A Canadian corporation ( ACC ) has just entered into a two – year currency swap contract with Big Dealer Bank ( BDB ) . The swap contr act requires…

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A Canadian corporation ( ACC ) has just entered into a two – year currency swap contract withBig Dealer Bank ( BDB ) . The swap contr act requires ACC to make semi- annual payments inCanadian dollars ( C ) and receive semi-annual payments in U .S . dollars ( US ) . The nationalamount in Canadian dollars is C$ 25 million . The accrual period for the swap is 180 / 350assuming 360 days per year . The US C spot exchange rate is 0 . 77 , with the Canadiandollar being the domestic currency for ACC . The term structures of Of LIBOR and USLIBOR are as followsDaysC$ LIBOR ( 10 ) USE LIBOR ( / 0 )1800. 500. 553600.600. 655400. 650 . 157200.700.85What is the national amount in U .S . dollars ? ( 1 mark )Calculate the fixed rates in Canadian and U .S . dollars . ( & marks )Calculate the first semi-annual payments for the swap if the terms of the swapspecify that ACC receives fixed rates and pays floating rates . ( 2 marks )

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