Refer to the data in the table below. Suppose they are the FX rates quoted by two large banks. By Bank A Pair: ◆ EUR/USD ◆ USD/JPY ◆ GBP/USD ◆ USD/TRY USD/CHF USD/CAD ◆ EUR/JPY AUD/USD NZD/USD a. b. e.g. Sell 1 Mio GBP versus USD (GBP/USD) C. Bid 1.0652 134.54 1.1953 18.8580 0.9281 1.3478 143.32 0.6855 0.6229 Client wants to d. By Bank B Pair: 1.0656 ◆ EUR/USD 134.57 ◆ USD/JPY 1.1954 GBP/USD 18.8680 ◆ USD/TRY 0.9282 USD/CHF 1.3479 USD/CAD 143.39 EUR/JPY 0.6856 AUD/USD 0.6230 ◆ NZD/USD Assume you are the client and will choose the best rate (buy at the lower rate and sell at the higher rate) to deal with either Bank A or Bank B. Fill in the blanks below: Buy 10 Mio JPY versus USD (USD/JPY) Sell 0.5 Mio NZD versus USD Ask (NZD/USD) Sell 0.6 Mio EUR versus JPY (EUR/JPY) Buy 5 Mio EUR versus USD (EUR/USD) Bid 1.0652 134.57 1.1949 1.1953 Client deals at Client deals at what rate which bank A Ask 1.0653 134.60 1.1953 18.8578 18.8678 0.9281 0.9283 1.3479 1.3480 143.34 143.37 0.6853 0.6854 0.6227 0.6229

Refer to the data in the table below. Suppose they are the FX rates quoted by two large banks. By Bank A Pair: ◆ EUR/USD ◆ USD/JPY ◆ GBP/USD ◆ USD/TRY USD/CHF USD/CAD ◆ EUR/JPY AUD/USD NZD/USD a. b. e.g. Sell 1 Mio GBP versus USD (GBP/USD) C. Bid 1.0652 134.54 1.1953 18.8580 0.9281 1.3478 143.32 0.6855 0.6229 Client wants to d. By Bank B Pair: 1.0656 ◆ EUR/USD 134.57 ◆ USD/JPY 1.1954 GBP/USD 18.8680 ◆ USD/TRY 0.9282 USD/CHF 1.3479 USD/CAD 143.39 EUR/JPY 0.6856 AUD/USD 0.6230 ◆ NZD/USD Assume you are the client and will choose the best rate (buy at the lower rate and sell at the higher rate) to deal with either Bank A or Bank B. Fill in the blanks below: Buy 10 Mio JPY versus USD (USD/JPY) Sell 0.5 Mio NZD versus USD Ask (NZD/USD) Sell 0.6 Mio EUR versus JPY (EUR/JPY) Buy 5 Mio EUR versus USD (EUR/USD) Bid 1.0652 134.57 1.1949 1.1953 Client deals at Client deals at what rate which bank A Ask 1.0653 134.60 1.1953 18.8578 18.8678 0.9281 0.9283 1.3479 1.3480 143.34 143.37 0.6853 0.6854 0.6227 0.6229

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

See similar textbooks

Similar questions

Suppose S(NZD/USD) = 1.5000 and S(MYR/USD) = 4.4000. What is the cross rate S(MYR/NZD)? Choose the closest answer to your own calculations. a. 2.9333 b. 0.3409 c. 6.6000 d. 0.1515
Company A wants to borrow US Dollar (USD) at a floating rate of interest and Company B want to borrow Australian Dollar (AUD) at a fixed rate of interest. They have been quoted the following rates by Bank C. USD AUD Company A LIBOR +0.5% 5.0% Company B LIBOR+1.0% 6.5% Develop an interest rate swap that will net the bank 50 basis point spread and will appear equally attractive to Company A and Company B. Explain your answer.
HSBC (a large British bank) is quoting the following spot exchange rates for number of YEN per USD, number of THB per USD and number of YEN per THB respectively. YEN/USD = 116.91 -- 116.95 THB/USD = 44.30 -- 44.40 YEN/THB = 2.6900 -- 2.7100. You are trader at Wombat Capital, a US hedge fund, and your job is to try to find arbitrages in the currency markets. You have 10 mio USD risk capital provided by your fund. Using the 10 mio USD risk capital, how much arbitrage (guaranteed risk-free) profit can you make. If there is no arbitrage possible, enter zero. Give your answer in USD to the nearest USD. Please Do your calculation in excel and do not round anything until the very end.
A large bank is quoting the following spot exchange rates for number of YEN per USD, number of THB per USD and number of YEN per THB respectively. YEN/USD = 116.91 -- 116.95 THB/USD = 44.30 -- 44.40 YEN/THB = 2.6900 -- 2.7100. You are trader at Axe Capital, a US hedge fund, and your job is to try to find arbitrages in the currency markets. You have 10 mio USD risk capital provided by your fund. Using the 10 mio USD risk capital, how much arbitrage (guaranteed risk-free) profit can you make. If there is no arbitrage possible, enter zero. Give your answer in USD to the nearest USD. Please Do your calculation in excel and do not round anything until the very end.
A financial institution uses a loan base rate of 4.35% and sets the credit risk premium at 6.68%. The institution charges a 1.5% loan origination fee and imposes 3.22 % compensating balances. The required reserves for this institution are 10%. Additionally suppose your institution specifies the following linear probability model to estimate the probability of default: PD = Bo - Bi Wealth-B2Credit Score + B3 Number of Bankruptcics Bo = 10, 109.5 %3D B1 = 0.10 %3D B2 = 0.20 %3D B3 = 0.60 %3D Use the information above to answer the question. What is the gross rate of return on the loan? O 9.31% O 11.03% O 12.53% O 12.90%
Suppose the quotes for currencies in the three money centers are given as follows: At London center: 1GBP = 150 JPY At Tokyo center: 1USD = 115 JPY At New York center: 1USD = 0.86GBP An investor has 100,000 USD. Is there any opportunity for arbitrage? If yes, explain how does the investor use arbitrage to take advantage of these data? And how much could he or she earn from this?
Fred Bankman is a hedge fund manager. He has obtained the following exchange rate and interest rate quotations: Bid Ask Spot rate(dollars per euro) 1.0867 1.0871 One-year forward rate(dollars per euro) 1.1078 1.1083 Deposit Loan One -year euro interest rate 3.212% 3.356% One-year dollar interest rate 5.215% 5.316% Is there any arbitrage opportunity? if so, explain how Mr Bankman might make use of the opportunity and express his arbitrage profit in dollars. If not, explain why not.
OMR is quoted against USD and EURO. Under which of the following condition will the trader have a possibility of arbitrage? a. When the calculated cross rate of USD/EURO is different from Quoted cross rate b. When calculated cross rate of OMR/EUR is different from Quoted cross rate c. When calculated cross rate of OMR/USD is greater than quoted rate d. When calculated cross rate of USD/EUR is equal to Quoted cross rate Which of the following is true about derivatives? a. Value of derivative is derived from predetermined asset b. The terms and conditions are flexible under derivative trading c. Derivative markets are suitable for low risk investors d. Risk on derivatives market are always low Which of the following condition may indicate that OMR has depreciated to EUR? a. Spot rate of EUR/OMR is equal to future rate of OMR/EUR b. Spot rate of EUR/OMR is less than future rate of EUR/OMR c. None d. Future rate of EUR/OMR is equal to spot rate…
Assume the following bid and ask rates of the pound for two banks as shown below: Bid Ask Royal Bank of Canada CS 0.871 C$ 0.876 Westpac Bank in Australia CS 0.879 C$ 0.899 What is the arbitrage profit per Australian dollar? Group of answer choices There is no arbitrage opportunity. C$ 0.023 C$ 0.003 C$ 0.028 C$ 0.008
These are the quotes from the spot market. Citigroup Credit Suisse Deutsche Bank ¥122/€ ¥126/$ $0.99/€ If you have $1,000,000 to arbitrage, your profit is $_____________ (Please keep at least two decimal places.)
Suppose that a commercial bank's current quote for transactions involving the United States dollar is A$1.3214 A$1.3298. (a) State the ask and bid prices for the bank. (b) Calculate the bid/ask spread for the bank.
Suppose a bank enters a repurchase agreement in which it agrees to sell Treasury securities to a correspondent bank at a price of $9999827 with the promise to buy them back at a price of $10000090. Calculate the yield on the repo if it has a 5-day maturity.

SEE MORE QUESTIONS

Recommended textbooks for you

Essentials Of Investments

Finance

ISBN:

9781260013924

Author:

Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:

Mcgraw-hill Education,

FUNDAMENTALS OF CORPORATE FINANCE

Finance

ISBN:

9781260013962

Author:

BREALEY

Publisher:

RENT MCG

Financial Management: Theory & Practice

Finance

ISBN:

9781337909730

Author:

Brigham

Publisher:

Cengage

Foundations Of Finance

Finance

ISBN:

9780134897264

Author:

KEOWN, Arthur J., Martin, John D., PETTY, J. William

Publisher:

Pearson,

Fundamentals of Financial Management (MindTap Cou…

Finance

ISBN:

9781337395250

Author:

Eugene F. Brigham, Joel F. Houston

Publisher:

Cengage Learning

Corporate Finance (The Mcgraw-hill/Irwin Series i…

Finance

ISBN:

9780077861759

Author:

Stephen A. Ross Franco Modigliani Professor of Financial Economics Professor, Randolph W Westerfield Robert R. Dockson Deans Chair in Bus. Admin., Jeffrey Jaffe, Bradford D Jordan Professor

Publisher:

McGraw-Hill Education

Essentials Of Investments

Finance

ISBN:

9781260013924

Author:

Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:

Mcgraw-hill Education,

FUNDAMENTALS OF CORPORATE FINANCE

Finance

ISBN:

9781260013962

Author:

BREALEY

Publisher:

RENT MCG

Financial Management: Theory & Practice

Finance

ISBN:

9781337909730

Author:

Brigham

Publisher:

Cengage

Foundations Of Finance

Finance

ISBN:

9780134897264

Author:

KEOWN, Arthur J., Martin, John D., PETTY, J. William

Publisher:

Pearson,

Fundamentals of Financial Management (MindTap Cou…

Finance

ISBN:

9781337395250

Author:

Eugene F. Brigham, Joel F. Houston

Publisher:

Cengage Learning

Corporate Finance (The Mcgraw-hill/Irwin Series i…

Finance

ISBN:

9780077861759

Author:

Stephen A. Ross Franco Modigliani Professor of Financial Economics Professor, Randolph W Westerfield Robert R. Dockson Deans Chair in Bus. Admin., Jeffrey Jaffe, Bradford D Jordan Professor

Publisher:

McGraw-Hill Education

SEE MORE TEXTBOOKS