FRM一级练习题：金融市场与产品（2）

　　Ion National Bank issues a 6-month,USD1 million CD at 4.0%and funds a loan in Argentine pesos(ARS)at 6.50%.The spot rate for the ARS was ARS2.27 per USD at the time of the transaction.In 6 months,the ARS will have depreciated to ARS2.30 per USD.What is the realized nominal annual spread on the loan?

　　A.-1.07%.

　　B.-0.19%.

　　C.0.11%.

　　D.0.13%.

　　Answer：B

　　USD 10,000,000 x 1/1.42=GBP7,042,254 x 1.12 x USD 1.40/GBP=USD 11,042,254;

　　(11,042,254-10,000,000)/10,000,000=10.42%;(0.5)(0.08)+(0.5)(0.1042)=9.21%　　

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