题目内容
A European company issues a five-year euro-denominated bond with a face value of EUR50,000,000. The company then enters into a five-year currency swap with a bank to convert the EUR exposure into USD exposure. The notional principals of the swap are EUR50,000,000 and USD70,000,000. The European company pays a fixed rate of 5%, and the bank pays a fixed rate of 4.5%. Payments are made semiannually on a basis of 30 days per month and 360 days per year. The payment from the bank to the company at the end of Year 4 is closest to:
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A U.S.-based company wishes to borrow R＄434,525,000 to fund an expansion of its operations in Brazil. Based on an exchange rate of R＄1.7381 per US＄, the company borrows US＄250,000,000 in the United States and enters into a currency swap with a dealer. The interest rates are 6.5% on US dollars and 10.7% on Brazilian real. Payments are made every 180 days. Based on a 360-day year, the periodic 180-day payments made by the U.S. company and the dealer, respectively, are closest to:
A company and its bank have entered into a currency swap in which the company pays USD to the bank. The currency swap details are provided below:&Notional & FX Rate&Swap Rate & #days Period & days YearCompany & USD130,000,000 & USD 1.30 &4.00%& 180& 360Bank & EUR100,000,000 & EUR 1.00 &2.00%& 180& 360Which of these interest payments will most likely be made by one of the parties in the transaction?
In a currency swap, the underlying principal amount is exchanged:
One of the bank's investments is exposed to movements in the Japanese yen, and Johnson desires to hedge the currency exposure. She prices a one-year fixed-for-fixed currency swap involving yen and US dollars, with a quarterly reset. Johnson uses the interest rate data presented in Exhibit 1 to price the currency swap.Exhibit 1 Selected Japanese and US Interest Rate DataDays to Maturity&Yen Spot Interest Rates&US Dollar Spot Interest Rates90 &0.05%&0.20%180&0.10%&0.40%270&0.15%&0.55%360&0.25%&0.70%Johnson should determine that the annualized equilibrium fixed swap rate for Japanese yen is closest to:
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