ndreas Broszio(Geneva). Andreas Broszio just started as an analyst for Credit Suisse inGeneva, Switzerland. He receives the following quotes for Swiss francs against the dollar forspot, 1 monthforward, 3 monthsforward, and 6 months forward.

Spot exchangerate:

Bid rate

SF1.2559/$

Ask rate

SF1.2618/$

1-month forward

10 to 15

3-months forward

14 to 22

6-months forward

20 to 30

The currentone-year U.S.T-Bill rate is 4.1%.

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

b. What do you notice about the spread as quotes evolve from spot toward 6months?

c. What is the6-month Swiss billrate?

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

Calculate the outright quotes for bid and ask and the number of points spread between eachbelow:(Round to four decimalplaces.)

Bid Ask Spread

One-month forward (SF/$)