Q04 Q04 Q04

Assume corn forward prices over the next 3 years are $2.25, $2.35, and $2.28, respectively. Effective annual interest rates over the same period are 5.2%, 5.5%, and 5.8%. What is the 2- year swap price on a hypothetical ʺforward swapʺ that begins at the end of year 1?

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Q05 Q05 Q05

The 3-year swap price on a new corn swap agreement is $5.94. Interest rates immediately rise on 1, 2, and 3-year zero coupon bonds from 5.1%, 5.4%, and 5.7% to 5.2%, 5.6%, and 6.0%, respectively. What is net swap payment per year if the reverse transaction occurs? Assume year 1, 2, and 3 forward prices are $2.05, $2.15, and $2.30, respectively and do not change.

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Q09 Q09 Q09

Your company can get yen loans for 2.0%. Dollar rates on the same loans are 4.5%. The spot yen per dollar exchange rate is 104. The forward rates for years 1 thru 4 are, 101.51, 99.08, 96.71, and 94.40, respectively. What is the dollar value of a 4-year 1 million yen loan?

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Q10 Q10 Q10

Your company can get yen loans for 2.0%. Dollar rates on the same loans are 4.5%. The spot yen per dollar exchange rate is 104. The forward rates for years 1 thru 4 are, 101.51, 99.08, 96.71, and 94.40, respectively. What is the present value of the market-makerʹs net cash flow if spot rates are 102 instead?

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Q11 Q11 Q11

A portfolio manager enters into a total return swap. She swaps 50% of her $50 million index based portfolio for 4.5% yield bonds. If the annualized total return on the index is 2.5%, what net cash flow will the manager experience under the swap agreement?
A) + $250,000
B) -$250,000
C) + $500,000
D) -$500,000

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Q12 Q12 Q12

An investor enters into a 2-year swap agreement to purchase crude oil at $43.26 per barrel. Soon after the swap is created forward prices rise and the new swap price on a similar swap is $44.12. If interest rates are 5.0% per year, what is the gain to be made from unwrapping the original swap agreement?

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Q13 Q13 Q13

The forward prices on a barrel of crude oil are $43 and $45 in years one and two, respectively. The interest rates on zero coupon government bonds are 4.0% and 4.5% in years one and two, respectively. What is the likely 2-year swap price on a barrel of crude oil?

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Q14 Q14 Q14

An investor enters into a 2-year swap agreement to euros at $1.32 per euro. Soon after the swap is created forward prices rise and the new swap price on a similar swap is $1.45. If dollar denominated interest rates are 4.0% and 4.5% on 1- and 2-year zero coupon government bonds, respectively, what is the gain to be made from unwrapping the original swap agreement?

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