Reference no: EM133114199

In the U.S., the 180-day yield on AAA corporate bonds is 6%. The fixed-rate on a 2-year plain vanilla swap with 180-day settlement periods is priced at 7.08% In Great Britain, the 180-day prime rate is 3%. The fixed-rate on a 2-year plain vanilla swap with 180-day settlement periods is priced at 3.78%. A swap is initiated with a notional value of $ 2,000,000. The spot exchange rate is $1.6 / GBP.

30-days later

The exchange rate is $ 1.5/GBP.

The U.S. AAA yield curve looks like this:

  t           L0,t

150       6.25%

330      6.50%

510       7.00%

690      7.00%

The British prime yield curve looks like this:

150        3.50%

330        3.80%

510        4.00%

690        4.00%

What are the fixed GBP payments associated with this currency swap (every 180 days until expiration)? GBP _____________(no - or + sign)

The value of the fixed dollar payments arm in the swap, 30 days after initiation, in dollars, is $ . __________

The value of the floating dollar payments arm in the swap, 30 days after initiation, in dollars is $ . __________

The value of the fixed GBP payments arm in the swap, 30 days after initiation, in dollars, is $ ._____________

The value of the floating GBP payments arm in the swap, 30 days after initiation, in dollars is $ ._____________

The value of paying floating dollar AAA yields and receiving fixed GBP prime rates, 30 days after initiation, is .____________

The value of paying floating UK prime rates in GBP and receiving floating U.S. AAA corporate rate in dollars is .____________

Do not use commas to separate thousands and millions. Round your answers to integers.