S3 Q21 Foxtrot Inc., a Canadian, company, has just entered into a one year currency swap contract with a notional value of Canadian $50 million. The swap contractt requires the company to make...

S3 Q21

Foxtrot Inc., a Canadian, company, has just entered into a one year currency swap contract with a notional value of Canadian $50 million. The swap contractt requires the company to make quarterly payments in Canadian dollars and receive quarterly payments in US dollars. The accruual period for the swap is 90/360, assuming 360 days per year. The US$.C$ spot exchange rate is 0.74, with the Canadian dollar being the domestic cureency. The term structures of C$ LIBOR and US$ LIBOR are:

Days         C$LIBOR %       US$ LIBOR %

90                      .525              .65

180                    .575              .7

270                    .625             .75

360                     .675              .8

see image

Calculate the fixed rates in Canadian dollars.

Extracted text: B3 fe =B1*B2 B 1 Notional value of Canadian currency swap contract 50 2 USS.CS spot exchange rate 3 Notional amount of the swap in US dollars [0.74 |=B1*B2 Computation B3 fe =B1*B2 A B 1 Notional value of Canadian currency swap contract 2 USS.CS spot exchange rate 50 0.74 3 Notional amount of the swap in US dollars $ 37.00