roblem 8: company A makes annual USD payments of 6% on a notional of USD 15 Million. Company A receives annual GBP payments of 7% on a notional of GBP 10 Million. Assume that the USD and GBP interest rates are rusD-4% and rGBP = 6%. The swap currently has 4 years until it matures. The next cash flow exchange will occur one year from today. If the current USD/GBP spot rate XUSD/GBP = 1.71 what is the value of this currency swap for company A? Problem 9: Duke Inc. is a major exporter of spicy American cheese products. Duke's financials are the following: VusD-USD 15 Million, NDusD-4 Million ; Assume that NDER = USD 3 Million are EUR-denominated, so NDUSB USD 1 Million. Assume that FX business exposure to the EUR is BEDR 1.80. Duke also has a short position on a 5-year fixed-for-fixed USD/EUR swap with a notional of USD 2 Million (assume this is an at-market swap). What is the FX equity exposure of Duke Inc.? Problem 10: Assume that the global beta of Krapl Inc. is 1.80, the local beta (relative to the U.S, market) is 1.95. The currency risk premium is 1.30%, the global market risk premium is 7%, the US market risk premium is 55%. The risk-free rate of return is 4% and Krapl Inc.'s FX equity exposure is 0.6, according to the international CAPM model. What is Krapl Ine's cost of capital based on the Global CAPM (GCAPM) model? is the correct r hn issumetion that markets are segmented the ts are integrated, then the roblem 8: company A makes annual USD payments of 6% on a notional of USD 15 Million. Company A receives annual GBP payments of 7% on a notional of GBP 10 Million. Assume that the USD and GBP interest rates are rusD-4% and rGBP = 6%. The swap currently has 4 years until it matures. The next cash flow exchange will occur one year from today. If the current USD/GBP spot rate XUSD/GBP = 1.71 what is the value of this currency swap for company A? Problem 9: Duke Inc. is a major exporter of spicy American cheese products. Duke's financials are the following: VusD-USD 15 Million, NDusD-4 Million ; Assume that NDER = USD 3 Million are EUR-denominated, so NDUSB USD 1 Million. Assume that FX business exposure to the EUR is BEDR 1.80. Duke also has a short position on a 5-year fixed-for-fixed USD/EUR swap with a notional of USD 2 Million (assume this is an at-market swap). What is the FX equity exposure of Duke Inc.? Problem 10: Assume that the global beta of Krapl Inc. is 1.80, the local beta (relative to the U.S, market) is 1.95. The currency risk premium is 1.30%, the global market risk premium is 7%, the US market risk premium is 55%. The risk-free rate of return is 4% and Krapl Inc.'s FX equity exposure is 0.6, according to the international CAPM model. What is Krapl Ine's cost of capital based on the Global CAPM (GCAPM) model? is the correct r hn issumetion that markets are segmented the ts are integrated, then the
