k- Measuring Exposure to Exchange Rate Fluctuations (10 points) 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 $1.27 Australian dollars AUD$ 1.9MM AUD$ 1.5MM $0.92 Argentinian peso $ ARP$ 175MM ARPS 220MM $0.012 UK pound GBPE 1MM GBP: 50,000 $1.70 a. Calculate each currency's net transaction exposure (in CAD$). Show your work. (4 points) b. What currency's appreciation would benefit Saputo the most, why? (1 point) C. What currency's depreciation would benefit Saputo the most, why? (1 point) d. Assume: Saputo estimates the standard deviation (o) 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 1.95% 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. (4 points) k- Measuring Exposure to Exchange Rate Fluctuations (10 points) 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 $1.27 Australian dollars AUD$ 1.9MM AUD$ 1.5MM $0.92 Argentinian peso $ ARP$ 175MM ARPS 220MM $0.012 UK pound GBPE 1MM GBP: 50,000 $1.70 a. Calculate each currency's net transaction exposure (in CAD$). Show your work. (4 points) b. What currency's appreciation would benefit Saputo the most, why? (1 point) C. What currency's depreciation would benefit Saputo the most, why? (1 point) d. Assume: Saputo estimates the standard deviation (o) 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 1.95% 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. (4 points)