2009 BSAS Exam Doubts - 1

Just tried the BSAS exam from last year. Have a few questions: The emerging markets team would like to execute a trade in which they purchase 3-month Turkish Treasury Bills yielding 18.6%. This is a complex transaction that involves the bank purchasing the 3-month treasury bills and Salmon purchasing a total return swap. Salmon will pay Libor+75bp and the bank will pay the return on the treasury bills. Diagram how the transaction will materialize. Answer: Notional: Initially $9.53m Cost: Libor+75 ---------------------> Bank Salmon

something is missing.

My bad. I’ve just edited the question. I guess I was in a hurry. I read through the other parts of the Vignette. Nothing else really relates to this question.

Ok looks like it didnt do a good job editing. My internet’s acting up. Here’s the additional info. Recommend how the PM can hedge the currency exposure. Assume a notional principle of $10m. The present market price for a 3 month TRL/USD forward if 1.6977. That’s pretty much it I guess.