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To be exactly, I have a corporate client А with IR swap of 100 Mio USD, fair value of - 5 Mio. USD and Maturity 4,5 years, and FX Forward of 50 Mio USD, fair value of 10 Mio. rub and Maturity 1,5 yearsFor Client B is a big international bank, with whom we have ISDA,I have IR swap of 20 Mio USD, fair value of - 0,1 Mio. USD and Maturity 7 years, andFX Forward of of 100 Mio USD, fair value of -10 Mio rub. and Maturity 0,5 Years.Can you please write down how the IRW for this two cases and overall IRW is calculated for this two cases and the appropriate cost of capital.Do appreciate your help!
To be exactly, I have a corporate client А with IR swap of 100 Mio USD, fair value of - 5 Mio. USD and Maturity 4,5 years, and FX Forward of 50 Mio USD, fair value of 10 Mio. rub and Maturity 1,5 years
For Client B is a big international bank, with whom we have ISDA,
I have IR swap of 20 Mio USD, fair value of - 0,1 Mio. USD and Maturity 7 years, and
FX Forward of of 100 Mio USD, fair value of -10 Mio rub. and Maturity 0,5 Years.
Can you please write down how the IRW for this two cases and overall IRW is calculated for this two cases and the appropriate cost of capital.
Do appreciate your help!
