Ganado’s Cross-Currency Swap: SFr for US$. Ganado Corporation entered into a 3-year cross-currency interest rate swap to receive U.S. dollars and pay Swiss francs. Ganado, however, decided to unwind the swap after one year—thereby having two years left on the settlement costs of unwinding the swap after one year.

Repeat the calculations for unwinding, but assume that the rates shown below now apply.

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Assumptions Values Swap Rates 3-Year Bid 3-Year Ask Notional principal $10,000,000 Original: U.S. dollar 5.56% 5.59% Original spot exchange rate, SFr/$ 1.5000 Original: Swiss francs 1.93% 2.01% New (1 year later) spot exchange rate, $/euro 5.5560 New fixed U.S. dollar interest 5.20% New fixed Swiss franc interest 2.20%