S3 Q22 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 Q22

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

Calculate the fixed rates in US 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


Extracted text: Payments C$ Payments US$ Fixed Exchange Rate C$ 6562500 6012500 US$ 6012500/C$ 6562500 0.92 14375000 12950000 US$ 12950000/C$ 14375000 0.90 23437500 20812500 US$ 20812500/C$ 23437500 0.89 US$ 29600000/C$ 33750000 US$ 69375000/C$ 78125000 33750000 29600000 0.88 78125000 69375000 0.89 Cashflows Days C$ Libor % Days % Payments C$ 0.525 90/360 0.25 (50000000 x 0.525) x 0.25 (50000000 x 0.575) x 0.5 |(50000000 x 0.625) x 0.75 (50000000 x 0.675) x 1 90 6562500 180/360 270/360 360/360 180 0.575 0.5 14375000 270 0.625 0.75 23437500 360 0.675 1 33750000 Total 78125000 Cashflows Days US$ Libor % Days % Payments US$ 90/360 180/360 (37000000 x 0.65) x 0.25 (37000000 x 0.7) x 0.5 (37000000 x 0.75) x 0.75 90 0.65 0.25 6012500 180 0.7 0.5 12950000 270 0.75 270/360 0.75 20812500 360 0.8 360/360 (37000000 x 0.8) x 1 29600000 Total 69375000