题目内容
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:
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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:
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?
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