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70 days ago, the mutual fund entered into a two-year currency swap by agreeing to swap US dollars for euros at the fixed rates. The

70 days ago, the mutual fund entered into a two-year currency swap by agreeing to swap US dollars for euros at the fixed rates. The annualized fixed rate in dollars and euros are 7.25% and 7.1%, respectively. The exchange rate at the start of the swap was $0.78. The new exchange rate today is $0.55. Assume that the notional dollar amount is $25,000,000. The payments are made annually based on the assumption of 30 days per month and 360 days in a year. The adjustment of Current LIBOR and Euribor rates are shown below-

Term

LIBOR (%)

Euribor (%)

290 days

7.4

5.5

650 days

7.8

6.0

Determine the market value of the swap today from the counterpartys perspective, which pays euros and receives dollars

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