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

The current one$-$year U$.$S$.$ T$-$Bill rate is $4\mathrm{.}3\%.$

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

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

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

Data table

$($Click on the following icon $$ in order to copy its contents into a spreadsheet.$).$

$\backslash$table$[[$Spot exchange rate:,CHF$1\mathrm{.}2616=$ USD$1\mathrm{.}00],[$Bid rate,CHF$1\mathrm{.}2627=$ USD$1\mathrm{.}00],[$Ask rate,$10$ to $15],[1-$month forward,$14$ to $22],[3-$months forward,$20$ to $30]]$

c$.$ What is the $6-$month Swiss bill rate? $($Round exchange rate to four decimal places and intere

$\backslash$table$[[$Six$-$month Swiss bill rate,$],[$Spot rate, midrate $($CHF$/$$$),1\mathrm{.}2622],[$Six$-$month forward rate, midrate $($CHF$/$$$),1\mathrm{.}2647],[$Maturity $($days$),180],[$Six$-$month U$.$S$.$ dollar treasury rate $($yield$),4\mathrm{.}300\%$