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Question Exercise 1 26102020

The document contains 3 questions regarding foreign exchange rates. Question 1 involves calculating outright forward rates, bid-ask spreads, annualized forward rates, and amounts for RM/EUR, RM/JPY, and cross rates. Question 2 involves calculating outright forwards, amounts, and bid-offer spreads for MYR/SGD, MYR/CAD, and cross rates. Question 3 is similar and involves calculations for RM/BND and RM/CAD.

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121 views2 pages

Question Exercise 1 26102020

The document contains 3 questions regarding foreign exchange rates. Question 1 involves calculating outright forward rates, bid-ask spreads, annualized forward rates, and amounts for RM/EUR, RM/JPY, and cross rates. Question 2 involves calculating outright forwards, amounts, and bid-offer spreads for MYR/SGD, MYR/CAD, and cross rates. Question 3 is similar and involves calculations for RM/BND and RM/CAD.

Uploaded by

azwanni zulkarnain
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as DOCX, PDF, TXT or read online on Scribd
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EXERCISE 1 (26/10/2020)

QUESTION 1

Below are the Kuala Lumpur market quotations of spot and 3-month rate for RM/EUR and
RM/JPY. Calculate the:

Spot 3-month forward


RM/EUR 4.4920/60 45/75
RM/JPY100 3.9730/55 82/62

i) 3-month forward outright rates for the Euro and Yen quotations.
(4 marks)

ii) Spot percentage bid-ask spread for RM/EUR and RM/JPY100.


(3 marks)

iii) Annualized bid forward percentage for RM/EUR and RM/JPY100.


(4 marks)

iv) The amount paid to buy JPY500,000, delivery in 3-months’ time.


(2 marks)

v) Spot cross rates of JPY per unit of EUR.


(4 marks)

QUESTION 2

MYR/SGD MYR/CAD
Spot Rate MYR 3.0215/70 MYR 3.1428/62
30-day forward 75/65 55/45
60-day forward 70/80 60/70
Three months Malaysia 15%
interest rate per Canada 10%
annum Singapore 20%

Calculate:
ii 30-day forward outright of Canadian dollar.
(2 marks)

iii 90-day forward outright of Singapore dollar.


(2 marks)

iiii amount of SGD you should pay for MYR10,000 for delivery in 3 months.
(3 marks)
iiv amount to be received in Ringgit if your importer pays SGD5,000 in one month’s
time.
(3 marks)

iv amount in CAD if the customer pays MYR10,000 in 2 months’ time.


(3 marks)

ivi bid-offer price and percentage spread of Singapore dollar per Canadian dollar in
60-days.
(4 marks)

QUESTION 3

Below are the Kuala Lumpur market quotations of spot, 1-month and 3-month rate for
RM/BND and RM/CAD. Calculate the:

Spot RM2.3870/2.4380/BND RM3.0490/3.1150/CAD


One month forward 30/40 65/50
Interest rate Malaysia Canada Brunei
Three months 2% 2.6% 1.2%

i) 3-month forward outright rates for the BND and CAD quotations.
a. (4 marks)

ii) Spot percentage bid-ask spread for RM/BND and RM/CAD.


a. (3 marks)

iii) Annualized bid offer 1-month forward percentage for RM/BND and RM/CAD.
a. (4 marks)

iv) The amount paid to buy CAD580,000, delivery in 3-months’ time.


a. (2 marks)

v) Spot cross rates of BND per unit of CAD.


(4 marks)

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