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Siemens and Allianz have signed a 1 0 - year fixed - for - EURIBOR interest rate swap with a 5 0 million notional amount.

Siemens and Allianz have signed a 10-year fixed-for-EURIBOR interest rate swap with a 50 million notional amount. Siemens pays the floating rate and the fixed rate is 12%. However, Allianz defaults on the tenth payment. At that time, EURIBOR was 11%. If compounding and payments are semi-annual, what are the losses of Siemens if the six-month EURIBOR six months before the default was 8%? All rates are annual and historically the yield curve is flat.

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