题目内容

Two firms, Bell-Con and Bro-Con, enter into a fixed-for-fixed currency swap, with an agreement to make periodic payments annually. Bell-Con pays 3.5% in euros and receives 3% in U.S. dollars. At the beginning of the swap, Bell-Con pays a principal amount to Bro-Con of USD 250 million, and Bro-Con pays EUR 200 million to Bell-Con. What amounts are exchanged every period, and what happens to the principal amounts at the swap's conclusion?

A. Bell-Con will pay EUR 8.75 million to Bro-Con, Bro-Con will pay USD 6 million to Bell-Con, and there will be no other payments exchanged at swap conclusion.
Bell-Con will pay EUR 7 million to Bro-Con, Bro-Con will pay USD 7.5 million to Bell-Con, and the principal amounts will be re-exchanged at swap conclusion.
C. Bell-Con will pay EUR 7 million to Bro-Con, Bro-Con will pay USD 6 million to Bell-Con, and there will be no other payments exchanged at swap conclusion.
D. Bell-Con will pay EUR 8.75 million to Bro-Con, Bro-Con will pay USD 7.5 million to Bell-Con, and the principal amounts will be re-exchanged at swap conclusion.

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A financial institution has entered into a plain vanilla currency swap with one of its customers. The period left on the swap is two years with the institution paying 4.5% on USD120 million and receiving 2% on JPY 3,500 million annually. The current exchange rate is 120 JPY/USD, and the flat term structure in both countries generates a 3% rate in the United States and a 0.5% rate in Japan. The current value of this swap to the institution is closest to:

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