper PartBAdvancedInvestmentDecision PartCAcquisitionsandmergers Thecriteriaofacquisition[benefitofundervalued ,diversification,operatingsynergy,taxsavings,increasedebtcapacity,disposalofcashslack,accesstocashresources,controlofthe ,accesstokeytechnology] Acquisition[Adv:Speed,lowercost,intangibleassets,accesstooverseamarkets,Disadv:businessrisk,financialrisk,acquisitionpremium,managerialcompetenceintegrationproblems]vsorganicgrowth Synergies[Revenuesynergy(Increasedmarketpower,marketingsynergies,strategicsynergies),Costsynergy(economiesofscale),financialsynergy(diversification,cashslack,taxbenefits,debycapacity)] PartCAcquisitionsandmergers Definition:Alargeunlisted beingboughtbyasmallerlisted usingashareforshareexchange.Thelarger illthenbethedominantpartnerina inordertoobtainastockmarketlistingDisadvantages[risk,lackofexpertise,sharepricedecrease(duetoalock-up PartCAcquisitionsandmergers entrapment(Whereastrategyisfailing,managersmay becauseoftheir alcommitmenttoit) ,theymaybe PartCAcquisitionsandmergers Firmvalue=[bookorre cementcostofrealassets]+[multiplier*annualprofitor PartCAcquisitionsandmergers CIV(Calculatedintangiblevalue)['excessreturn'ontangibleThismethodisbasedoncomparingthereturnonassetsearnedbythe asimilar inthesameindustryortheindustryaverage.StepstoarrangeStep1:Calculateaveragepre-taxearnings,averagetangibleasset,industry'sreturnon PartCAcquisitionsandmergers 影响PEratio的因素[June2016 No.of CostShare Cash 换股 对Shareforshare 换股时每 价值，以换 股价为基Mixedoffer换股 对价 +换股时以换 股价为基准计算每股份价值 PartCAcquisitionsandmergers ①OriginalofferPEratio换股后的每股价格/original②③CashofferPEratiocashoffer折算后每股价格/original④ PartCAcquisitionsandmergers Fundingof①Originaloffer:NoextraCASH②Share-for-shareoffer:NoextraCASH③Cash Cashrequiredforbidding-Cashandcashequivalentsofboth ④Mixedoffer:Cashrequiredforbidding-Cashandcashequivalentsofboth PartCAcquisitionsandmergers APV(APV=Valueofacquired ifall-equityfinanced+PVofdebttaxshields(toobtainthevalueofequity)–Initialinvestment(i.e.theproposedacquisitionprice) PartCAcquisitionsandmergers Defensivetacticsinahostiletakeover[Goldenparachute,poisonpill,whiteknights,crownjewels,pacmandefence,litigationorregulatorydefence] PartCAcquisitionsandmergersFinancingmergersand Cash Shareforshareexchange Convertibleloan Factorsthatdirectorsof shouldconsider[DilutionofEPS,Costto,gearing,controlauthorisedsharecapitalincrease,borrowinglimits Factorsthatshareholdershouldconsider e,futureinvestment,share Circumstanceswhereadilutionofearningisacceptable[Earningsgrowth,qualityofearnings,dilutionofearningscompensatedbyincreaseinnetassetbacking] PartDCorporatereconstructionandreorganisation Defnition:afirm cesthemajorityofitsequitywithapackageofdebtRequirements:companiesthatengageinleveragedrecapitalisationshouldberelativelydebt ,havestablecashflowsandnotrequiresubstantialongoingcapitalexpenditureinordertoretaintheircompetitiveposition. DebtforequityInthecaseofanequity/debtswap,allspecifiedshareholdersaregiventherightexchangetheirstockforapredeterminedamountofdebt(iebonds)inthe. PartDCorporatereconstructionandreorganisation Definition:InanLBOapublicly isacquiredbyaspecially .The Adv:costofmeetinglisting Disadv:losesitsabilitytohaveitssharespublicly PartDCorporatereconstructionandreorganisation Organisationalrestructuring[consistsofchangesintheorganisationalstructureofthefirm,suchasdivisionalchangesandhierarchicalstructures] PartDCorporatereconstructionandreorganisation Divestments[thepartialorcompletesaleordisposalofphysicalandorganisationalassets,theshutdownoffacilitiesandthereductioninwork inorderto forinvestmentinotherareasofstrategicinterest]Demergers[splittingupofcorporatebodiesintotwoormoreseparatebodies,ensurethatsharepricesreflectthetruevalueofunderlyingDefinition[splittingupofcorporatebodiesintotwoormoreseparatebodies,toensurethatsharepricesreflectthetruevalueofunderlyingoperations.] PartDCorporatereconstructionandreorganisation Sell-offs[Definition(saleofpartofa toathirdparty),Reasons(improveperformance,protectfromtakeover,shortofcash,concentrateonmainbusiness,improverisklevel]Spin-offs[Definition(reationofanew ,wheretheshareholdersoftheoriginalowntheshares),Characteristic(nochangeofownership,differentproportionsof ,bydetachingpartsofandsellingthesharesof panytotheManagementbuy-outs[Definition,Benefit(forBOD,formanagementteam),Evaluation(managementskills,whyforsale,CFandprofit,price,financialcontribution,exitroute)] PartETreasuryandAdvancedRiskManagementTechniques Moneymarkethedging[Hedgingpayment(borrowhomecurrencynow→converttotransactioncurrencynow→putforeigncurrencydeposit),Hedgingreceipt(borrowforeigncurrencynow→converttohomecurrencynow→puthomecurrencydeposit),] Currencyfutures Currencyswaps FOREXswaps PartETreasuryandAdvancedRiskManagementTechniquesForward&Future& [June2016Q1,June2014Q1,June2013Q3,June2011 ①SellOrbuy?Expirydate?No.ofcontractAmountForForamounthedged:Gainorlossonfuturemarket:(Sellingprice-buyingprice)*No.ofcontract*ContractsizeFor②：Whenthereisnospotrate@transactionSellOrbuy?Expirydate?No.ofcontractAmountFor→Foramountnothedged:Forward PartETreasuryandAdvancedRiskManagementTechniquesForward&Future& [June2016Q1,June2014Q1,June2013Q3,June2011 Howtochoosesellingorbuyingfuture①IfCCisequivalenttocurrencyweneed,buyCC②IfCCisnotequivalenttocurrencyweneed,sellCCe.g.Ifeurocurrencyneedtobeconvertedinto$in3monthsCC=CC=$, PartETreasuryandAdvancedRiskManagementTechniquesForward&Future& [June2016Q1,June2014Q1,June2013Q3,June2011 Howtochoosesellingorbuyingfuture*IfCCisnottransactionStep1:Calculateexpectedpaymentorreceipt(basedoncurrencyofcontract)Expectedpaymentorreceipt(inCC)=Amounttobehedged/currentspotrateStep2:CalculateNo.ofcontractNo.ofcontract=Expectedreceiptorpayment(inCC)/Contractsize(in⑤Hedgedamount=contractsize*No.ofUnhedgedamount=amounttobehedged-hedged PartETreasuryandAdvancedRiskManagementTechniquesForward&Future& [June2016Q1,June2014Q1,June2013Q3,June2011 Calculateexpectedfuture PartETreasuryandAdvancedRiskManagementTechniquesForward&Future& [June2016Q1,June2014Q1,June2013Q3,June2011 Calculategainorlossonfuture①Gainorlossonfuturemarket=(Sellingprice-buyingprice)*No.ofcontract*ContractBuyfuture→@transactiondate,buyatcurrentfutureprice,sellatexpectedfutureSellfuture→@transactiondate,sellatcurrentfutureprice,buyatexpectedfuture CalculateExpectedpaymentor②Gainorlossonfuturemarket:(Sellingprice-buyingprice)*No.ofcontract*Contract PartETreasuryandAdvancedRiskManagementTechniquesForward&Future& [June2016Q1,June2014Q1,June2013Q3,June2011 CalculateLock-in [June2016Q1,June2014Whenthereisnospotrate@transactionThereisnoneedtocalculateGainorlossonfuture FinalresultTotalpaymentorreceipt=No.ofcontract*contractsize*Lock-inrate+resultofunhedgedamountusingforwardcontract[*Ifunhedgedamountoroverhedgedamountisverysmallandnotmaterial,totalpaymentreceiptcanbeexpectedpaymentor PartETreasuryandAdvancedRiskManagementTechniquesForward&Future& [June2016Q1,June2014Q1,June2013Q3,June2011 *IfCCisnottransaction①Expectedpaymentorreceipt=Amounttobehedged/exerciseHedgedamount=contractsize*No.ofUnhedgedamount=amounttobehedged-hedgedUnhedged PartETreasuryandAdvancedRiskManagementTechniquesForward&Future& [June2016Q1,June2014Q1,June2013Q3,June2011 Premiumpayable=No.ofcontract*Contractsize*PremiumPremiumincurrencyneeded(usingspotrate)=premiumpayable*spot*Howtochoosetheforexspot[Bankalwayswin][Themorepremiumpaid,the④Usingforwardcontractstohedgeamountnot*Howtochoosetheforex[Bankalwayswin][Thelesswegot/Themorewepaid,the PartETreasuryandAdvancedRiskManagementTechniquesForward&Future& [June2016Q1,June2014Q1,June2013Q3,June2011 ①NetNetreceipt=amountnothedgedatforwardrate+receiptunderoptions-premiumTotalpayment=amountunhedgedatforwardrate+Paymentunderoptions+premium PartETreasuryandAdvancedRiskManagementTechniquesForexswap&Currency [JuneFOREXswap[SwapDefinition:Thepartiesagreetoswapequivalentamountofcurrencyforaperiodandthenre-swapthemattheendoftheperiodatanagreedswaprate.Currencyswap[Swap&①Definition:AcurrencyswapallowsthetwocounterpartiestoswapinterestratecommitmentsonborrowingsindifferentcurrenciesAnexchangeofprincipalsindifferentcurrencies,whichareswappedbackattheoriginalspotrate-ThesameasFOREXswapAnexchangeofinterestrates-thetimingofthesedependsontheindividual PartETreasuryandAdvancedRiskManagementTechniques FRA>Marketrate→BuyeroftheFRAmakesacashpaymenttotheseller,andpaymentisfortheamountbywhichtheFRArateexceedsthereferenceFRA<Marketrate→SelleroftheFRAmakesacashpaymenttotheseller,andpaymentisfortheamountbywhichtheFRArateislessthanthereference Optionon PartETreasuryandAdvancedRiskManagementTechniques [June2015,Dec2013,Pilot,Dec①Generalcalculation:Whenthereisspotrate@transactionSellAmountForForamounthedged:Gainorlossonfuturemarket:(Sellingprice-buyingprice)*No.ofcontract*ContractsizeFor②Examinationfocus：Whenthereisnospotrate@transactionSellAmountFor→Foramountnothedged:Forward PartETreasuryandAdvancedRiskManagementTechniques [June2015,Dec2013,Pilot,DecHowtochoosesellingorbuyingfuture①Borrowingmoney→sellingbonds→selling②Depositingmoney→buyingbonds→buyingNo.ofcontract①No.ofcontracts=(loanordepositamount/contractsize)*(loanordepositperiod/contract PartETreasuryandAdvancedRiskManagementTechniques [June2015,Dec2013,Pilot,Dec①Expectedfutureprice=100-(interestrate@transactiondate+unexpiredUnexpiredbasis=Unexpiredperiod(Periodfromsettlementdatetoexpirydate)/Periodfromnowtoexpirydate PartETreasuryandAdvancedRiskManagementTechniques [June2015,Dec2013,Pilot,DecCalculateGainorlossonfuture①Gainorlossonfuturemarket=(Sellingprice-buyingprice)*No.ofcontract*ContractBuyfuture→@transactiondate,buyatcurrentfutureprice,sellatexpectedfutureCalculateExpectedpaymentor②Gainorlossonfuturemarket:(Sellingprice-buyingprice)*No.ofcontract*Contract PartETreasuryandAdvancedRiskManagementTechniques [June2015,Dec2013,Pilot,Dec CalculateLock-In①Lock-inrate=100-(currentfuturesprice+unexpiredbasisonthetransactionFinalresultTotalpaymentorreceipt=No.ofcontract*contractsize*Lock-inrate+resultofunhedgedamountusingforwardcontract[*Ifunhedgedamountoroverhedgedamountisverysmallandnotmaterial,totalpaymentreceiptcanbeexpectedpaymentor PartETreasuryandAdvancedRiskManagementTechniques [June2015,Dec2013,Pilot,DecHowtochoosebuyingcallorputoptionNo.ofcontract①#ThesameasFuture#No.ofcontracts=(loanordepositamount/contractsize)*(loanorPay①Premiumpayable=No.ofcontract*Contractsize*premiumrate*durationofExerciseornot PartETreasuryandAdvancedRiskManagementTechniques [June2014,Dec2014,JuneDefinition:anagreementwherebythepartiesagreetoswapafloatingstreamofinterestpaymentsforafixedstreamofinterestpayments[Noexchangeofprincipal]Step1.Findthelargestbasisdifferentialbetweentwoparties,whoborrowatfloatingrate,whoborrowatfixedrateandcalculatethetotalbenefitoftwoparties.Borrow@FixedinterestrateBasisdifferential*Applyto

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