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Question 20. Currency Swap (20 marks) A Canad an corporation (ACC) has just entered Into a two-year currency swap contract wilth Big Dealer Bank (8DB].

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Question 20. Currency Swap (20 marks) A Canad an corporation (ACC) has just entered Into a two-year currency swap contract wilth Big Dealer Bank (8DB]. The swap contract requires ACC to make soml-annual payments In Canadian dollars (C$. and receive semi-annual payments In U.S. dollars (US$). The notlone amount In Canadian dollars Is C$25 million. The accrual perlod for the swap Is 180/38), assuming 360 days peryear. The US$/C$ spot exchange rate Is 0.77, with the Canadian dollar being the domestic currency for ACC. The Damn structures of C$ LIBOR and US$ LIBOR. are as to OWE Days C$ LIBOR (34) UBS LIBOR (9:) 180 360 0.65 540 0.65 0.75 720 0.70 What Is the notional amount In U.S. do as? (1 mark) Calculate the fixed rates In Canadian and U.S. dollars. (8 marks) Calculate the first soml-annual payments for the swap If the terms of the swap specify that ACC receives fixed rates and pays floating rates. (2 marks)] What Is the value of the currency swap at the time of contract In lation? (1 mark) Assume 240 days has passed since the Initiation of the currency swap contract. The new exchange rate Is US$0 35/CB. Calculate the value of the swap given the following LIBOR tom structures at time 240. (8 marks) Days CS LIBOR (9:) UBS LIBOR (94) 120 0.60 0.60 300 0.70 D.65 480 0.80 0.70 680 0.90 0.80

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