Andreas Broszio (Geneva). Andreas Broszio just started as an analyst for Credit Suisse in Geneva, Switzerland. He receives the following quotes for Swiss franc (CHF) against the dollar (USD) for spot, 1 month forward, 3 months forward, and months forward Spot exchange rate: Bidrate ET CHF1.2537=USD1.00 CHF1.2587 USD1.00 Ask rate 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% 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? a. Calculate outright quotes for bid and ask and the number of points spread between each Calculate the outright quotes for bid and ask and the number of points spread between each below: (Round to four decimal places) Bid Ask Spread One-month forward (CHF/S) 3-months forward (CHF/S) 6-months forward (CHF/S) b. What do you notice about the spread as quotes evolve from spot toward 6 months? (Select from the drop-down menus.) most likely a result of and trading volume. c. What is the 6-month Swiss bill rate? (Round exchange rate to four decimal places and interest rate to three decimal places) Six-month Swiss bill rate Spot rate, midrate (CHF/S) c. What is the 6-month Swiss bill rate? (Round exchange rate to four decimal places and interest rate to three decimal places) Six-month Swiss bill rate Spot rate, midrate (CHF/S) Six-month forward rate, midrate (CHF/S) Maturity (days) 100 Six-month U.S. dollar treasury rato (yield) 4.000% Implied SF interest rate Andreas Broszio (Geneva). Andreas Broszio just started as an analyst for Credit Suisse in Geneva, Switzerland. He receives the following quotes for Swiss franc (CHF) against the dollar (USD) for spot, 1 month forward, 3 months forward, and months forward Spot exchange rate: Bidrate ET CHF1.2537=USD1.00 CHF1.2587 USD1.00 Ask rate 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% 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? a. Calculate outright quotes for bid and ask and the number of points spread between each Calculate the outright quotes for bid and ask and the number of points spread between each below: (Round to four decimal places) Bid Ask Spread One-month forward (CHF/S) 3-months forward (CHF/S) 6-months forward (CHF/S) b. What do you notice about the spread as quotes evolve from spot toward 6 months? (Select from the drop-down menus.) most likely a result of and trading volume. c. What is the 6-month Swiss bill rate? (Round exchange rate to four decimal places and interest rate to three decimal places) Six-month Swiss bill rate Spot rate, midrate (CHF/S) c. What is the 6-month Swiss bill rate? (Round exchange rate to four decimal places and interest rate to three decimal places) Six-month Swiss bill rate Spot rate, midrate (CHF/S) Six-month forward rate, midrate (CHF/S) Maturity (days) 100 Six-month U.S. dollar treasury rato (yield) 4.000% Implied SF interest rate
