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What is the value of currency swap for company a

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Question problem 1: Company A makes annual USD payments of 6% on a notional of USD 2,265,000. Company A receives annual GBP payments of 7% on a notional of GBP 1,500,000. Assume that the USD and GBP interest rates are rUSD = 3% and rGBP = 6%. The swap currently has 4 years until it matures. The next cash flow exchange will occur one year from today. If the current USD/GBP spot rate XNUSD/GBP = 1.39, what is the value of this currency swap for company A?

  1. Positive USD 120,564.30
  2. Negative USD 120,564.30
  3. Negative USD 360,329.38
  4. Positive USD 360,329.38

Reference no: EM132465570

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