Question
Use the data table to answer questions 9, 10, and 11: EURUSD Spot Quotes Bank Bid Ask Citibank 1.1930 1.1935 HSBC 1.1935 1.1940 JP Morgan
Use the data table to answer questions 9, 10, and 11:
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| EURUSD Spot Quotes | |||||
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| Bank | Bid | Ask | |||
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| Citibank | 1.1930 | 1.1935 | |||
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| HSBC | 1.1935 | 1.1940 | |||
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| JP Morgan Chase | 1.1925 | 1.1930 | |||
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| EUR/USD 6-month Forward Quotes | |||||
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| Bank | Bid | Ask | |||
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| Barclays Bank | 1.1870 | 1.1875 | |||
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| Royal Bank of Canada | 1.1900 | 1.1905 | |||
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| 6-month Interest Rates (annualized - simple interest) |
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| Bank | Currency | Interest Rate |
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| Bank of America | U.S. Dollar | 0.50% |
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| Deutsche Bank | Euro | 1.50% |
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Is there a covered interest arbitrage opportunity? Start with the assumption that you will borrow 1,000,000 U.S. dollars and can convert them into Euros at the spot rate of EURUSD=1.1935. Demonstrate your answer mathematically.
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McGraw-Hill Education SAT 2017
Authors: Christopher Black, Mark Anestis
1st Edition
1259641651, 978-1259641657
