3. Last year, the Bank hedged their Eurobond with a fixed to fixed USD/EUR swap....
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- 3. Last year, the Bank hedged their Eurobond with a fixed to fixed USD/EUR swap. The Bank's risk management policy requires annual collateralization of FX derivatives. Value the swap below in Appendix B to determine the amount of collateral that needs to be transferred.
a. $25M Notional
b.Trade Date USD/EUR FX Rate: 1.35
C. Receives Euro at 2.35%, annual payment
d. Pays USD at 3.15%, annual payment e.
4yrs remaining
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