The Swap Position 24 months ago, your institution entered into a two-year cross-currency interest rate swap with a British aviation company. The swap agreement was over-the-counter with the following terms: your institution is to pay 3.45% per annum (with semi-annual compounding) in GBP and receive 6-month LIBOR + 0.55\% per annum in AUD. Payments are semi-annual and on a notional principal of AUD50 million. The 6-month LIBOR rate and the spot exchange rate at various dates over the last 24 months are shown in the table below: (b) You assume that the counterparty to the swap (the British aviation company) has just filed for bankruptcy with 11 months remaining on the swap agreement. You also assume that at the time of the bankruptcy the interest rate was 4.05% per annum in AUD and 3.72% per annum in GBP (with continuous compounding) for all maturities and the exchange rate was 1.8604 AUD for 1GBP. Determine the value of the swap agreement to your institution at the time of the bankruptcy. Would your institution lose when the aviation company filed for bankruptcy? The Futures Position (c) Worried about a volatile exchange rate, 12 months ago your institution also entered a long position in 1.5-year currency futures contracts on GBP50 million. At the time, the interest rate was 4.15% per annum in AUD and 3.75% per annum in GBP (with continuous compounding) for all maturities. Your boss asks you the following questions: i. What was the value of the futures position 12 months ago? ii. If we closed out the position today, what would be the profit/loss on the futures transaction? The interest rate today is 4.35% per annum in AUD and 3.15% per annum in GBP (with continuous compounding) for all maturities