Exam 11: Forwards,futures,and Swaps

Given: the future spot rate C$0.00965 per yen; the current spot rate C$0.0088 per yen and the forward rate C$0.009721 per yen.Determine the cost (proceeds)in Canadian dollars to eliminate foreign exchange exposure for 100,000 yen to be paid to a foreign supplier.

Which of the following refers to the cost or benefits from a forward position in a storable commodity?

Characteristics of futures contracts include

Assume the spot exchange rate today is C$1.02 per $US,while the three-month forward rate is C$1.06 per $US.What will be the profit for an investor who takes a $US100,000 short position in the forward contract if the spot rate in three months equals 1.05?

A "fixed for floating" interest rate swap is also referred to as:

Find the one-year forward rate for year three given the following zero coupon rates:

By definition LIBOR is:

In order to estimate the forward rate for year six one needs

Assume company L wants to pay a floating rate and company N wants to pay a fixed rate.Company L is quoted 11% fixed-rate financing or a floating rate of LIBOR + 0.3%.In contrast,company N is quoted a fixed-rate financing at 14% and a floating rate financing at LIBOR + 0.75%.Calculate the net savings (%)to both parties if a swap is entered into between L and N if N pays L 12.0% and L pays N LIBOR.

What are the differences between forwards and futures contracts?

The six-month forward rate is C$ 1.00 per US$.Ahmed assumes a 1,000 long position in the forward contract and his profit in six months is C$30.00.What is the spot rate in six months?

If the bank could borrow at a fixed rate of 10% for 5 years,what is the notional principal of the swap if the interest fixed payment is $5 million per year?

An investor enters into a long position in 10,000 futures contracts of oil with a $50,000 initial margin and has a maintenance margin that is 75 percent of this amount.The futures price associated with this contract is $100.Assuming the price of the underlying asset decreases to $98,what is the margin call?

Assume the following: Current Spot Rate C$1.10 per $US; Future Spot Rate C$1.1063 per $US; Forward Rate C$1.1044 per $US; Exposure $100,000 US.What are the profits in Canadian dollars of covering the long position?

Suppose Montreal Import Company has to pay a foreign supplier 400,000 euros in one year and decides to hedge their position by entering into a forward contract.What is the appropriate forward position?