3.)Andreas Broszio (Geneva). Andreas Broszio just started as an analyst for Credit Suisse in Geneva, Switzerland. He receives the following quotes for Swiss francs against the dollar for spot, 1 month forward, 3 months forward, and 6 months forward.

Spot Exchange Rate:

Bid Rate SF1.2534/$

Ask Rate SF1.2551/$

1-month forward 10 to 15

3-months forward 14 to 22

6-months forward 20 to 30

The current one-year U.S. T-Bill rate is 4.2%.

a. Calculate outright quotes for bid and ask and the number of points spread between each.

One month forward 10 to 15 (SF/$):

Bid: 1.2534 + 0.0010 =1.2544

Ask: 1.2551 + 0.0015=1.2566

One Month Spread: 1.2566-1.2534=.0022

Three month forward 14 to 22 (SF/$):

Bid: 1.2534 + 0.0014 =1.2548

Ask: 1.2551 + 0.0022=1.2573

Three Month Spread: 1.2573-1.2548=.0025

Six month forward 20 to 30 (SF/$):

Bid: 1.2534 + 0.0020 =1.2554

Ask: 1.2551 + 0.0030=1.2581

Three Month Spread: 1.2581-1.2554=.0027

b. What do you notice about the spread as quotes evolve from spot toward 6 months?

It widens, most likely a result of thinner and thinner trading volume.

c. What is the 6-month Swiss bill rate?

Spot rate, midrate (SF/$):

Mid-rate= Bid rate+Ask rate 2

=1.2534+1.2551 2

=1.2543

Six-month forward rate, midrate (SF/$)

Mid-rate= Bid rate+Ask rate 2

=1.2554+1.2581 2

=1.2567

Maturity Days = 180

Six-month U.S. dollar treasury rate (yield) = 4.200%

THE QUESTION I NEED HELP WITH IS FINDING THE Implied SF interest rate?? I am stuck on this part.