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The principal on the Australian dollar loan is AUD50 million and the exchange rate at initiation of the swap is AUD 1 = 0.7231 USD.
The principal on the Australian dollar loan is AUD50 million and the exchange rate at initiation of the swap is AUD 1 = 0.7231 USD. The company decides to borrow in Australian dollar at 90-day BBSW and enter a cross-currency basis swap to USD based on 90-day USD LIBOR (a floating-for-floating swap). How to calculate the Swap Rate, the swap at initiation, the quarterly interest payment, and the swap at maturity.
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