题目内容
In a currency swap, the underlying principal amount is exchanged:
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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:
A U.S. financial institution entered into a 4-year currency swap contract with a French industrial company.Under the terms of the swap, the financial institution receives interest at 3% per year in EUR and pays interestat 2% per year in USD. Payments and receipts are made at the end of the year. The principal amounts areEUR 50 million and USD 60 million, and interest payments are exchanged once a year. Suppose that it is exactlyone year before expiration of the swap contract and just in time for the year 3 cash flow payments andreceipts when the exchange rate is USD 1.044 per EUR 1, the 1-year French risk-free rate is 3.0%, and the1-year US Treasury rate is 2.0%. Assuming continuous compounding, what is the value of the swap to thefinancial institution at the end of year 3?
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 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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