QUESTIONS 91 THROUGH 96 RELATE TO DERIVATIVE INVESTMENTS.

96. A company and its bank have entered into a currency swap in which the company pays USD to

the bank. The currency swap details are provided below:

Swap # Days # Days

Notional FX Rate Rate Period Year

Company USD130,000,000 USD 1.30 4.00% 180 360

Bank EUR100,000,000 EUR 1.00 2.00% 180 360

Which of these interest payments will most likely be made by one of the parties in the

transaction?

A. Bank will make a payment of USD 1,000,000.

B. Bank will receive a payment of USD 2,600,000.

C. Company A will receive a payment of EUR 1,300,000.

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