A U.S. thrift has most of its assets in the form of Swiss franc-denominated floating-rate loans. Its

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A U.S. thrift has most of its assets in the form of Swiss franc-denominated floating-rate loans. Its liabilities consist mostly of fixed-rate dollar-denominated CDs. What type of currency risk and interest rate risk does this FI face? How might it use a swap to eliminate some of these risks?
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Financial Institutions Management A Risk Management Approach

ISBN: 978-0071051590

8th edition

Authors: Marcia Cornett, Patricia McGraw, Anthony Saunders

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