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BFX5260 - Treasury & Financial Markets - S2 2026
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Assume you are a corporate customer – therefore, a price taker.
You need to buy EUR versus USD outright for delivery in 3 months.
ANZ and Westpac’s spot prices are 1.1515/19 and 1.1518/23 respectively.
Their 3 month FX swap prices are 38/40 and 37/39, respectively.
By combining the prices from both banks, the best possible available 3 month hedge rate is:
Assume you are a price maker. The AUD/USD and EUR/USD spot rates are 0.7556/60 and 1.1576/80 respectively. Your 3-month swap rates are 12/11 and 33/34 respectively. Determine your 3-month outright FEC offer rate for AUD/EUR, rounded to 4 decimal places.
The current AUD/USD spot rate is 0.7212. Today’s date is 7th August, 2020. 6, 7 and 8 month AUD/USD swap rates are 48, 63 and 79 points, respectively. Determine the FX swap rate to 26th March, 2021.
You are a price maker. Your 3-month EUR/USD swap rate is 32/33. At what rate would a corporate customer sell and buy EUR spot versus 3 months?