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An investor enters into a 5-year total return swap with Bank A, with the investor...

An investor enters into a 5-year total return swap with Bank A, with the investor paying a fixed rate of 6% annually on a notional value of $100m to the bank and receiving the returns of the S&P500 index with an identical notional value. The swap is reset monthly, ie the payments are exchanged monthly. On Jan 1 of the fourth year, after settling the last month's payments, the bank enters bankruptcy. What is the legal claim that the hedge fund has against the bank in the bankruptcy court?

A.

$100m

B.

$6m

C.

The replacement value of the swap

D.

$0, as all payments on the swap are current

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