Assume Carlton enters into a three-year fixed-for-fixed swap agreement to receive Swiss Franc and pay U.S. dollar annually, on a notional amount of $6,000,000. The spot exchange rate at the time of the swap is SF0.8/$. Which of the following statements is correct about Carlton's position on interest rates in the swaps?
|
Euro-€ |
Swiss franc |
U. S. dollar |
Japanese yen |
|||||
|
Years |
Bid |
Ask |
Bid |
Ask |
Bid |
Ask |
Bid |
Ask |
|
2 |
3.08 |
3.12 |
1.68 |
1.76 |
5.43 |
5.46 |
0.45 |
0.49 |
|
3 |
3.25 |
3.29 |
2.12 |
2.17 |
5.54 |
5.59 |
0.56 |
0.59 |
Select one:
a. Carlton receives 2.12% interest rate on Swiss Franc and pays 5.54% interest rate on U.S. dollar.
b. Carlton receives 2.12% interest rate on Swiss Franc and pays 5.59% interest rate on U.S. dollar.
c. Carlton receives 2.17% interest rate on Swiss Franc and pays 5.54% interest rate on U.S. dollar.
d. Carlton receives 5.59% interest rate on Swiss Franc and pays 2.12% interest rate on U.S. dollar.
e. Carlton receives 1.76% interest rate on Swiss Franc and pays 5.46% interest rate on U.S. dollar.
Option B
Carlton receives 2.12% interest rate on Swiss Franc and pays 5.59% interest rate on U.S. dollar.
Assume Carlton enters into a three-year fixed-for-fixed swap agreement to receive Swiss Franc and pay U.S....
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