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	SF1.2599/$
	Ask rate	SF1.2622/$
	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

4.3%.

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

	Bid	Ask	Spread
One-month forward (SF/$)
3-months forward (SF/$)
6-months forward (SF/$)

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?

Six-month Swiss bill rate

Spot rate, midrate (SF/$)

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

Maturity (days)

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

%

Implied SF interest rate

%