Question
In the U.S., the 180-day yield on AAA corporate bonds is 6%. The fixed rate on a 2-year plain vanilla swap with 180-day settlement periods
In the U.S., the 180-day yield on AAA corporate bonds is 6%. The fixed rate on a 2-year plain vanilla swap with 180-day settlement periods is priced at 7.08%
In Great Britain, the 180-day prime rate is 3%. The fixed rate on a2-year plain vanilla swap with 180-day settlement periods is priced at 3.78%.
A swap is initiated with a notional value of $ 2,000,000. The spot exchange rate is $1.6 / GBP.
30-days later
The exchange rate is $ 1.5/GBP.
The U.S. AAA yield curve looks like this:
tL0,t1506.25%3306.50%5107.00%6907.00%The British prime yield curve looks like this:
1503.50%3303.80%5104.00%6904.00%What are the fixed GBP payments associated with this currency swap (every 180days until expiration)? GBP(no - or + sign)
The value of the fixed dollar payments arm in the swap, 30 days after initiation, in dollars, is $.
The value of the floating dollar payments arm in the swap, 30 days after initiation, in dollars is $.
The value of the fixed GBP payments arm in the swap, 30 days after initiation, in dollars, is $.
The value of the floating GBP payments arm in the swap, 30 days after initiation, in dollars is $.
The value of paying floating dollar AAA yields and receiving fixed GBP prime rates, 30 days after initiation, is.
The value of paying floating UK prime rates in GBP and receiving floating U.S. AAA corporate rate in dollars is.
Donotuse commas to separate thousand and millions. Round your answers to integers.
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