4 Consider A Resetting Notional Xccy Swap With 1 Year Remaining To Maturity That Pays Usd And Receives Aud With Usd Not 1 (20.57 KiB) Viewed 49 times
4. Consider a resetting notional XCCY swap with 1-year remaining to maturity that pays USD and receives AUD with USD notional amount of $10,000,000 and the XCCY basis spread of -0.40%. (18 marks]
(c) Compute the percentage change in value of the XCCY swap if the current spot AUD/USD exchange rate increases by 0.01, and complete the tables below:: Time Spot AUD/USD AUD notional AUD interest Net AUD notional NPV 0 0.25 0.5 0.75 1 Value USD leg in USD USD leg in AUD AUD leg in AUD Swap NPV in AUD % change in swap NPV Round all values to 6 decimal places. [6 marks] (d) Explain briefly why the sensitivity of the notional resetting XCCY swap to the spot FX is lower than the corresponding sensitivity for the fixed notional XCCY swap. [4 marks]
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