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Change in market value of the swap contract

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An FI has entered a $100 million swap agreement with a counterparty.

The fixed-payment portion of the swap is similar to a government bond with maturity of 6 years and duration of 5.5 years. The swap payment interval is 1 year. If the relative shock to interest rates [ΔR/(1 + R)] is a decline of 1 percent, what will be the change in market value of the swap contract?

Reference no: EM132611802

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