Ganado's Cross-Currency Swap: Yen for Euros.Use Year 3 of the table of swap rates,

LOADING...

, and assume Ganado enters into a swap agreement to receive euros and pay Japanese yen, on a notional principal of

euro 4 comma 000 comma 0004,000,000.

The spot exchange rate at the time of the swap is

yen 105 divided by euro105/.

a. Calculate all principal and interest payments, in both euros and Japanese yen, for the life of the swap agreement.

b. Assume that one year into the swap agreement Ganado decides it wants to unwind the swap agreement and settle it in euros. Assuming that a 2-year fixed rate of interest on the Japanese yen is now

0.80 %0.80%,

a 2-year fixed rate of interest on the euro is now

3.60 %3.60%,

and the spot rate of exchange is now

yen 115 divided by euro115/,

what is the net present value of the swap agreement? Who pays whom what? See the inital values on the table:

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.

a. Calculate all principal and interest payments, in both euros and Japanese yen, for the life of the swap agreement.

The notional principal in Japanese yen is

yennothing.

(Round to the nearest yen.)In the first year of the swap, Ganado will receive

euronothing.

(Round to the nearest euro.)In the second year of the swap, Ganado will receive

euronothing.

(Round to the nearest euro.)In the third year of the swap, Ganado will receive

euronothing.

(Round to the nearest euro.)In the first year of the swap, Ganado will pay

yennothing.

(Round to the nearest yen.)In the second year of the swap, Ganado will pay

yennothing.

(Round to the nearest yen.)In the third year of the swap, Ganado will pay

yennothing.

(Round to the nearest yen.)b. Assume that one year into the swap agreement Ganado decides it wants to unwind the swap agreement and settle it in euros. Assuming that a two-year fixed rate of interest on the Japanese yen is now

0.80 %0.80%,

and a two-year fixed rate of interest on the euro is now

3.60 %3.60%,

and the spot rate of exchange is now

yen 115 divided by euro115/,

what is the net present value of the swap agreement? Who pays whom what?The present value of the euro cash flow from the second year is

euronothing.

(Round to the nearest euro.)The present value of the euro cash flow from the third year is

euronothing.

(Round to the nearest euro.)The cumulative present value of the remaining euro cash flows is

euronothing.

(Round to the nearest euro.)The present value of the yen cash flow from the second year is

yennothing.

(Round to the nearest yen.)The present value of the yen cash flow from the third year is

yennothing.

(Round to the nearest yen.)The cumulative present value of the remaining yen cash flows is

yennothing.

(Round to the nearest yen.)The cumulative present value of the remaining yen cash flows in terms of euros is

euronothing.

(Round to the nearest euro.)The settlement of the unwinding is

euronothing.

This is a cash receipt by

from

. (Round to the nearest euro and select from the drop-down menus.)

Enter your answer in each of the answer boxes.

Ganado's Cross-Currency Swap: Yon for Euros. Use Year 3 of the table of sweprates , and assume Ganade enters into a swap agreement to receive euros and pay Japanese yen, on a national principal of 4.000.000. The spot exchange rate at the time of the swap is +105/E. A. Calculate all areal and interest manta, in both Aunds and JananRSA YAN, for the HR of the SMAD Agreement b. Assume that one year into the swan agreement Ganado decides I wants to unwind the swap agrement and settle in euros. Assuming that a 2-year fixed rate of interest on the Japanese yen know Box, a Z-year fixed rate of interest on the curn is now 3.60%, and the spot rate of exchange snow *115/6, what is the net present value of the swap agreement? Who pays whom what? See the inital values on the table a. Calculate all principal and interes. patents, in both euros and Japanese yen, for the life of the swap agreement. The notional principal in Japanese yen (Round to the nearestyen.) In the first year of the Swap, Ganada wil receive (Round to the nearest curu.) In the second year of the swan, Ganada wil ARVAE (Round in the nearester) In the third year of the swap, Ganado will receive . Round to the nearest euro In the first year of the swap, Ganada will pay *. Round to the nearest yon.) In the second year of the swap, Canado will pay Round to the newestyon) In the third year of the swap, Ganaco will pay . (Round to the nearestyen.) in euros. Assuming that a two-year fixed rate of interest on the Japanese yen is now 0.B0%, and a two-year fixed rate of interest on the euro is no 9.60% and the sporale of exchange is no b. Assume that one year into the swap egreerrent Ganado decides il wants to traind the swap agreement and settle 7115/, what is the net present value of the swep agreement? Who pays whom what? The present value of the euro cash flow from the second year is (Round to the nearest euro) The present value of the euro cash flow from the Fird year ist. (Round to the nearest euro. The cumulative present value of the remaining are cash owsis (Round to the nearest euro.) The present value of the yen cash now from the second year is Y {Round to the nearest yen) The present value of the yen cash flow from the third year is (Round to the nearestyen.) The multe present Value of the remaining yon cash fows IV {Round to the nearest yon) The cumulative present value of the reigining yen cash flow in terms of eurosis (Round to the newest euro) The settlement of the unwindings . This a cash receipt by tram (Round to the nearest cura and select from the drap-down menus) Ganado the swap dealer thalanese the EU Data Table (Click on the icon to import the table into a spreadsheet.) Assumptioms Values Swap Rates Notional principal 4,000,000 Original: Euro Original spot rate (/) 105 Original: Yen 3-Year Bid 0.20% 0.13% 3-Year Ask 0.24% 0.19% Print Print Done Done EXHIBIT 8.12 Interest Rate Swap Quotes (December 31, 2014) Years 2 3 4 5 0 Euro Bid Ask 0.14 0.18 0.16 0.20 0.20 0.24 0.26 0.30 .34 0.38 0.42 0.46 0.51 0.55 0.60 0.64 0.700 .74 .79 0.83 .95 0.99 .12 1.16 1.301 .34 1.39 1 .43 .44 1.48 Sterling Swiss franc U.S. dollar Japanese yen Bid Ask Bid Ask Bid Ask Bid Ask 0.63 0.66 -0.14 -0.08 0.42 0.45 0.11 0.17 0.91 0 .95 -0.18 -0.10 0.86 0.89 0.11 0.17 1.11 1.15 -0.14 -0.06 1.26 1.29 0.13 0.19 1.28 1.33 -0.07 0.011.551.58 0.15 0.21 1.42 1.47 0.02 0.10 1.75 1.78 0.19 0.25 1.53 1.58 0.11 0.19 1.90 1.93 0.24 0.30 1.62 1.67 0.21 0.29 2.02 2.05 0 .300.36 1.69 1.74 0.30 0.38 2.11 2.10 0.36 0.42 1.76 1.81 0.39 0.47 2.19 2 .22 0.42 0.48 1.82 1.87 0.47 0.55 2.26 2.29 0.49 0.55 1.91 1.98 0.59 0.69 2.37 2.40 0.61 0.69 2.02 2.110 .75 0.85 2.482 .51 0.82 0.90 2.12 2.25 0.95 1.05 2.592.621.09 1.17 2.15 2.28 1.06 1.16 2.64 2.67 1 .22 1.30 2.17 2.30 1.11 1.212.67 2.70 1.29 1.37 0 0 1 10 12 15 20 25 30 LIBOR 1 Typical presentation by the Financial Times. Bid and ask spreads as of close of London business. US$ is quoted against 3-month LIBOR Japanese yen against 6-month UBOR: Euro and Swiss franc against 6-month LIBOR. Ganado's Cross-Currency Swap: Yon for Euros. Use Year 3 of the table of sweprates , and assume Ganade enters into a swap agreement to receive euros and pay Japanese yen, on a national principal of 4.000.000. The spot exchange rate at the time of the swap is +105/E. A. Calculate all areal and interest manta, in both Aunds and JananRSA YAN, for the HR of the SMAD Agreement b. Assume that one year into the swan agreement Ganado decides I wants to unwind the swap agrement and settle in euros. Assuming that a 2-year fixed rate of interest on the Japanese yen know Box, a Z-year fixed rate of interest on the curn is now 3.60%, and the spot rate of exchange snow *115/6, what is the net present value of the swap agreement? Who pays whom what? See the inital values on the table a. Calculate all principal and interes. patents, in both euros and Japanese yen, for the life of the swap agreement. The notional principal in Japanese yen (Round to the nearestyen.) In the first year of the Swap, Ganada wil receive (Round to the nearest curu.) In the second year of the swan, Ganada wil ARVAE (Round in the nearester) In the third year of the swap, Ganado will receive . Round to the nearest euro In the first year of the swap, Ganada will pay *. Round to the nearest yon.) In the second year of the swap, Canado will pay Round to the newestyon) In the third year of the swap, Ganaco will pay . (Round to the nearestyen.) in euros. Assuming that a two-year fixed rate of interest on the Japanese yen is now 0.B0%, and a two-year fixed rate of interest on the euro is no 9.60% and the sporale of exchange is no b. Assume that one year into the swap egreerrent Ganado decides il wants to traind the swap agreement and settle 7115/, what is the net present value of the swep agreement? Who pays whom what? The present value of the euro cash flow from the second year is (Round to the nearest euro) The present value of the euro cash flow from the Fird year ist. (Round to the nearest euro. The cumulative present value of the remaining are cash owsis (Round to the nearest euro.) The present value of the yen cash now from the second year is Y {Round to the nearest yen) The present value of the yen cash flow from the third year is (Round to the nearestyen.) The multe present Value of the remaining yon cash fows IV {Round to the nearest yon) The cumulative present value of the reigining yen cash flow in terms of eurosis (Round to the newest euro) The settlement of the unwindings . This a cash receipt by tram (Round to the nearest cura and select from the drap-down menus) Ganado the swap dealer thalanese the EU Data Table (Click on the icon to import the table into a spreadsheet.) Assumptioms Values Swap Rates Notional principal 4,000,000 Original: Euro Original spot rate (/) 105 Original: Yen 3-Year Bid 0.20% 0.13% 3-Year Ask 0.24% 0.19% Print Print Done Done EXHIBIT 8.12 Interest Rate Swap Quotes (December 31, 2014) Years 2 3 4 5 0 Euro Bid Ask 0.14 0.18 0.16 0.20 0.20 0.24 0.26 0.30 .34 0.38 0.42 0.46 0.51 0.55 0.60 0.64 0.700 .74 .79 0.83 .95 0.99 .12 1.16 1.301 .34 1.39 1 .43 .44 1.48 Sterling Swiss franc U.S. dollar Japanese yen Bid Ask Bid Ask Bid Ask Bid Ask 0.63 0.66 -0.14 -0.08 0.42 0.45 0.11 0.17 0.91 0 .95 -0.18 -0.10 0.86 0.89 0.11 0.17 1.11 1.15 -0.14 -0.06 1.26 1.29 0.13 0.19 1.28 1.33 -0.07 0.011.551.58 0.15 0.21 1.42 1.47 0.02 0.10 1.75 1.78 0.19 0.25 1.53 1.58 0.11 0.19 1.90 1.93 0.24 0.30 1.62 1.67 0.21 0.29 2.02 2.05 0 .300.36 1.69 1.74 0.30 0.38 2.11 2.10 0.36 0.42 1.76 1.81 0.39 0.47 2.19 2 .22 0.42 0.48 1.82 1.87 0.47 0.55 2.26 2.29 0.49 0.55 1.91 1.98 0.59 0.69 2.37 2.40 0.61 0.69 2.02 2.110 .75 0.85 2.482 .51 0.82 0.90 2.12 2.25 0.95 1.05 2.592.621.09 1.17 2.15 2.28 1.06 1.16 2.64 2.67 1 .22 1.30 2.17 2.30 1.11 1.212.67 2.70 1.29 1.37 0 0 1 10 12 15 20 25 30 LIBOR 1 Typical presentation by the Financial Times. Bid and ask spreads as of close of London business. US$ is quoted against 3-month LIBOR Japanese yen against 6-month UBOR: Euro and Swiss franc against 6-month LIBOR