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An investor owns Euro10M 3-year 4% bond. The investor wants to convert the bond to $ exposure. The current 3-year Euro to $ swap rate
- An investor owns Euro10M 3-year 4% bond. The investor wants to convert the bond to $ exposure. The current 3-year Euro to $ swap rate is 3.5% Euro versus $ Libor. The current $/E FX rate is $1.10. What is the net $ exposure? What would happen to the investor if the swap counterparty fails at maturity, there is no collateral, and the $/E FX rate moves to $1.05?
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The Routledge Handbook Of FinTech
Authors: K. Thomas Liaw
1st Edition
0367263599, 978-0367263591
