You enter into a 10-year AUD/CAD currency swap in which you receive a fixed rate of...

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You enter into a 10-year AUD/CAD currency swap in which you receive a fixed rate of 4% p.a. (paid semi-annually) on AUD 120 million in exchange for 6- month floating CAD CORRA (Canadian Overnight Repo Rate Average) on CAD 107.64 million. Assume the AUD/CAD exchange rate is A$1.11483/CAD and the currency swap is entered into at a fair market rate. a) Fill in the SwapCo. table below. Assets Liabilities Equity b) Assume one year has passed and Australian 9-year currency swap rates are now trading at 3% versus 6-month CAD CORRA. In addition, the AUD has depreciated by 5% against the CAD, while Canadian interest rates have remianed unchanged. If you were to liquidate the original AUD 120 million currency swap, would you recieve a payment or have to make a payment. Briefly explain your answer [note: you do not need to calculate the precise amount of the payment]. Extra Credit: Calaulate the unwind value (in AUD) of the currency swap with 9- years remaining under the conditions assumed in part b) above. You enter into a 10-year AUD/CAD currency swap in which you receive a fixed rate of 4% p.a. (paid semi-annually) on AUD 120 million in exchange for 6- month floating CAD CORRA (Canadian Overnight Repo Rate Average) on CAD 107.64 million. Assume the AUD/CAD exchange rate is A$1.11483/CAD and the currency swap is entered into at a fair market rate. a) Fill in the SwapCo. table below. Assets Liabilities Equity b) Assume one year has passed and Australian 9-year currency swap rates are now trading at 3% versus 6-month CAD CORRA. In addition, the AUD has depreciated by 5% against the CAD, while Canadian interest rates have remianed unchanged. If you were to liquidate the original AUD 120 million currency swap, would you recieve a payment or have to make a payment. Briefly explain your answer [note: you do not need to calculate the precise amount of the payment]. Extra Credit: Calaulate the unwind value (in AUD) of the currency swap with 9- years remaining under the conditions assumed in part b) above.

Answer rating: 100% (QA)

a Assets Fixed rate AUD cash flows AUD 120 million 4 2 AUD 24 million every 6 months ... View the full answer