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ColumbusCrewBankhas$200millionofexcessfundsandManchesterCityBankhas100millionofexcessfundsinpoundsterling.ThespotexchangerateSis$2perpoundsterling.Theyenterintoacurrencyswaptodaythathasatenoroftwo months.Theannualrisk-freesimpleinterestratesare i=4percentintheUnitedStatesandi=5percentintheUnited Kingdom.Cashflowsareexchangedattheendofeachmonth.Aftertwomonths,theswapendswiththefollowingtransaction: ColumbusCrewpays100.6250milliontoManchesterCityandreceives$200.5000millioninreturn ColumbusCrewpays100.4167milliontoManchesterCityandreceives$200.6667millioninreturn ColumbusCrewpays100.8333milliontoManchesterCityandreceives$201.3333millioninreturn ColumbusCrewpays100milliontoManchesterCityandreceives$200millioninreturn

ColumbusCrewBankhas$200millionofexcessfundsandManchesterCityBankhas100millionofexcessfundsinpoundsterling.ThespotexchangerateSis$2perpoundsterling.Theyenterintoacurrencyswaptodaythathasatenoroftwo months.Theannualrisk-freesimpleinterestratesare i=4percentintheUnitedStatesandi=5percentintheUnited Kingdom.Cashflowsareexchangedattheendofeachmonth.Aftertwomonths,theswapendswiththefollowingtransaction:

ColumbusCrewpays100.6250milliontoManchesterCityandreceives$200.5000millioninreturn

ColumbusCrewpays100.4167milliontoManchesterCityandreceives$200.6667millioninreturn

ColumbusCrewpays100.8333milliontoManchesterCityandreceives$201.3333millioninreturn

ColumbusCrewpays100milliontoManchesterCityandreceives$200millioninreturn

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