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7. MN National Bank make the following interest rate collar: 20 millions, 9.75% interest rate cap with a price of 1.625% of face value 20
7.
MN National Bank make the following interest rate collar:
20 millions, 9.75% interest rate cap with a price of 1.625% of face value
20 millions, 3.5% interest rate floor with a price of 1.5% of face value
If at expiration interest rates are 3.45%, how much is the profit/(loss) of MN National Bank?
JK Capital Markets purchased a 4.15% interest rate floor with a face value of 8 millions for 2% of face value. If at expiration date interest rates are 3.05%, How much is the profit/(loss) of JK Capital Markets?
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