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  3. 3. last year, the bank hedged their eurobond with

3. Last year, the Bank hedged their Eurobond with a fixed to fixed USD/EUR swap....

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Finance

  1. 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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Appendix B

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