(a) The following cash market rates are observed for the Swedish Kronor.

3 months (91 days) 4.87/5.00%

6 months (182 days) 5.12/5.25%

9 months (273 days) 5.00/5.12%

What is the theoretical rate at which a dealer bank would take a 6v9 forward-forward deposit from a customer? [10 marks]

(b) On Friday, VGL Capital agreed to lend 10,000,000 to XML Hedge Fund for 1 week at 4.3% and simultaneously borrowed the same amount overnight at 4.25%. Calculate the breakeven rate for the remaining period. [10 marks]

(c) VGL Capital also sold a 2v5 2,000,000 FRA when rates were quoted to VGL Capital as 7.30/7.40%. Settlement is approaching, and 3-month (91-days) GBP LIBOR is 7.15%. Calculate the amount VGL Capital will pay or receive. [10 marks]

(d) In 2022 Euro Credit agrees to exchange with Iberia Bank the income earned on 150,000,000 nominal at a rate of 4% per annum with that earned on a six months Euro EURIBOR, for the six-month period between 14 January 2022 and 14 July 2022.

On 12 January 2022, two days before the commencement of the FRA, the quoted rate for the six-month EURO EURIBOR is 3%.

Based on the above information, (a) calculate the amount Euro Credit owes Iberia Bank, the amount Iberia Bank owes Euro Credit, and (b) the net position. [10 marks]