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Assume you calculate the PV of an Interest Rate swap you currently hold with Ford Motor Company. The Swap has 5 years remaining term and
Assume you calculate the PV of an Interest Rate swap you currently hold with Ford Motor Company. The Swap has 5 years remaining term and a PV of +$1,450,000. There is no collateral in place. JPMorgan's CDS screen is currently showing a 5-year CDS spread for Ford Motor Company of 140 basis points. Calculate the PV of your interest rate swap including a CVA that is based on the credit derivative market
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