An overnight repurchase agreement has a party providing US Treasury securities for 98.5500 with a repurchase price of 98.5750. What is repo rate
Q: he following are the spot and the swap forward rates of the ZAR/EUR Spot…
A: If forward points are higher for bid and lower for ask, then the base currency is at discount and…
Q: (c) If the one-year interest rate on a dollar denominated Treasury bill is 4.5% p.a. and that on a…
A: The interest rate parity indicates that the forward premium or discount on currency exchange should…
Q: Assume that the 3 months JPY Libor (market interest rate) is 0.25% p.a., the 3 months USD Libor is…
A: Interest rate parity = Spot rate * (1+Rate of interest of quoting currency / 1+Rate of interest of…
Q: An investor enters into a short forward contract to sell ¥50,000 for U.S. dollars at an exchange…
A: A forward contract is a kind of financial derivative contract which is a customized contract between…
Q: The Indian rupee (INR) is currently trading at INR 50 = US$1. With 90-day Indian-rupee and U.S.…
A: Spot rate of Indian rupee is INR 50 = $1 90-day INR yield is 10% per annum. USD treasury bill rate…
Q: Indian rupee forward contracts. The Indian rupee (INR) is currently trading at INR 50 = US$1. With…
A: Spot rate of Indian rupee is INR 50 = US $1 90-day INR yield = 10% per annum. U.S. dollar treasury…
Q: Suppose a bank enters a repurchase agreerment in which it agrees to sell Treasury securities to a…
A: Sale Price = $9,99,838 Buy Back Price = $10,000,073…
Q: 1. The spot market quotes the exchange rate of the GHS to a CADS as GHS 3.562 while the 90-day…
A: Given Information: Spot market rates GHS3.562 (GHS/CADS) Maturity is 90 days Forward quotes are…
Q: A trader enters into a short forward contract on 100 million yen. The forward exchange rate is…
A: Gain or loss = Contract value * ( Forward rate - Spot rate )
Q: The Swiss Franc is trading at 1.1106 $/SFr, the euro is trading at 1.1268 $/euro. If you can buy or…
A: Arbitrary profit is the excess amount earned by using the mis-pricing in the market.
Q: Assume the following information: 180-day U.S. interest rate 8% 180-day British interest…
A: Here, US Company exports goods to Britain. In 180 days US company will receive 400,000 pounds from…
Q: Briefly explain what "forward premium" is. Today's British Pounds to US Dollars Exchange Rate is…
A: Exchange rate (ER) is a value at which two currencies are traded or exchanged. Exchange rate depends…
Q: Assume that 90-day U.S. securities have a 4.5% annualized interestrate whereas 90-day Swiss…
A: Given, Spot Rate =1.2 Interest rate (rf) =5% Interest rate whereas 90-day (rh) =4.5%
Q: A U.S. company has entered into an interest rate swap with a dealer in which the notional principal…
A: Notional principal = $50 million LIBOR = 5.15% Fixed rate = 5.75%
Q: If the spot rate is NZ$0.50/S and the forward rate is NZS0.55/S. The spot exchange rate and the…
A: Spot rate: It is the quoted price on any asset, or a security for instant settlement.
Q: Is there any violation of CIP? (b) Calculate the covered margin (going short on the AUD). (c)…
A: Here the spot rate is lower than the forward rate, so the EUR is selling at a premium. The interest…
Q: EURUSD is trading at 1.0850, US 3 month interest rates are 1.25% whilst Euro 3 month rates are…
A: Given: Interest Rate of Euro = 2.25% Interest Rate of USD = 1.25% Spot Rate = Euro/USD = 1.0850…
Q: Michelle Industries issued a Swiss franc–denominated 5-year discount note for SFr200 million. The…
A: The question is based on the concept of hedging of foreign exchange risk between Swiss Franc and U.S…
Q: Forward premiums/discounts with bids/asks. Referring to the following spot and forward bid-ask rates…
A: Here,
Q: Jordan Corp is a US manu8facturer of auto pats with branchoperatiopns in France. on December 31,…
A: Hedging is the way toward balancing one risk against another. Here an option is a privilege yet it…
Q: Assume that interest rate parity holds and that the 90-day risk-free securities yield is 5% in the…
A: The question is based on the concept of Foreign Exchange.
Q: uppose a bank enters a repurchase agreement in which it agrees to buy Treasury securities from a…
A: Yield on repo = (buy back price / purchase price of bond) - 1 )* (days base / days to maturity )
Q: he following are the spot and the swap forward rates of the AUD/USD Spot…
A: A spot rate, or spot cost, addresses a contracted cost for the buy or offer of an item, security, or…
Q: Forward premiums/discounts with bids/asks. Referring to the following spot and forward bid-ask rates…
A: Here,
Q: ABC Co. entered a forward contract to hedge a ¥100,000,000 which the company expects to pay in 90…
A: Risk is a factor which arises due to changes in future prices. Forward contract is a way to avoid or…
Q: The Spot Exchange Rate is OMR 0.385030 = 1 USD and 90 days forward rate is OMR 0.394030 = 1USD (Home…
A: Based on the above spot and future rates, it can be seen that the USD is trading at a premium.
Q: f 1,026,000 Polish zlotys (PLN). Mertag enters into a forward contract on October 1, 2020 lanuary…
A: Forward contract: Forward contract can be defined as the agreement between two parties i.e. buyer…
Q: Counterparty A can borrow from the floating rate market at LIBOR + 0.5% and Counterparty B can…
A: Correct Answer is Option (b) Libor + 0.5%
Q: spot een the € and the $ is E€/$=0.82, the one's annual interest rate is 4%, and the al forward…
A: According to covered interest parity interest rate should reflect the exchange rate between two…
Q: An overnight repurchase agreement has a party providing US Treasury securities for 98.5500 with a…
A: Repo rate is basically the lending rate by the central banks of a particular country to the…
Q: today's interest rate on one-year Canadian deposits; İe = today's interest rate on one-year U.K.…
A: Expected $/£ = [Spot rate * ( 1 + $ Interest rate)]/(1+ £ Interest rate)
Q: On 15 April 2021, JHB Bank quoted the following spot and swap rates between the rand and the euro…
A: “Since you have posted a question with multiple sub-parts, we will solve first three subparts for…
Q: On January 1, 2020, Growth Inc. (Growth) purchased, in US funds, $500,000 of bonds of Big Company…
A: Bonds: Bonds are the long term liabilities of a company for which the payment is done at the end of…
Q: If the spot rate is NZ$0.50/$ and the forward rate is NZ$0.55/S. The spot exchange rate and the…
A: Given, spot rate = NZ$0.50/$ Forward rate = NZ$0.55/$ Spot rate = C$1.03/$ Forward rate =…
Q: Commercial bank A and Savings bank B entered into a swap contract. The swap has a notional principal…
A: Interest rate swap means it is an agreement between two parties to exchange the interest rate, it…
Q: Which of the following statements is (are) true? (i) An investor in a T-bill earns interest by…
A: Financial instruments are agreements for the use of money that can be bought, sold, created,…
Q: Assume that 90-day U.S. securities have a 2.9% annualized interest rate, whereas 90-day Canadian…
A: The given problem can be solved using interest rate parity.
Q: The entity sold its inventory to a foreign entity with credit term of n/60. On the 60th day from…
A: Risk is inherent in all business activities. Entities try to reduce or attempt to mitigate the risk…
Q: Suppose a German importer owes an Australian exporting company 150,000 AUD, due in three months.…
A: Exercise rate is the rate at which the currency will be exchanged for other currency in derivatives…
Q: Assume that 90-day U.S. securities have a 2.9% annualized interest rate, whereas 90-day Canadian…
A: Given, US interest rate = 2.9% or 0.029 Canadian interest rate = 3.2% or 0.032 Exchange rate…
Q: According to the interest parity condition, if the domestic interest rate is 12 percent and the…
A: It is an important theory of the international foreign exchange market. It represents the equation…
Q: Jordan Corp is a US manu8facturer of auto pats with branchoperatiopns in France. on December 31,…
A: Hedging refers to process of minimizing risk by offsetting the risk of loss with profit by taking…
Q: Suppose a bank enters a repurchase agreement in which it agrees to sell Treasury securities to a…
A: Buy back price = $10,000,090 Purchase price = $9,999,827 Day to maturity = 5
Q: Suppose a bark customer with CIO00,000 wahes to trade out of euro and into lapanese ven. The…
A: In this Question customer First customer needs to convert the Euros into Dollars and then needs to…
An overnight repurchase agreement has a party providing US Treasury securities for 98.5500 with a repurchase price of 98.5750. What is repo rate
Step by step
Solved in 2 steps
- A U.S. company has entered into an interest rate swap with a dealer in which the notional principal is $50 million.The company will pay a floating rate of LIBOR and receive a fixed rate of 5.75 percent. Interest is paid semiannually,and the current LIBOR is 5.15 percent. Calculate the first payment. Assume that floating-rate payments will be madeon the basis of 180/360 and fixed-rate payments will be made on the basis of 180/365.a. $130,308.20, the floating-rate payer will receive b. $130,308.20, the fixed-rate payer will receivec. $50 million, the fixed-rate payer will pay d. $50 million, the floating-rate payer will payAssume that 90-day U.S. securities have a 4.5% annualized interestrate whereas 90-day Swiss securities have a 5% annualized interestrate. In the spot market, 1 U.S. dollar can be exchanged for 1.2Swiss francs. If interest rate parity holds, what is the 90-dayforward rate exchange between U.S. dollars and Swiss francs?(0.8323 $ per SFr or 1.2015 SFr per $)Suppose a bank enters a repurchase agreement in which it agrees to sell Treasury securities to a correspondent bank at a price of $9999827 with the promise to buy them back at a price of $10000090. Calculate the yield on the repo if it has a 5-day maturity.
- Assume that 90-day U.S. securities have a 3.5% annualized interest rate, whereas90-day Canadian securities have a 4% annualized interest rate. In the spot market,1 U.S. dollar can be exchanged for 1.4 Canadian dollars. If interest rate parity holds,what is the 90-day forward exchange rate between U.S. and Canadian dollars?An investment bank sells securities under a repurchase agreement for $800.438 million and buys them back in 7 days for $800.568 million. What is the repo's single payment yield?Report your answer in % to the nearest 0.01%;One company agrees to pay to another company cash flows equal to interest at a predetermined fixed rate on a notional principal for a predetermined number of year in exchange of payments interest payments at a floating rate on the same notional principal for the same period of time. This is true for the following type of swap a. Total return swap b. Debt-equity swap c. Currency swap d. Interest rate swap
- A trader enters into a short forward contract on 100 million yen. The forward exchange rate is $0.0090 per yen. How much does the trader gain or lose if the exchange rate at the end of the contract is (a) $0.0084 per yen; (b) $0.0101 per yen?An investor in England purchased a 91-day $1,000 par T-bill for $987.65. At that time, the exchange rate was $1.75 per pound. At maturity, the exchange rate was $1.83 per pound. What was the investor’s holding period return in pounds?Calculate the one year forward exchange rate using the direct method: Spot Rate $ 1.4830 / € U.S Libor (1 Year) 2.50 % Euro Libor (1 Year) 4.15 % Explain arbitrage condition underlying your work
- a) On January 1, 2022, Dymaxium Inc. a Canadian company, sold Alberta beef to a foreign company for FC$200,000, with payment due on March 1, 2008. ON the same date, Dymaxium entered into a forward contract with the bank to sell the foreign currency (FC) it will receive on March 1, 2022 at a rate of FC1=C$1.16. The forward contract was designed as a fair value hedge of the FC receivable. On March 1, 2022, Dymaxium received the payment from the foreign company and settled the forward contract with the bank. Spot exchange rates were as follows: January 1, 2022 FC1 = C$1.18 March 1, 2022 FC1 = C$1.19 Required Prepare journal entries to record the above transactions 1On 15 April 2021, JHB Bank quoted the following spot and swap rates between the rand and the euro (ZAR/EUR) to a client called MAZDALtd.Rates quoted by JHB Bank on (ZAR/EUR): Bid – OfferSpot (ZAR/EUR) (Spot date: 15 April 2021): 15.7258 – 19.55672-month swap rate (i.e., Forward value date: 15 June 2021): 1290 – 135012-month swap rate (i.e., Forward value date: 15 April 2022): 7055 – 9534Other important informationExpected inflation rate in SA over next 12 months: 4.67%Expected inflation rate in euro area over next 12 months: 1.95%The price of one Apple MacBook computer in euro area: EUR 689The price of one Apple MacBook computer in South Africa: ZAR 22350Euro area 12-month interest rate: 3.50% South African 12-month interest rate: 8.90% 2.1 The exchange rate at which JHB Bank is willing to sell the ZAR spot is ____? 2.2 The exchange rate at which JHB Bank is willing to buy the EUR two months forward is _____? 2.3 The exchange rate at which MAZDA Ltd. will buy the EUR 12 months forward?…On December 12, 2022, Tin Company entered into a forward exchange contract to purchase 500,000 euros in 90 days.The relevant exchange rates are as follows: Spot rate Forward rate (for 3/12/2023)November 30, 2022 P0.56 P0.57December 12, 2022 P0.57 P0.58December 31, 2022 P0.61 P0.60March 12, 2023 P0.62 P0.62 The purpose of this forward contract is to hedge a purchase of inventory in November 30, 2022, payable in March 2023. How much is the net forex gain/loss December 31, 2022? (just encode the absolute amount)