A company borrows $220M for 5-years at 3%, but wants a Euro liability since its revenue comes mostly from Germany. The exchange rate is $1.10. The curren 5-year swap rate is $3.2% versus E3.1%. What is the net result for the company What would happen to the company if the swap counterparty fails at maturity, there is no collateral and the $/E FX rate moves to $1.15?

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Q: am. 139.

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Treasury Market

On-the-run securities are the most recently issued securities in the market depth and are therefore traded at some premium. The off-the-run securities are the ones issued just before the most recent ones. The on-the-run securities have a lower yield to the investor than the off-the-run securities.