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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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Stampede Capital Management has entered into a currency swap with Polar Investments in which Stampede pays 3.5% per annum in euros and receives 2.8% per annum in dollars. Stampede pays a principal amount of ＄130 million to Polar, while Polar pays €100 million to Stampede at inception of the swap. The yield curve in both Germany and the United States isupward-sloping with the following interest rates:&1-year &2-yearGermany&4.00%&4.50%United States &2.00% &2.25%The swap will last for another two years and the current exchange rate is ＄1.33/€. What is the value of the currency swap to Stampede?
Which of the following derivatives allows an investor to pay the return on a stock index and receive a fixed rate?
We considered a five-year, annual reset, 30/360 day count, Libor-based swap. The following table provides the present values per €1.Maturity (years) &Present Value Factors1 &0.9900992 &0.9778763 &0.9651364 &0.9515295 &0.937467Assume an annual reset Libor floating-rate bond trading at par. The fixed rate was previously found to be 1.2968%. Given these same data, the fixed interest rate in the EURO STOXX 50 equity swap is closest to:
A portfolio manager enters into an equity swap with a swap dealer. The portfolio manager agrees to pay the return on the Value Index and receive the return on the Growth Index. The swap’s notional principal is $50 million, and the payments will be made semi-annually. The levels of the equity indices are as follows:Index& Level at Start of Swap& Level Six Months LaterValue Index & ＄5,460 & ＄5,350Growth Index & ＄1,190 & ＄1,200The net amount owed to the portfolio manager after six months is closest to:
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