IFRS 9 , March/June 2019 Q3(a)(ii)

Sir, in the answer scheme it states that
“the contract is a hybrid contract containing a host contract which is an executory contract to purchase electricity at a price of 20 million euros and a non-closely related embedded foreign currency derivative with an initial fair value of zero to buy 20 million euros, sell 25 million dollars.”

May I know why there is an initial fair value of zero for non-closely related embedded foreign currency derivative ?

Thanks in advance.