Suppose you have USD 100,000 and you think there is a locational arbitrage in the USD/PHP spot market given quotes of the three banks. Determine the best USD gains (if any), otherwise write 0.

(3) Refer to the table named "CALCULATION".

Suppose you have USD 100,000 and since EUR and PHP deposits pay higher interest rates, you decide to convert to either EUR or PHP so you can take advantage of the higher deposit rates. Not converting the USD and investing at 1% will only yield 1,000 USD Profit. What is the best dollar profit for a Covered Interest Rate Arbitrage trade using 1yr forwards?

 

(3) Suppose you have 1,000,000 PHP and you enter into a 1yr USDPHP NDF forward deal with City Bank, where you buy USD at the 1yr forward rate. Suppose a year from now, USDPHP spot is at 53.50 and 1yr USDPHP forward is at 54.00. Compute for the total PHP gain you realized.

(1) Preferably use Excel sheet for computations.

(2) DO NOT ROUND off calculation results EXCEPT the FINAL ANSWER (e.g. if FINAL ANSWER is 69.49, then INPUT 69)

(3) Refer to the table named "CALCULATION".

Sittibank City Bank Shitty Bank Sittibank City Bank Shitty Bank USD/PHP Bid Offer 52.3000 52.3600 52.2000 52.2500 52.2200 52.3200 USD/PHP SPOT RATES EUR/USD Bid 1.0300 1.0200 1.0400 56.0000 Offer Bid 1.0700 56.0000 1.0500 1.0800 56.1000 1yr-FWD RATES EUR/USD EUR/PHP Offer Bid Bid Offer 52.3800 52.4400 Bid 1.0600 1.1000 56.0100 52.2800 52.3300 1.0500 1.0700 56.0100 52.3000 52.4000 1.0800 1.1100 56.1100 US Bank = 1% p.a. for USD deposits EU Bank = 2.5% p.a. for EUR deposits PH Bank = 3.0% p.a. for PHP deposits EUR/PHP Interest rates per annum Offer 56.8000 56.6500 56.8000 Offer 56.8100 56.6600 56.8100