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As a swap broker, you are in touch with Banks C and D. In the Canadian market, the annual borrowing cost is CAD 5.5% for

As a swap broker, you are in touch with Banks C and D. In the Canadian market, the annual borrowing cost is CAD 5.5% for Bank C and CAD 7.5% for Bank D. In the Eurozone market, however, Bank D can raise debt at a cost of EUR 6.5% while a rate of EUR 6.0% is quoted to Bank C. If Bank C wants to borrow in Euros and Bank D wants to borrow in Canadian dollars, illustrate how you can set up a currency swap that would look equally attractive to both banks and leave a 0.50% margin to your brokerage firm.

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