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)