Question
Given the following information: All interest rates are quoted in annual nominal terms (they are not effective interest rates). Spot: USD/SGD 1.3569 / 1.3574 3-month
Given the following information:
All interest rates are quoted in annual nominal terms (they are not effective interest rates).
Spot: USD/SGD 1.3569 / 1.3574 3-month
Forward Points: USD/SGD -204 / -201 U.S.
(USD) Interest Rates (Investing, Borrowing): 1.8%, 3.2%
Singapore (SGD) Interest Rates (Investing, Borrowing): 0.4%, 1.6%
Assume that you have calculated that the forward rate implied by interest rate parity is around 1.3475.
What would be the percentage return from engaging in Covered Interest Arbitrage?
(Calculate as a percentage of your initial borrowing, accurate to 2 decimal places, show all working out).
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The Routledge Handbook Of Integrated Reporting
Authors: Charl De Villiers, Warren Maroun, Pei-Chi Hsiao
1st Edition
0367233851, 978-0367233853
