S3 Q21 Foxtrot Inc., a Canadian, company, has just entered into a one year currency swap contract with a notional value of Canadian $50 million. The swap contractt requires the company to make quarterly payments in Canadian dollars and receive quarterly payments in US dollars. The accruual period for the swap is 90/360, assuming 360 days per year. The US$.C$ spot exchange rate is 0.74, with the Canadian dollar being the domestic cureency. The term structures of C$ LIBOR and US$ LIBOR are: Days C$LIBOR % US$ LIBOR % 90 .525 .65 180 .575 .7 270 .625 .75 360 .675 .8 see image Calculate the fixed rates in Canadian dollars.
S3 Q21
Foxtrot Inc., a Canadian, company, has just entered into a one year currency swap contract with a notional value of Canadian $50 million. The swap contractt requires the company to make quarterly payments in Canadian dollars and receive quarterly payments in US dollars. The accruual period for the swap is 90/360, assuming 360 days per year. The US$.C$ spot exchange rate is 0.74, with the Canadian dollar being the domestic cureency. The term structures of C$ LIBOR and US$ LIBOR are:
Days C$LIBOR % US$ LIBOR %
90 .525 .65
180 .575 .7
270 .625 .75
360 .675 .8
see image
Calculate the fixed rates in Canadian dollars.
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