What currency should receive by the other swap party

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Question 1: Assume you have the long GBP position in a 6-Year at-market fixed-for-fixed USD/GBP currency swap. Payments occur at the end of each year. The notional amount is USD 1,000,000. The interest rates are rUSD = 5% and rGBP = 6% The spot rate when the contract originated was X0USD/GBP = 1.42. At the end of year one, how much and in what currency should you receive by the other swap party assuming that you would NOT settle with a difference check (please note that you cannot calculate the difference check yet)?

  1. Receive GBP 38,456.88
  2. Receive GBP 72,220.00
  3. Receive USD 72,369.21
  4. Receive GBP 42,253.52

Reference no: EM132483667

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