PERGUNTA 9 Company A, a British manufacturer wishes to borrow US dollars at a fixed rate of interest. Company B, a US multinational, wishes to borrow sterling at a fixed rate of interest. The principals in the two currencies are $18 million and 10 million. The companies have been quoted the following rates per annum: Sterling US dollars Company A 10.0% 6.0% Company B 9.6% 5.2% (a) If possible design a swap that will net a bank, acting as intermediary, 10 basis points per annum. (b) Assume that the term structure of interest rates is flat in the USA and UK. The USA interest rate is 6% per annum and the British rate is 8% per annum. Suppose that under this swap, payments are exchanged every year, with one exchange having just taken place. The swap will last two more years. The current value of the pound sterling is $1.6000 USD. What is the current value of the swap (in dollars) for Company A? Important Note: Assume all rates are annual with continuously compounding. PERGUNTA 9 Company A, a British manufacturer wishes to borrow US dollars at a fixed rate of interest. Company B, a US multinational, wishes to borrow sterling at a fixed rate of interest. The principals in the two currencies are $18 million and 10 million. The companies have been quoted the following rates per annum: Sterling US dollars Company A 10.0% 6.0% Company B 9.6% 5.2% (a) If possible design a swap that will net a bank, acting as intermediary, 10 basis points per annum. (b) Assume that the term structure of interest rates is flat in the USA and UK. The USA interest rate is 6% per annum and the British rate is 8% per annum. Suppose that under this swap, payments are exchanged every year, with one exchange having just taken place. The swap will last two more years. The current value of the pound sterling is $1.6000 USD. What is the current value of the swap (in dollars) for Company A? Important Note: Assume all rates are annual with continuously compounding