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Matakuliah
Tahun
: Keuangan Internasional
: 2009
Interest Rate and Foreign Currency Swaps
Pertemuan 13
Soal 1
• Exercise (Question 3)
Banks quote interest rate and currency swaps
using the 6 month LIBOR as a basis for both
transactions. How can a Bank make money if
does not speculate on movements in either
interest rates or exchange rates ?
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3
Jawaban Soal 1
Banks quote the fixed side of the swap with a bid-ask
spread. When they pay the fixed-rate side of the swap,
they do so at a lower rate than when they receive the
fixed-rate side of the swap from their counterparty.
Thus, if they are able to balance the transactions, being
both a payer of the fixed rate and a receiver of the fixed
rate for the same gross amounts, they earn the bid-ask
spread. This can be a substantial amount of money.
Bina Nusantara University
Soal 2
•
Exercise (Problem 4)
The swap desk at UBS is quoting the following rates on
5 year swaps versus 6 month dollar LIBOR :
US dollars : 8.75 % bid
and 8.85 % offered
Swiss Francs : 5.25 % bid and 5.35 % offered
You would like to swap out of Swiss Franc debt with a
principal of CHF 25,000,000 and into fixed rate dollar
debt. At what rates will UBS handle the transaction ?
If the current exchange rate is CHF 1.3/$ what would
the cash flows be ?
Bina Nusantara University
5
CHF25,000,000
= $19,230,769
CHF1.3/$
Jawaban Soal 2
Because you want to swap out of Swiss franc debt, you want UBS to pay you Swiss
francs and you want to pay UBS dollars. UBS pays Swiss francs at 5.25%, and it
receives dollars at 8.85%. When you receive Swiss francs, you pay 6-month dollar
LIBOR on the equivalent dollar amount, and when you pay dollars, you receive 6month dollar LIBOR on that same dollar amount. Thus, the floating rate dollar cash
flows cancel, and you would just make the fixed rate dollar payment and would
receive the fixed rate Swiss franc payment.
In the beginning of the currency swap, you would give the Swiss franc principal of
CHF25,000,000 to UBS who would give you
CHF 25,000,000 = $ 19,230,769
CHF 1,3/$
You would then make semi-annual dollar payments of
0.5 8.85% $19,230,769 = $850,962
You would receive semi-annual Swiss franc payments of
0.5 5.25% CHF25,000,000 = CHF656,250
At the end of 5 years, you would also pay the principal of $19,230,769 and you would
receive the CHF25,000,000.
Bina Nusantara University
6
Soal 3
• Home Work
Soal 3, merupakan tugas perorangan yaitu setiap
mahasiswa diwajibkan untuk menjawab pertanyaan
(Question dan Problem) yang ada disetiap akhir bagian
masing-masing chapter.
Tugas ini dikumpulkan sebelum perkuliahan pertemuan
berikutnya dimulai.
Mahasiswa menjawab Question 9, 11 dan Problem 8
yang ada di halaman 779 - 780
Bina Nusantara University
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