Assume Carlton enters into a three-year fixed-for-fixed swap agreement to receive Swiss Franc and pay U.S. dollar annually, on a notional amount of $6,000,000. The spot exchange rate at the time of the swap is SFO.8/$. What is the interest rate Carlton will receive in the swaps? 2 Euro-€ Years Bid Ask Bid Ask 3 Swiss franc 3.08 U.S. dollar Bid Ask Bid Ask 3.12 1.68 1.76 5.43 Japanese yen 5.46 0.45 3.25 3.29 2.38 2.64 5.54 5.59 0.56 0.49 0.59
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- Assume Carlton enters into a three-year fixed-for-fixed swap agreement to receive Swiss Franc and pay U.S. dollar annually, on a notional amount of $6,000,000. The spot exchange rate at the time of the swap is SFO.8/$. What is the interest rate Carlton will receive in the swaps? Years Bid N Euro-€ 3 3.08 3.25 Ask 3.12 Swiss franc Bid Ask U.S. dollar Bid Ask 3.29 2.38 2.64 5.54 Japanese yen 1.68 1.76 5.43 5.46 0.45 0.49 5.59 Bid Ask 0.56 0.59Suppose that Banco Bradesco in Brazil would like to enter a swap for USD100,000 three months from now for six months and the following quotes are available. Which of the following statements correctly describes the swap? Exchange Spot Rate BRL/USD 5.05/25 3-month 6-month 12/23 25/36 9-month 47/58 Banco Bradesco buys USD at 5.48 in 3 months' time; and buys BRL at 5.52 in 9 months' time Banco Bradesco buys USD at 5.17 in 3 months' time; and sells BRL at 5.83 in 9 months' time Banco Bradesco buy USD at 5.48 in 3 months' time; and sells BRL at 5.3 in 6 months' time Banco Bradesco buys USD spot at 5.05; and sells BRL at 5.61 at in 6 months' timeRates quoted by USB Bank on (ZAR/EUR): Bid – OfferSpot (ZAR/EUR) (Spot date: 15 April 2021): 18.1449 – 18.45692-month swap rate (i.e., Forward value date: 15 June 2021): 1370 – 449512-month swap rate (i.e., Forward value date: 15 April 2022): 7715 – 9555Other important informationExpected inflation rate in SA over next 12 months: 4.25%Expected inflation rate in euro area over next 12 months: 1.15%The price of one Apple MacBook computer in euro area: EUR 796The price of one Apple MacBook computer in South Africa: ZAR 21550Euro area 12-month interest rate: 2.25% South African 12-month interest rate: 7.55% The exchange rate at which USB Bank is willing to sell the ZAR spot is
- Assume a call option on euros is written with a strike price of $1.2500/€ at a premium of 3.80¢ per euro ($0.0380/€) and with an expiration date three months from now. The option is for €100,000. Calculate your profit or loss should you exercise before maturity at a time when the euro is traded spot at a. $1.10 / € b. $1.15 /€ c. $1.20 / € d. $1.25 /€ e. $1.30 / € f. $1.35 /€ g. $1.4 /€Assume Carlton enters into a three-year fixed-for-fixed swap agreement to receive Swiss Franc and pay U.S. dollar annually, on a notional amount of $4,000,000. The spot exchange rate at the time of the swap is SFO.8/$. Assume that one year into the swap agreement Carlton decides it wishes to unwind the swap agreement and settle it in dollars. Assuming that a two-year fixed rate of interest on the Swiss Franc is now 2.59%, and a two-year fixed rate of interest on the dollar is now 5.90%, and the spot rate of exchange is now SFO.0.893/$. To Carlton, what is the net present value (in dollar) of the swap agreement? (Keep the sign and two decimal places.) Years Bid 2 Euro-€ 3 Swiss franc U.S. dollar 3.08 3.12 1.68 1.76 Japanese yen Ask Bid Ask Bid Ask Bid Ask 5.43 5.46 0.45 0.49 3.25 3.29 2.12 2.17 5.54 5.59 0.56 0.59Assume Carlton enters into a three-year fixed-for-fixed swap agreement to receive Swiss Franc and pay U.S. dollar annually, on a notional amount of $2,000,000. The spot exchange rate at the time of the swap is SFO.8/$. Assume that one year into the swap agreement Carlton decides it wishes to unwind the swap agreement and settle it in dollars. Assuming that a two-year fixed rate of interest on the Swiss Franc is now 2.59%, and a two-year fixed rate of interest on the dollar is now 5.90%, and the spot rate of exchange is now SFO.0.891/$. To Carlton, what is the net present value (in dollar) of the swap agreement? (Keep the sign and two decimal places.) Years Bid 12 Euro-€ 13 3.08 3.25 Ask Swiss franc Bid Ask U.S. dollar Bid Ask Japanese yen Bid Ask 3.12 1.68 1.76 5.43 5.46 0.45 0.49 3.29 2.12 2.17 5.54 5.59 0.56 0.59
- On 15 April 2021, JHB Bank quoted the following spot and swap rates between the rand and the euro (ZAR/EUR) to a client called MAZDALtd.Rates quoted by JHB Bank on (ZAR/EUR): Bid – OfferSpot (ZAR/EUR) (Spot date: 15 April 2021): 15.7258 – 19.55672-month swap rate (i.e., Forward value date: 15 June 2021): 1290 – 135012-month swap rate (i.e., Forward value date: 15 April 2022): 7055 – 9534Other important informationExpected inflation rate in SA over next 12 months: 4.67%Expected inflation rate in euro area over next 12 months: 1.95%The price of one Apple MacBook computer in euro area: EUR 689The price of one Apple MacBook computer in South Africa: ZAR 22350Euro area 12-month interest rate: 3.50% South African 12-month interest rate: 8.90% 2.1 The exchange rate at which JHB Bank is willing to sell the ZAR spot is ____? 2.2 The exchange rate at which JHB Bank is willing to buy the EUR two months forward is _____? 2.3 The exchange rate at which MAZDA Ltd. will buy the EUR 12 months forward?…You enter into a futures contract to buy €125,000 at $1.53 per euro. The spot exchange rate when you enter the contract is $1.63. Your initial performance bond is $6,100 and your maintenance level is $2,400. At what settle price will you get a demand for additional funds to be posted to your account? 1.6596 1.7596 1.8896 1.5004 1.5596 1.60042 Assume Carlton enters into a three-year fixed-for-fixed swap agreement to receive Swiss Franc and pay U.S. dollar annually, on a notional amount of $6,000,000. The spot exchange rate at the time of the swap is SFO.8/$. Assume that one year into the swap agreement Carlton decides it wishes to unwind the swap agreement and settle it in dollars. Assuming that a two- year fixed rate of interest on the Swiss Franc is now 2.59%, and a two-year fixed rate of interest on the dollar is now 5.90%, and the spot rate of exchange is now SFO.0.810/$. To Carlton, what is the net present value (in dollar) of the swap agreement? (Keep the sign and two decimal places.) 3 Euro-€ Years Bid Ask Bid Ask Swiss franc 3.08 3.12 1.68 1.76 3.25 3.29 2.12 2.17 U.S. dollar Bid Ask 5.43 5.46 Japanese yen Bid 0.45 5.54 5.59 0.56 Ask 0.49 0.59
- As a dealer in currency, you buy put option on euros. The written strike price on the option of $1.2000/€ at a premium of 1.75¢ per euro ($0.0175/€). The expiration date six months from now. The option is for €150,000. Calculate profit or loss should you exercise before maturity at a time when the euro is traded spot at the following: (a). $1.15/€ (b). $1.20/€ (c). $1.30/€ (d). $1.40/€XYZ Inc. entered into a three-year cross-currency interest rate swap to receive U.S. dollars and pay Euro (€). XYZ, however, decided to unwind the swap after two years. Based on the information below, if XYZ unwinds the swap after two-year, what is the cumulative present value of the remaining dollar cash flows? Assumptions Values Notional principal $16000000 Original spot exchange rate, $/€ 1.27 New (2-year later) 1.37 spot exchange rate, $/€ Swap Rates 3-year Bid 3-year Ask Original: US dollar 0.0467 0.0532 Original: Euro 0.018 0.0274 The cumulative present value of the remaining dollar cash flows is $Calculate the one year forward exchange rate using the direct method: Spot Rate $ 1.4830 / € U.S Libor (1 Year) 2.50 % Euro Libor (1 Year) 4.15 % Explain arbitrage condition underlying your work