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What is the value of the swap to cba in aud

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CBA entered a swap agreement with UBS. In this swap contract, CBA pays 10% per annum in AUD and receives 6% per annum in USD. The principals are 100 million AUD and 70 million USD, respectively. For all maturities, the AUD interest rate is 8% per annum, and the USD interest rate is 5% per annum. Assume all interest rates are continuously compounded. One AUD is currently worth 0.72 USD. Payments are exchanged every year, with one exchange having just taken place. The swap will last two more years. What is the value of the swap to CBA in AUD? Show your step-by-step workings.

Reference no: EM132675849

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