Division 47 Five-year mark to market (MtM) cross-currency EUR/USD SWAP. Receive USD and pay EUR.F1
United Kingdom
EUR: three-month EURIBOR, pay quarterly
USD: three-month USD LIBOR rate, receive quarterly
Notional EUR10 million adjusted on a quarterly basis
Roll convention and calendar: standard.
Effective date same as booking date.
Maturity: 19 September 2023 .
Base currency EUR;
Annotations
Textual amendments
Notes on Division 2
Footnotes
- f1
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Use a number of 100 contracts, where applicable (refer to the portfolio definitions in section 3), uniformly for the purpose of calculating IMV.