Chartered Financial Analyst Level 2
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39
An investor bought 1 million Singapore Dollars (SGD) at an all-in forward price of 1.1465 AUD/SGD (1.1465 Australian Dollars (AUD) per 1 SGD). Three months prior to the settlement date, the investor wants to mark-to-market this forward position. The investor has the following information:
- Spot rate (AUD/SGD): 1.1483 / 1.1484
- 3-month points: 25 / 30
- 3-month MRR (AUD) annualized: 4.50%
- 3-month MRR (SGD) annualized: 3.50%
The mark-to-market value of the forward position three months prior to settlement date is closest to:
39
An investor bought 1 million Singapore Dollars (SGD) at an all-in forward price of 1.1465 AUD/SGD (1.1465 Australian Dollars (AUD) per 1 SGD). Three months prior to the settlement date, the investor wants to mark-to-market this forward position. The investor has the following information:
- Spot rate (AUD/SGD): 1.1483 / 1.1484
- 3-month points: 25 / 30
- 3-month MRR (AUD) annualized: 4.50%
- 3-month MRR (SGD) annualized: 3.50%
The mark-to-market value of the forward position three months prior to settlement date is closest to:
Exam-Like
A
AUD 4,252
B
AUD 4,300
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