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A U.S. firm (U.S.) and a foreign firm (F) engage in a plain-vanilla currency swap; U.S. is the fixed rate payer. The fixed rate at initiation was 5%. The variable rate at the end of year 1 was 4%, at the end of year 2 was 6%, and at the end of year 3 was 7%. At the beginning of the swap, \$2 million was exchanged at an exchange rate of 2 foreign units per \$1. At the end of the swap period the exchange rate was 1.75 foreign units per \$1.
At the end of year 1, firm:
 A) F pays firm U.S. \$200,000.
 B) U.S. pays firm F 200,000 foreign units.
 C) U.S. pays firm F \$200,000.

A plain-vanilla currency swap pays floating on dollars and fixed on foreign. Fixed on foreign 0.05 × \$2,000,000 × 2 foreign units per \$1 = 200,000 foreign units paid by the U.S. firm.
The current U.S. dollar (\$) to Canadian dollar (C\$) exchange rate is 0.7. In a \$1 million currency swap, the party that is entering the swap to hedge existing exposure to C\$-denominated fixed-rate liability will:
 B) pay C\$1,428,571 at the beginning of the swap.
 C) pay floating in C\$.

The receive-fixed C\$ position will pay 1,000,000/0.7 = C\$1,428,571 at swap inception (in exchange for \$1 million) and get it back at termination.
Consider a one-year currency swap with semiannual payments. The payments are in U.S. dollars and euros. The current exchange rate of the euro is \$1.30 and interest rates are
 180 days 360 days USD LIBOR 5.6% 6.0% Euribor 4.8% 5.4%
What is the fixed rate in euros?
 A) 5.318%.
 B) 2.659%.
 C) 5.245%.

The present values of 1 euro received in 180 days and 1 euro received in 360 days are: 1/(1 + 0.048 × (180/360)) = 0.9766 and 1/1.054 = 0.9488
The fixed rate in euros is (1 - 0.9488) / (0.9766 + 0.9488) = 0.026592 × (360/180) = 5.318%. The notional principal is 100,000/1.30 = 76,923 euros.
A U.S. firm (U.S.) and a foreign firm (F) engage in a plain-vanilla currency swap. The fixed rate at initiation and at the end of the swap was 5%. The variable rate at the end of year 1 was 4%, at the end of year 2 was 6%, and at the end of year 3 was 7%. At the beginning of the swap, \$2 million was exchanged at an exchange rate of 2 foreign units per \$1. At the end of the swap period the exchange rate was 1.75 foreign units per \$1.
At the termination of the swap, firm F gives firm U.S.:
 A) \$2 million.
 B) \$1,750,000.
 C) 4 million foreign units.

At termination, the notional principal will be exchanged. Firm F gives back what it borrowed, \$2 million, and the terminal exchange rate is not used.
90 days ago the exchange rate for the Canadian dollar (C\$) was \$0.83 and the term structure was:
 180 days 360 days LIBOR 5.6% 6% CDN 4.8% 5.4%.

A swap was initiated with payments of 5.3% fixed in C\$ and floating rate payments in USD on a notional principal of USD 1 million with semiannual payments.
90 days have passed, the exchange rate for C\$ is \$0.84 and the yield curve is:
 90 days 270 days LIBOR 5.2% 5.6% CDN 4.8% 5.4%
What is the value of the swap to the floating-rate payer?
 A) −\$2,708.
 B) \$3,472.
 C) \$10,126.

The present value of the USD floating-rate payment is: (1.028 / 1.013) = 1.014808
1.014808 × 1,000,000 = \$1,014,808
The present value of the fixed C\$ payments per 1 CDN is: (0.0265 / 1.012) + (1.0265 / 1.0405) = 1.012731 and for the whole swap amount, in USD is 1.012731 × 0.84 × (1,000,000 / 0.83) = \$1,024,932
−1,014,808 + 1,024,932 = \$10,126
Consider a fixed-for-fixed 1-year \$100,000 semiannual currency swap with rates of 5.2% in USD and 4.8% in CHF, originated when the exchange rate is \$0.34. 90 days later, the exchange rate is \$0.35 and the term structure is:
 90 days 270 days LIBOR 5.2% 5.6% Swiss 4.8% 5.4%
What is the value of the swap to the USD payer?
 A) -\$2,719.
 B) \$2,814.
 C) \$2,719.

The present value of the fixed payments on one CHF is 0.02372 + 0.98414 = 1.00786.At the current exchange rate the value is 1.00786 × 0.35 = USD 0.35275. The notional amount is 100,000/0.34 = 294,118 CHF so the dollar value of the CHF payments is 0.35275 × 294,118 = \$103,750.
The present value of the USD payments is 0.02567 + 0.98464 = 1.01031
1.01031 × 100,000 = \$101,031.
The value of the swap to the dollar payer is 103,750 – 101,031 = \$2,719.
Consider a fixed-rate semiannual-pay equity swap where the equity payments are the total return on a \$1 million portfolio and the following information:
• 180-day LIBOR is 5.2%
• 360-day LIBOR is 5.5%
• Dividend yield on the portfolio = 1.2%

What is the fixed rate on the swap?
 A) 5.4234%.
 B) 5.4197%.
 C) 5.1387%. Consider a fixed-rate semiannual-pay equity swap where the equity payments are the total return on a \$1 million portfolio and the following information:
• 180-day LIBOR is 4.2%
• 360-day LIBOR is 4.5%
• Div. yield on the portfolio = 1.2%
What is the fixed rate on the swap?
 A) 4.3232%.
 B) 4.4477%.
 C) 4.5143%. = 0.022239 × 2 = 4.4477%
Consider a \$5 million semiannual-pay floating-rate equity swap initiated when the equity index is 760 and 180-day LIBOR is 3.7%. After 90 days the index is at 767, 90-day LIBOR is 3.4 and 270-day LIBOR is 3.7. What is the value of the swap to the floating-rate payer?
 A) −\$2,726.
 B) \$3,526.
 C) −\$3,526.

1.0185 = 1 + 0.037(180/360)
1.0085 = 1 + 0.034(90/360)
767/760 – 1.0185/1.0085 = −0.00070579 × 5,000,000 = −\$3,526
Note: The 1.0185/1.0085 is the present value of the floating rate side after 90 days.
Consider a semiannual equity swap based on an index at 985 and a fixed rate of 4.4%. 90 days after the initiation of the swap, the index is at 982 and London Interbank Offered Rate (LIBOR) is 4.6% for 90 days and 4.8% for 270 days. The value of the swap to the equity payer, based on a \$2 million notional value is closest to:
 A) \$22,564.
 B) \$22,314.
 C) −\$22,564. −\$22,564 is the value to the fixed-rate payer, thus \$22,564 is the value to the equity return payer
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