Suppose you are a US Firm who entered into a 10 year swap 5 years ago wherein

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Suppose you are a US Firm who entered into a 10 year swap 5 years ago wherein you pay 2% annually on $100M USD and collect 3% on 130M CAD. At the time you entered the swap, the exchange rate was 1.30 CAD/USD.

Currently, the exchange rate is 1.40 CAD/USD and the 5 year USD for CAD swap rates are 0.2% (USD) and 2.2%(CAD) respectively.

Which of the following is false?

Select one:

a. You are glad the CAD fell in value.

b. You are unhappy USD interest rates fell

c. You are glad CAD interest rates fell

d. You want the Canadian dollar to go up in value

Related Book For answer-question

Derivatives Markets

ISBN: 978-0321543080

4th edition

Authors: Rober L. Macdonald

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Posted Date: Oct 28, 2020 02:02 AM

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Suppose you are a US Firm who entered into a 10 year swap 5 years ago wherein

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Part A Option C You are gla... View the full answer

Derivatives Markets

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