(2) Answer the NPV from the Currency Coupon Swap deal in the reference.

*Reference

Market

Exchange rate?USD??JPY140.00

?USD market interest rate?10% p.a. during the period

JPY market interest rate: 6% p.a. during the period.

Swap contract:

Assumed principle amount?USD 100 million (JPY 14,000 million)

Swap period (tenor): 2 years

Pay?6.3% in USD currency at the end of each year.

Receive: 6% in JPY currency at the end of each year

Answer the NPV. Finally you value the JPY amount by the exchange rate of USD1=JPY140.00, answer the NPV in USD currency.