Worksheet Title

4.1 Market data

4.2 Pricing of Non-Generic Swap - 1/5 Forward Starting - using Hed
4.3 Pricing of Non-Generic Swap - 1/5 Forward Starting - using NPA
4.4 Pricing of Non-Generic Swap - 1/5 Forward Starting - using Imp
4.5 Pricing of Non-Generic Swap - 1/5 Forward Starting - using a F
4.6 Pricing of Non-Generic Swap - 1/5 Forward Starting - using the
4.7 Pricing of Non-Generic Swap - 5 year Amortising - using Hedgi
4.8 Pricing of Non-Generic Swap - 5 year Amortising - using NPA
4.9 Pricing of Non-Generic Swap - 5 year Amortising - using Implie
4.10 Pricing a non-generic swap using Hedging Swaps
4.11 Pricing a non-generic swap using Notional Principal Amounts
4.12 Pricing a non-generic swap using Implied Forwards
4.13 Pricing a non-generic swap using Implied Forwards and forward
4.14 New Market data for Valuations
4.15 Valuing a non-generic swap using NPA
4.16 Valuing a non-generic swap using Implied Forwards

orward Starting - using Hedging Swaps

orward Starting - using NPA
orward Starting - using Implied Forwards
orward Starting - using a Formula
orward Starting - using the Reference rate method and Implied Forwards
r Amortising - using Hedging Swaps
r Amortising - using NPA
r Amortising - using Implied Forwards
dging Swaps
ional Principal Amounts
plied Forwards
plied Forwards and forward valuing

plied Forwards

4.1: Market data

Today's date:
Settlement

0
0.019
0.081
0.250
0.506
0.761
1.017
1.264
1.519
1.775
2.036
2.278
2.533
2.794
3.047
3.292
3.553
3.806
4.058
4.311
4.564
4.819
5.075
5.322
5.578
5.833
6.089
6.336
6.592
6.847
7.103
7.350
7.606
7.861

4-Feb-08
2
Z-C rates

Gradient

3.2165%
3.2165%
3.1772%
3.1327%
3.0735%
2.9554%
2.8544%
2.7874%
2.7475%
2.7366%
2.7546%
2.7983%
2.8598%
2.9286%
2.9954%
3.0568%
3.1199%
3.1796%
3.2388%
3.2981%
3.3573%
3.4166%
3.4753%
3.5314%
3.5880%
3.6426%
3.6947%
3.7424%
3.7891%
3.8331%
3.8747%
3.9128%
3.9506%
3.9875%

0.000000
-0.006433
-0.002625
-0.002317
-0.004621
-0.003951
-0.002710
-0.001562
-0.000426
0.000687
0.001811
0.002404
0.002636
0.002644
0.002510
0.002415
0.002362
0.002343
0.002347
0.002339
0.002321
0.002296
0.002271
0.002215
0.002136
0.002039
0.001930
0.001825
0.001724
0.001628
0.001539
0.001478
0.001444
0.001432

6-Feb-08
6-May-08
6-Aug-08
6-Nov-08
6-Feb-09
6-May-09
6-Aug-09
6-Nov-09
8-Feb-10
6-May-10
6-Aug-10
8-Nov-10
7-Feb-11
6-May-11
8-Aug-11
7-Nov-11
6-Feb-12
7-May-12
6-Aug-12
6-Nov-12
6-Feb-13
6-May-13
6-Aug-13
6-Nov-13
6-Feb-14
6-May-14
6-Aug-14
6-Nov-14
6-Feb-15
6-May-15
6-Aug-15
6-Nov-15
8-Feb-16
6-May-16

8.122
8.367
8.628
8.881
9.133
9.386
9.639
9.892
10.147
10.397
10.650
10.906
11.161
11.408
11.664
11.919
12.175
12.425
12.681
12.936
13.197
13.439
13.694
13.956
14.208
14.453
14.714
14.967
15.219
15.472
15.725
15.978
16.233
16.483
16.739
16.994
17.250
17.497
17.753
18.008
18.264
18.511
18.767

4.0249%
4.0602%
4.0977%
4.1332%
4.1675%
4.2001%
4.2313%
4.2611%
4.2899%
4.3168%
4.3429%
4.3682%
4.3927%
4.4156%
4.4385%
4.4608%
4.4825%
4.5033%
4.5239%
4.5440%
4.5639%
4.5817%
4.5999%
4.6178%
4.6344%
4.6498%
4.6655%
4.6800%
4.6937%
4.7066%
4.7188%
4.7304%
4.7414%
4.7516%
4.7614%
4.7707%
4.7795%
4.7876%
4.7954%
4.8029%
4.8099%
4.8163%
4.8226%

0.001447
0.001434
0.001404
0.001356
0.001293
0.001233
0.001178
0.001125
0.001077
0.001033
0.000993
0.000957
0.000927
0.000897
0.000872
0.000849
0.000830
0.000808
0.000786
0.000761
0.000739
0.000712
0.000684
0.000657
0.000631
0.000600
0.000572
0.000542
0.000512
0.000483
0.000457
0.000431
0.000408
0.000385
0.000364
0.000344
0.000326
0.000308
0.000291
0.000275
0.000260
0.000246
0.000232

8-Aug-16
7-Nov-16
6-Feb-17
8-May-17
7-Aug-17
6-Nov-17
6-Feb-18
7-May-18
6-Aug-18
6-Nov-18
6-Feb-19
6-May-19
6-Aug-19
6-Nov-19
6-Feb-20
6-May-20
6-Aug-20
6-Nov-20
8-Feb-21
6-May-21
6-Aug-21
8-Nov-21
7-Feb-22
6-May-22
8-Aug-22
7-Nov-22
6-Feb-23
8-May-23
7-Aug-23
6-Nov-23
6-Feb-24
6-May-24
6-Aug-24
6-Nov-24
6-Feb-25
6-May-25
6-Aug-25
6-Nov-25
6-Feb-26
6-May-26
6-Aug-26
6-Nov-26
8-Feb-27

19.022
19.283
19.525
19.781
20.042
20.294
20.547
20.800
21.053
21.308
21.558
21.811
22.067
22.322
22.569
22.825
23.081
23.336
23.583
23.839
24.094
24.350
24.600
24.856
25.117
25.369
25.614
25.875
26.128
26.381
26.633
26.886
27.139
27.394
27.644
27.897
28.153
28.408
28.658
28.914
29.169
29.425
29.672

4.8285%
4.8343%
4.8393%
4.8443%
4.8492%
4.8536%
4.8578%
4.8618%
4.8655%
4.8691%
4.8723%
4.8754%
4.8783%
4.8810%
4.8834%
4.8856%
4.8876%
4.8895%
4.8911%
4.8925%
4.8937%
4.8948%
4.8956%
4.8963%
4.8968%
4.8971%
4.8973%
4.8973%
4.8971%
4.8968%
4.8964%
4.8958%
4.8952%
4.8945%
4.8937%
4.8928%
4.8919%
4.8909%
4.8900%
4.8889%
4.8879%
4.8868%
4.8857%

0.000219
0.000209
0.000197
0.000185
0.000176
0.000166
0.000157
0.000148
0.000139
0.000130
0.000122
0.000113
0.000104
0.000096
0.000088
0.000080
0.000072
0.000064
0.000056
0.000049
0.000041
0.000034
0.000027
0.000019
0.000013
0.000006
-0.000001
-0.000007
-0.000012
-0.000017
-0.000021
-0.000025
-0.000028
-0.000031
-0.000034
-0.000036
-0.000038
-0.000039
-0.000041
-0.000042
-0.000042
-0.000042
-0.000043

6-May-27
6-Aug-27
8-Nov-27
7-Feb-28
8-May-28
7-Aug-28
6-Nov-28
6-Feb-29
7-May-29
6-Aug-29
6-Nov-29
6-Feb-30
6-May-30
6-Aug-30
6-Nov-30
6-Feb-31
6-May-31
6-Aug-31
6-Nov-31
6-Feb-32
6-May-32
6-Aug-32
8-Nov-32
7-Feb-33
6-May-33
8-Aug-33
7-Nov-33
6-Feb-34
8-May-34
7-Aug-34
6-Nov-34
6-Feb-35
7-May-35
6-Aug-35
6-Nov-35
6-Feb-36
6-May-36
6-Aug-36
6-Nov-36
6-Feb-37
6-May-37
6-Aug-37
6-Nov-37

29.928
30.183
30.444

4.8847%
4.8836%
4.8825%

-0.000042
-0.000042

8-Feb-38

0.250
0.506
0.761
1.017
1.264
1.519
1.775
2.036
2.278
2.533
2.794
3.047
3.292
3.553
3.806
4.058
4.311
4.564
4.819
5.075
5.322
5.578
5.833
6.089
6.336
6.592
6.847
7.103
7.350
7.606
7.861
8.122
8.367

Z-C rates

DFs

3.1327%
3.0735%
2.9554%
2.8544%
2.7874%
2.7475%
2.7366%
2.7546%
2.7983%
2.8598%
2.9286%
2.9954%
3.0568%
3.1199%
3.1796%
3.2388%
3.2981%
3.3573%
3.4166%
3.4753%
3.5314%
3.5880%
3.6426%
3.6947%
3.7424%
3.7891%
3.8331%
3.8747%
3.9128%
3.9506%
3.9875%
4.0249%
4.0602%

1
0.992199
0.984582
0.977757
0.971397
0.965383
0.959112
0.952586
0.945458
0.938249
0.930114
0.921421
0.912764
0.904277
0.895080
0.886033
0.876830
0.867460
0.857939
0.848181
0.838308
0.828657
0.818623
0.808572
0.798542
0.788893
0.778986
0.769156
0.759411
0.750070
0.740476
0.730914
0.721150
0.711980

Forwards

0.250
0.256
0.256
0.256
0.247
0.256
0.256
0.261
0.242
0.256
0.261
0.253
0.244
0.261
0.253
0.253
0.253
0.253
0.256
0.256
0.247
0.256
0.256
0.256
0.247
0.256
0.256
0.256
0.247
0.256
0.256
0.261
0.244

3.1450%
3.0272%
2.7312%
2.5621%
2.5198%
2.5585%
2.6810%
2.8874%
3.1792%
3.4222%
3.6134%
3.7520%
3.8394%
3.9350%
4.0394%
4.1522%
4.2734%
4.3900%
4.5018%
4.6088%
4.7110%
4.7963%
4.8642%
4.9147%
4.9477%
4.9765%
5.0011%
5.0213%
5.0373%
5.0697%
5.1191%
5.1854%
5.2691%

8.628
8.881
9.133
9.386
9.639
9.892
10.147
10.397
10.650
10.906
11.161
11.408
11.664
11.919
12.175
12.425
12.681
12.936
13.197
13.439
13.694
13.956
14.208
14.453
14.714
14.967
15.219
15.472
15.725
15.978
16.233
16.483
16.739
16.994
17.250
17.497
17.753
18.008
18.264
18.511
18.767
19.022
19.283

4.0977%
4.1332%
4.1675%
4.2001%
4.2313%
4.2611%
4.2899%
4.3168%
4.3429%
4.3682%
4.3927%
4.4156%
4.4385%
4.4608%
4.4825%
4.5033%
4.5239%
4.5440%
4.5639%
4.5817%
4.5999%
4.6178%
4.6344%
4.6498%
4.6655%
4.6800%
4.6937%
4.7066%
4.7188%
4.7304%
4.7414%
4.7516%
4.7614%
4.7707%
4.7795%
4.7876%
4.7954%
4.8029%
4.8099%
4.8163%
4.8226%
4.8285%
4.8343%

0.702199
0.692775
0.683432
0.674199
0.665077
0.656066
0.647070
0.638378
0.629697
0.621026
0.612459
0.604262
0.595886
0.587602
0.579409
0.571476
0.563459
0.555537
0.547547
0.540244
0.532627
0.524957
0.517641
0.510671
0.503346
0.496370
0.489511
0.482770
0.476145
0.469632
0.463159
0.456933
0.450675
0.444521
0.438469
0.432708
0.426850
0.421087
0.415418
0.410018
0.404525
0.399120
0.393684

0.261
0.253
0.253
0.253
0.253
0.253
0.256
0.250
0.253
0.256
0.256
0.247
0.256
0.256
0.256
0.250
0.256
0.256
0.261
0.242
0.256
0.261
0.253
0.244
0.261
0.253
0.253
0.253
0.253
0.253
0.256
0.250
0.256
0.256
0.256
0.247
0.256
0.256
0.256
0.247
0.256
0.256
0.261

5.3347%
5.3810%
5.4087%
5.4177%
5.4259%
5.4334%
5.4402%
5.4463%
5.4539%
5.4632%
5.4740%
5.4866%
5.5006%
5.5163%
5.5335%
5.5522%
5.5677%
5.5799%
5.5886%
5.5939%
5.5962%
5.5952%
5.5910%
5.5836%
5.5733%
5.5598%
5.5433%
5.5238%
5.5048%
5.4863%
5.4683%
5.4508%
5.4337%
5.4171%
5.4010%
5.3853%
5.3700%
5.3551%
5.3407%
5.3267%
5.3132%
5.3000%
5.2873%

19.525
19.781
20.042
20.294
20.547
20.800
21.053
21.308
21.558
21.811
22.067
22.322
22.569
22.825
23.081
23.336
23.583
23.839
24.094
24.350
24.600
24.856
25.117
25.369
25.614
25.875
26.128
26.381
26.633
26.886
27.139
27.394
27.644
27.897
28.153
28.408
28.658
28.914
29.169
29.425
29.672
29.928
30.183

4.8393%
4.8443%
4.8492%
4.8536%
4.8578%
4.8618%
4.8655%
4.8691%
4.8723%
4.8754%
4.8783%
4.8810%
4.8834%
4.8856%
4.8876%
4.8895%
4.8911%
4.8925%
4.8937%
4.8948%
4.8956%
4.8963%
4.8968%
4.8971%
4.8973%
4.8973%
4.8971%
4.8968%
4.8964%
4.8958%
4.8952%
4.8945%
4.8937%
4.8928%
4.8919%
4.8909%
4.8900%
4.8889%
4.8879%
4.8868%
4.8857%
4.8847%
4.8836%

0.388729
0.383570
0.378381
0.373434
0.368562
0.363763
0.359037
0.354332
0.349799
0.345286
0.340794
0.336371
0.332158
0.327870
0.323650
0.319496
0.315538
0.311512
0.307549
0.303649
0.299893
0.296114
0.292316
0.288697
0.285251
0.281629
0.278176
0.274776
0.271426
0.268126
0.264873
0.261632
0.258506
0.255389
0.252281
0.249216
0.246256
0.243271
0.240325
0.237417
0.234639
0.231803
0.229002

0.242
0.256
0.261
0.253
0.253
0.253
0.253
0.256
0.250
0.253
0.256
0.256
0.247
0.256
0.256
0.256
0.247
0.256
0.256
0.256
0.250
0.256
0.261
0.253
0.244
0.261
0.253
0.253
0.253
0.253
0.253
0.256
0.250
0.253
0.256
0.256
0.250
0.256
0.256
0.256
0.247
0.256
0.256

5.2751%
5.2632%
5.2517%
5.2406%
5.2300%
5.2189%
5.2075%
5.1957%
5.1835%
5.1709%
5.1580%
5.1447%
5.1310%
5.1170%
5.1026%
5.0880%
5.0729%
5.0576%
5.0420%
5.0261%
5.0098%
4.9933%
4.9765%
4.9594%
4.9421%
4.9256%
4.9101%
4.8956%
4.8821%
4.8695%
4.8579%
4.8472%
4.8374%
4.8284%
4.8204%
4.8132%
4.8069%
4.8014%
4.7967%
4.7929%
4.7898%
4.7875%
4.7860%

30.444

4.8825%

0.226176

0.261

4.7852%

Generic swaps

12 mo. Cash
2
3
4
5
6
7
8
9
10

2.8963%
2.7950%
3.0350%
3.2750%
3.5050%
3.7150%
3.8850%
4.0250%
4.1550%
4.2650%

4.2: Pricing of Non-Generic Swap - 1/5 Forward Starting - using Hedging Swaps
Today's date

4-Feb-08

Notional principal
Fixed rate:
Floating rate:

100 USD
to receive
to pay

3.671% ann
quarterly

Current 5 year swap rate:

Current 1 year swap rate:
Interpolated
Dates

3.505%
2.896%
DF's

Act/360

Difference =
Estimate =

60.875 bp
3.657%

Floating side

Fixed
[1]

6-Feb-08
6-May-08
6-Aug-08
6-Nov-08
6-Feb-09
6-May-09
6-Aug-09
6-Nov-09
8-Feb-10
6-May-10
6-Aug-10
8-Nov-10
7-Feb-11
6-May-11
8-Aug-11
7-Nov-11
6-Feb-12
7-May-12
6-Aug-12
6-Nov-12
6-Feb-13

1
0.992199
0.984582
0.977757
0.971397
0.965383
0.959112
0.952586
0.945458
0.938249
0.930114
0.921421
0.912764
0.904277
0.895080
0.886033
0.876830
0.867460
0.857939
0.848181
0.838308

0.250
0.256
0.256
0.256
0.247
0.256
0.256
0.261
0.242
0.256
0.261
0.253
0.244
0.261
0.253
0.253
0.253
0.253
0.256
0.256

Replace floating
Pay 5 yr
Receive 1 yr
[2]
[3]

-3,563,417
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor

3,742,196

-3,573,153

3,711,606

-3,543,944

3,711,606

-3,543,944

3,731,999

-3,563,417

Discounted Value =

2,944,521

Net
cashflow
[4]

-618,896
0
0
0
169,043
0
0
0
167,662
0
0
0
167,662
0
0
0
168,583
0

4.3: Pricing of Non-Generic Swap - 1/5 Forward Starting - using NPA

Today's date

4-Feb-08

Notional principal

Fixed rate:
Floating rate:

Interpolated
dates

100 USD

to receive
to pay

3.671% ann
quarterly

DF's

Act/360

Floating side
[1]

6-Feb-08
6-May-08
6-Aug-08
6-Nov-08
6-Feb-09
6-May-09
6-Aug-09
6-Nov-09
8-Feb-10
6-May-10
6-Aug-10
8-Nov-10
7-Feb-11
6-May-11
8-Aug-11
7-Nov-11
6-Feb-12
7-May-12
6-Aug-12
6-Nov-12
6-Feb-13

1
0.992199
0.984582
0.977757
0.971397
0.965383
0.959112
0.952586
0.945458
0.938249
0.930114
0.921421
0.912764
0.904277
0.895080
0.886033
0.876830
0.867460
0.857939
0.848181
0.838308

0.250
0.256
0.256
0.256
0.247
0.256
0.256
0.261
0.242
0.256
0.261
0.253
0.244
0.261
0.253
0.253
0.253
0.253
0.256
0.256

100,000,000
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor - 100,000,000

Fixed
[2]

Replace
floating
[3]

Net
cashflow

-100,000,000

-100,000,000
0
0
0
3,742,196
0
0
0
3,711,606
0
0
0
3,711,606
0
0
0
103,731,999

3,742,196

3,711,606

3,711,606

3,731,999
Discounted Value =

100,000,000

4.4: Pricing of Non-Generic Swap - 1/5 Forward Starting - using Implied Forwards
Today's date

4-Feb-08

Notional principal

100 USD

Fixed rate: to receive

Floating rate: to pay

3.671% ann
quarterly

Interpolated
dates

DF's

6-Feb-08
6-May-08
6-Aug-08
6-Nov-08
6-Feb-09
6-May-09
6-Aug-09
6-Nov-09
8-Feb-10
6-May-10
6-Aug-10
8-Nov-10
7-Feb-11
6-May-11
8-Aug-11
7-Nov-11
6-Feb-12
7-May-12
6-Aug-12
6-Nov-12
6-Feb-13

1
0.992199
0.984582
0.977757
0.971397
0.965383
0.959112
0.952586
0.945458
0.938249
0.930114
0.921421
0.912764
0.904277
0.895080
0.886033
0.876830
0.867460
0.857939
0.848181
0.838308

Act/360

Fixed
Implied
forwards
[1]

0.250
0.256
0.256
0.256
0.247
0.256
0.256
0.261
0.242
0.256
0.261
0.253
0.244
0.261
0.253
0.253
0.253
0.253
0.256
0.256

3.1450%
3.0272%
2.7312%
2.5621%
2.5198%
2.5585%
2.6810%
2.8874%
3.1792%
3.4222%
3.6134%
3.7520%
3.8394%
3.9350%
4.0394%
4.1522%
4.2734%
4.3900%
4.5018%
4.6088%

Cashflows

Net
cashflow

Annual
forward
rates

[2]

-622,938
-653,837
-685,153
-753,921
-768,315
-874,561
-943,512
-948,413
-938,520
-1,027,484
-1,021,068
-1,049,580
-1,080,229
-1,109,689
-1,150,453
-1,177,795
Discounted Value =

3,742,196

3,711,606

3,711,606

3,731,999

-622,938
-653,837
-685,153
2,988,276
-768,315
-874,561
-943,512
2,763,192
-938,520
-1,027,484
-1,021,068
2,662,026
-1,080,229
-1,109,689
-1,150,453
2,554,204

year 1

2.896%

year 2

2.691%

year 3

3.542%

year 4

4.053%

year 5

4.520%

0
Average over 0/5 years

3.5406%

Average over 1/5 years

3.7017%

Difference

0.1611%

4.5: Pricing of Non-Generic Swap - 1/5 Forward Starting - using a Formula

Today's date

4-Feb-08

Notional principal

Fixed rate:
Floating rate:

100 USD

to receive
to pay

3.671% ann
quarterly

Interpolated
dates

DF's

Act/360

6-Feb-08
6-Feb-09
8-Feb-10
7-Feb-11
6-Feb-12
6-Feb-13

1
0.971397
0.945458
0.912764
0.876830
0.838308

1.017
1.019
1.011
1.011
1.017

Q5

4.613

Q1

0.988

4.6: Pricing of Non-Generic Swap - 1/5 Forward Starting - using the Reference rate method and Implied Forwards

Today's date

4-Feb-08

Notional principal

Fixed rate:
Floating rate:
Difference

100 USD

to receive
to pay

Swap
dates
[1]
6-Feb-08
6-May-08
6-Aug-08
6-Nov-08
6-Feb-09
6-May-09
6-Aug-09
6-Nov-09
8-Feb-10
6-May-10
6-Aug-10
8-Nov-10
7-Feb-11
6-May-11
8-Aug-11
7-Nov-11
6-Feb-12
7-May-12
6-Aug-12
6-Nov-12
6-Feb-13

3.644% ann
quarterly
-2.65 bp
DF's

[2]
1
0.992199
0.984582
0.977757
0.971397
0.965383
0.959112
0.952586
0.945458
0.938249
0.930114
0.921421
0.912764
0.904277
0.895080
0.886033
0.876830
0.867460
0.857939
0.848181
0.838308

3 months
period dates

DF's

[3]
6-May-08
6-Aug-08
6-Nov-08
6-Feb-09
6-May-09
6-Aug-09
6-Nov-09
8-Feb-10
10-May-10
6-Aug-10
8-Nov-10
8-Feb-11
9-May-11
8-Aug-11
8-Nov-11
7-Feb-12
7-May-12
7-Aug-12
6-Nov-12
6-Feb-13

[4]
0.992199
0.984582
0.977757
0.971397
0.965383
0.959112
0.952586
0.945458
0.937900
0.930114
0.921421
0.912669
0.903987
0.895080
0.885933
0.876728
0.867460
0.857834
0.848181
0.838308

Act/360
for forward
rate
[5]
0.250
0.256
0.256
0.256
0.247
0.256
0.256
0.261
0.253
0.256
0.261
0.256
0.253
0.261
0.256
0.256
0.253
0.256
0.256
0.256

Fixed
Implied fixing
of forwards
[6]
3.1450%
3.0272%
2.7312%
2.5621%
2.5198%
2.5585%
2.6810%
2.8874%
3.1878%
3.4222%
3.6134%
3.7525%
3.8411%
3.9350%
4.0402%
4.1531%
4.2734%
4.3908%
4.5018%
4.6088%

Length of time
for cashflow
[7]
0.250
0.256
0.256
0.256
0.247
0.256
0.256
0.261
0.242
0.256
0.261
0.253
0.244
0.261
0.253
0.253
0.253
0.253
0.256
0.256

Cashflows

Net
cashflow

[8]

-622,938
-653,837
-685,153
-753,921
-770,394
-874,561
-943,512
-948,536
-938,933
-1,027,484
-1,021,272
-1,049,811
-1,080,229
-1,109,899
-1,150,453
-1,177,795
Discounted Value =

3,715,184

3,735,430

3,735,430

3,715,184

0
0
0
0
-622,938
-653,837
-685,153
2,961,263
-770,394
-874,561
-943,512
2,786,894
-938,933
-1,027,484
-1,021,272
2,685,619
-1,080,229
-1,109,899
-1,150,453
2,537,388
-1

4.7: Pricing of Non-Generic Swap - 5 year Amortising - using Hedging Swaps

Today's date

4-Feb-08

Notional principal

100 USD

Fixed rate:
to receive
Floating rate:
to pay
Approximation

stepping down by

20

m pa.

3.209% ann
0 quarterly
3.214%

Interpolated
dates

DF's

6-Feb-08
6-May-08
6-Aug-08
6-Nov-08
6-Feb-09
6-May-09
6-Aug-09
6-Nov-09
8-Feb-10
6-May-10
6-Aug-10
8-Nov-10
7-Feb-11
6-May-11
8-Aug-11
7-Nov-11
6-Feb-12
7-May-12
6-Aug-12
6-Nov-12
6-Feb-13

1
0.992199
0.984582
0.977757
0.971397
0.965383
0.959112
0.952586
0.945458
0.938249
0.930114
0.921421
0.912764
0.904277
0.895080
0.886033
0.876830
0.867460
0.857939
0.848181
0.838308

Act/360

NPA (m)

Floating side
margin

[1]
0.250
0.256
0.256
0.256
0.247
0.256
0.256
0.261
0.242
0.256
0.261
0.253
0.244
0.261
0.253
0.253
0.253
0.253
0.256
0.256

Fixed maturity =>

rate =>
NPA =>
[2]

100
100
100
100
80
80
80
80
60
60
60
60
40
40
40
40
20
20
20
20

-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

3,262,256

2,616,936

1,946,658

1,297,772

652,451

Hedging Swaps - to pay fixed

2 yr
3 yr
4 yr
2.7950%
3.0350%
3.2750%
20
20
20
[4]
[5]
[6]

1 yr
2.8963%
20
[3]

5 yr
3.5050%
20
[7]

588,904 -

568,317 -

617,117 -

665,917 -

712,683

569,869 -

618,803 -

667,736 -

714,631

613,744 -

662,278 -

708,789

662,278 -

708,789

712,683

Discounted Value =

Net
cashflow
[8]
0
0
0
109,319
0
0
0
45,897
0
0
0
-38,153
0
0
0
-73,295
0
0
0
-60,232
0

4.8: Pricing of Non-Generic Swap - 5 year Amortising - using NPA

Today's date

4-Feb-08

Notional principal

Fixed rate:
Floating rate:

Interpolated
dates

100 USD

to receive
to pay

stepping down by

20 m pa.

3.209% ann
0 quarterly

DF's

Act/360

NPA (m)

Floating side
margin

Fixed
[1]

6-Feb-08
6-May-08
6-Aug-08
6-Nov-08
6-Feb-09
6-May-09
6-Aug-09
6-Nov-09
8-Feb-10
6-May-10
6-Aug-10
8-Nov-10
7-Feb-11
6-May-11
8-Aug-11
7-Nov-11
6-Feb-12
7-May-12
6-Aug-12
6-Nov-12
6-Feb-13

1
0.992199
0.984582
0.977757
0.971397
0.965383
0.959112
0.952586
0.945458
0.938249
0.930114
0.921421
0.912764
0.904277
0.895080
0.886033
0.876830
0.867460
0.857939
0.848181
0.838308

0.250
0.256
0.256
0.256
0.247
0.256
0.256
0.261
0.242
0.256
0.261
0.253
0.244
0.261
0.253
0.253
0.253
0.253
0.256
0.256

100
100
100
100
80
80
80
80
60
60
60
60
40
40
40
40
20
20
20
20

- Libor
- Libor
- Libor
- Libor
- Libor
- Libor
- Libor
- Libor
- Libor
- Libor
- Libor
- Libor
- Libor
- Libor
- Libor
- Libor
- Libor
- Libor
- Libor
- Libor

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

Replace
floating
[2]
-100,000,000

3,262,256

20,000,000

2,616,936

20,000,000

1,946,658

20,000,000

1,297,772

20,000,000

652,451

20,000,000

Discounted Value =

Net
cashflow
-100,000,000
0
0
0
23,262,256
0
0
0
22,616,936
0
0
0
21,946,658
0
0
0
21,297,772
0
0
0
20,652,451
0

4.9: Pricing of Non-Generic Swap - 5 year Amortising - using Implied Forwards

Today's date

4-Feb-08

Notional principal

Fixed rate:
Floating rate:

100 USD

to receive
to pay

stepping down by

20 m pa.

3.209% ann
0 quarterly

Interpolated
dates

DF's

6-Feb-08
6-May-08
6-Aug-08
6-Nov-08
6-Feb-09
6-May-09
6-Aug-09
6-Nov-09
8-Feb-10
6-May-10
6-Aug-10
8-Nov-10
7-Feb-11
6-May-11
8-Aug-11
7-Nov-11
6-Feb-12
7-May-12
6-Aug-12
6-Nov-12
6-Feb-13

1
0.992199
0.984582
0.977757
0.971397
0.965383
0.959112
0.952586
0.945458
0.938249
0.930114
0.921421
0.912764
0.904277
0.895080
0.886033
0.876830
0.867460
0.857939
0.848181
0.838308

Act/360

NPA (m)
margin

0.250
0.256
0.256
0.256
0.247
0.256
0.256
0.261
0.242
0.256
0.261
0.253
0.244
0.261
0.253
0.253
0.253
0.253
0.256
0.256

100
100
100
100
80
80
80
80
60
60
60
60
40
40
40
40
20
20
20
20

-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

Floating side
Implied forwards
[1]

Cashflows
[2]

Fixed

3.1450%
3.0272%
2.7312%
2.5621%
2.5198%
2.5585%
2.6810%
2.8874%
3.1792%
3.4222%
3.6134%
3.7520%
3.8394%
3.9350%
4.0394%
4.1522%
4.2734%
4.3900%
4.5018%
4.6088%

-786,250
-773,626
-697,983
-654,754
-498,351
-523,070
-548,122
-603,136
-460,989
-524,737
-566,107
-569,048
-375,408
-410,993
-408,427
-419,832
-216,046
-221,938
-230,091
-235,559
Discounted Value =

Net
cashflow

[3]

3,262,256

2,616,936

1,946,658

1,297,772

652,451

-786,250
-773,626
-697,983
2,607,502
-498,351
-523,070
-548,122
2,013,799
-460,989
-524,737
-566,107
1,377,610
-375,408
-410,993
-408,427
877,940
-216,046
-221,938
-230,091
416,892
0

4.10: Pricing a non-generic swap using Hedging Swaps

Today's date

4-Feb-08

Pay side of swap

Maturity
Notional principal

Rate

Generic swap rates

6 mo. Libor +

Receive side of swap

Maturity
Notional Principal
Rate
6 mo. Libor +

Interpolated
dates

DF's

6-Feb-08
6-Aug-08
6-Feb-09
6-Aug-09
8-Feb-10
6-Aug-10
7-Feb-11
8-Aug-11
6-Feb-12
6-Aug-12
6-Feb-13
6-Aug-13
6-Feb-14

1
0.984582
0.971397
0.959112
0.945458
0.930114
0.912764
0.895080
0.876830
0.857939
0.838308
0.818623
0.798542

5 years
year 1
40 million
year 2
85 million
year 3
120 million
year 4
80 million
year 5
50 million
70 bp

1 yr
2 yr
3 yr
4 yr
5 yr
6 yr

2.8963%
2.7950%
3.0350%
3.2750%
3.5050%
3.7150%

6 years
65 million
39.91 bp

NPA on
Pay Side

Margin
Cashflow
on Pay Side

[1]
0.506
0.511
0.503
0.517
0.497
0.514
0.506
0.506
0.506
0.511
0.503
0.511

40
40
85
85
120
120
80
80
50
50

-0.1416
-0.1431
-0.2992
-0.3074
-0.4177
-0.4317
-0.2831
-0.2831
-0.1769
-0.1789

maturity
rate
NPA
Pay/Receive?

Hedging swaps to replace Pay side of Swap

1 yr
2 yr
3 yr
4 yr
2.8963%
2.7950%
3.0350%
3.2750%
45
35
40
30
Receive
Receive
Pay
Pay
[2]
[3]
[4]
[5]

1.3250

5 yr
3.5050%
50
Pay
[6]

0.9946

-1.2342

-0.9989

-1.7817

0.9973

-1.2376

-1.0016

-1.7866

-1.2275

-0.9934

-1.7720

-0.9934

-1.7720
-1.7817

Margin
Cashflow on
Receive Side

[7]
0.1312
0.1326
0.1304
0.1340
0.1290
0.1333
0.1312
0.1312
0.1312
0.1326
0.1304
0.1326
Discounted Value =

Hedging swap
to replace
Receive
side of swap
6yr
3.7150%
65
Receive
[8]

2.4550
2.4617
2.4416
2.4416
2.4550
2.4483

Net
cashflows

[9]
-0.0104
0.7493
-0.1687
-0.7402
-0.2887
-1.8496
-0.1520
-0.4758
-0.0458
0.6270
0.1304
2.5809
0.0000

4.11: Pricing a non-generic swap using Notional Principal Amounts

Today's date

4-Feb-08

Pay side of swap

Maturity
Notional principal

Rate

6 mo. Libor +

Receive side of swap

Maturity
Notional Principal
Rate
6 mo. Libor +

Interpolated
dates

DF's

6-Feb-08
6-Aug-08
6-Feb-09
6-Aug-09
8-Feb-10
6-Aug-10
7-Feb-11
8-Aug-11
6-Feb-12
6-Aug-12
6-Feb-13
6-Aug-13
6-Feb-14

1
0.984582
0.971397
0.959112
0.945458
0.930114
0.912764
0.895080
0.876830
0.857939
0.838308
0.818623
0.798542

5 years
year 1
year 2
year 3
year 4
year 5
70 bp

40
85
120
80
50

million
million
million
million
million

6 years
65 million
39.91 bp

NPA on
Pay Side

NPA to
replace Libor
on Pay side
[1]

Margin
Cashflow
on Pay Side
[2]

[3]

-40
0.506
0.511
0.503
0.517
0.497
0.514
0.506
0.506
0.506
0.511
0.503
0.511

40
40
85
85
120
120
80
80
50
50

-45
-35
40
30
50

NPA to
replace Libor
on Receive side

Margin
Cashflow on
Receive Side

Net
cashflows

[4]
65

-0.1416
-0.1431
-0.2992
-0.3074
-0.4177
-0.4317
-0.2831
-0.2831
-0.1769
-0.1789
-65
Discounted Value =

0.1312
0.1326
0.1304
0.1340
0.1290
0.1333
0.1312
0.1312
0.1312
0.1326
0.1304
0.1326

25.0000
-0.0104
-45.0105
-0.1687
-35.1734
-0.2887
39.7016
-0.1520
29.8480
-0.0458
49.9537
0.1304
-64.8674
0.0000

4.12: Pricing a non-generic swap using Implied Forwards

Today's date

4-Feb-08

Pay side of swap

Maturity
Notional principal

Rate

6 mo. Libor +

Receive side of swap

Maturity
Notional Principal
Rate
6 mo. Libor +

Interpolated
dates

DF's

6-Feb-08
6-Aug-08
6-Feb-09
6-Aug-09
8-Feb-10
6-Aug-10
7-Feb-11
8-Aug-11
6-Feb-12
6-Aug-12
6-Feb-13
6-Aug-13
6-Feb-14

1
0.984582
0.971397
0.959112
0.945458
0.930114
0.912764
0.895080
0.876830
0.857939
0.838308
0.818623
0.798542

5 years
year 1
year 2
year 3
year 4
year 5
70 bp

40
85
120
80
50

million
million
million
million
million

6 years
65 million
39.91 bp

Implied NPA on
forward Pay Side
rates

Libor
Cashflow
on Pay Side
[1]

0.506
0.511
0.503
0.517
0.497
0.514
0.506
0.506
0.506
0.511
0.503
0.511

3.0975%
2.6556%
2.5475%
2.7953%
3.3176%
3.6990%
3.9079%
4.1170%
4.3554%
4.5818%
4.7827%
4.9200%

40
40
85
85
120
120
80
80
50
50

-0.6264
-0.5429
-1.0887
-1.2276
-1.9795
-2.2810
-1.5805
-1.6651
-1.1010
-1.1709

Margin
Cashflow
on Pay Side
[2]
-0.1416
-0.1431
-0.2992
-0.3074
-0.4177
-0.4317
-0.2831
-0.2831
-0.1769
-0.1789

Libor
Cashflow
on Receive side
[3]

Margin
Cashflow on
Receive Side

Net
Cashflows

[4]
1.0179
0.8822
0.8326
0.9388
1.0722
1.2356
1.2842
1.3529
1.4312
1.5222
1.5630
1.6345

Discounted Value =

0.1312
0.1326
0.1304
0.1340
0.1290
0.1333
0.1312
0.1312
0.1312
0.1326
0.1304
0.1326

0.3811
0.3288
-0.4249
-0.4622
-1.1960
-1.3438
-0.4483
-0.4642
0.2845
0.3050
1.6934
1.7671
0.0000

4.13: Pricing a non-generic swap using Implied Forwards and forward valuing
Today's date

4-Feb-08

Rate

Accumulated Cash

2.0000

Pay side of swap

Maturity
Notional principal

6 mo. Libor +

Receive side of swap

Maturity
Notional Principal
Rate
6 mo. Libor +

5 years
year 1
year 2
year 3
year 4
year 5
70 bp

40
85
120
80
50

Deposit margin:
Borrowing margin:

million
million
million
million
million

6mo. Libor
6mo. Libor

-25 bp's
50 bp's

1.8000
1.6000
1.4000
1.2000
1.0000
0.8000

6 years
65 million
39.91 bp

0.6000
New margin =>

0.4000

41.16 bp

0.2000

0
0.5
1
1.5
2
2.5
3
3.5
4
4.5
5
5.5
6

Interpolated
dates

DF's

6-Feb-08
6-Aug-08
6-Feb-09
6-Aug-09
8-Feb-10
6-Aug-10
7-Feb-11
8-Aug-11
6-Feb-12
6-Aug-12
6-Feb-13
6-Aug-13
6-Feb-14

1
0.984582
0.971397
0.959112
0.945458
0.930114
0.912764
0.895080
0.876830
0.857939
0.838308
0.818623
0.798542

Implied NPA on
forward Pay Side
rates

0.506
0.511
0.503
0.517
0.497
0.514
0.506
0.506
0.506
0.511
0.503
0.511

3.0975%
2.6556%
2.5475%
2.7953%
3.3176%
3.6990%
3.9079%
4.1170%
4.3554%
4.5818%
4.7827%
4.9200%

40
40
85
85
120
120
80
80
50
50

Libor
Cashflow
on Pay Side

Libor
Cashflow
on Receive side

Accumulative
cashflows
reinvested
at Libor
[3]

Libor
Cashflow
on Receive side
at new margin
[4]

Accumulative
cashflows
reinvested
at margin
[5]

-0.7679
-0.6860
-1.3879
-1.5350
-2.3972
-2.7127
-1.8636
-1.9482
-1.2779
-1.3498

1.1490
1.0148
0.9630
1.0728
1.2012
1.3689
1.4153
1.4840
1.5624
1.6548
1.6934
1.7671

0.3811
0.7151
0.2993
-0.1586
-1.3571
-2.7268
-3.2289
-3.7603
-3.5586
-3.3370
-1.7238
0.0000

1.1531
1.0190
0.9671
1.0770
1.2053
1.3731
1.4194
1.4882
1.5665
1.6589
1.6975
1.7713

0.3852
0.7229
0.3105
-0.1435
-1.3381
-2.7066
-3.2112
-3.7462
-3.5495
-3.3326
-1.7235
0.0000

0.0000

Years

4.14: New Market data for Valuations

Today's date:

4-Mar-08
Z-C rates

0.000
0.256
0.517
0.769
1.014
1.275
1.528
1.781
2.033
2.286
2.539
2.792
3.044
3.297
3.553
3.806
4.058
4.314
4.569
4.822
5.072
5.328
5.583
5.836
6.086
6.342
6.603
6.856
7.100
7.361
7.614
7.867
8.119
8.372
8.628
8.881
9.131
9.386
9.642
9.894
10.144
10.400
10.656
10.908
11.158
11.414
11.669

4.672%
4.672%
4.725%
4.804%
4.849%
4.852%
4.839%
4.824%
4.812%
4.808%
4.807%
4.808%
4.810%
4.812%
4.814%
4.817%
4.823%
4.831%
4.840%
4.849%
4.856%
4.862%
4.868%
4.873%
4.878%
4.885%
4.891%
4.897%
4.902%
4.905%
4.908%
4.911%
4.915%
4.920%
4.926%
4.933%
4.939%
4.946%
4.952%
4.959%
4.965%
4.970%
4.976%
4.982%
4.987%
4.993%
4.998%

0.000000
0.002025
0.003122
0.001868
0.000090
-0.000500
-0.000605
-0.000461
-0.000180
-0.000024
0.000051
0.000072
0.000056
0.000081
0.000139
0.000218
0.000313
0.000353
0.000349
0.000311
0.000243
0.000208
0.000201
0.000216
0.000249
0.000251
0.000232
0.000193
0.000131
0.000108
0.000115
0.000149
0.000206
0.000243
0.000264
0.000269
0.000259
0.000251
0.000244
0.000238
0.000231
0.000226
0.000221
0.000216
0.000210
0.000205
0.000201

11.922
12.175
12.436
12.689
12.942
13.194
13.447
13.700
13.953
14.206
14.458
14.714
14.967
15.217
15.472
15.728
15.981
16.233
16.489
16.744
16.997
17.247
17.503
17.764
18.017
18.261
18.522
18.775
19.028
19.281
19.533
19.786
20.039
20.292
20.547
20.803
21.056
21.306
21.561
21.817
22.069
22.319
22.575
22.831
23.083
23.333
23.589
23.850
24.103
24.356
24.608
24.861
25.114
25.367

5.003%
5.008%
5.013%
5.018%
5.022%
5.027%
5.031%
5.036%
5.040%
5.044%
5.048%
5.052%
5.056%
5.059%
5.063%
5.066%
5.070%
5.073%
5.076%
5.079%
5.082%
5.085%
5.088%
5.091%
5.093%
5.096%
5.098%
5.100%
5.103%
5.105%
5.107%
5.109%
5.111%
5.112%
5.114%
5.116%
5.117%
5.119%
5.120%
5.122%
5.123%
5.124%
5.125%
5.126%
5.127%
5.128%
5.129%
5.130%
5.130%
5.131%
5.131%
5.132%
5.132%
5.132%

0.000197
0.000192
0.000188
0.000184
0.000180
0.000175
0.000171
0.000167
0.000162
0.000158
0.000154
0.000150
0.000146
0.000141
0.000137
0.000133
0.000129
0.000124
0.000120
0.000117
0.000113
0.000109
0.000105
0.000102
0.000099
0.000094
0.000091
0.000088
0.000085
0.000081
0.000078
0.000075
0.000072
0.000068
0.000065
0.000062
0.000059
0.000056
0.000053
0.000050
0.000047
0.000043
0.000040
0.000037
0.000034
0.000031
0.000028
0.000025
0.000022
0.000019
0.000016
0.000013
0.000010
0.000007

25.619
25.875
26.128
26.378
26.633
26.889
27.142
27.392
27.647
27.903
28.156
28.408
28.664
28.925
29.178
29.422
29.683
29.936
30.189
30.442

5.132%
5.132%
5.133%
5.133%
5.132%
5.132%
5.132%
5.132%
5.132%
5.132%
5.131%
5.131%
5.131%
5.130%
5.130%
5.130%
5.129%
5.129%
5.129%
5.128%

0.000004
0.000002
0.000000
-0.000003
-0.000004
-0.000006
-0.000007
-0.000009
-0.000010
-0.000011
-0.000012
-0.000013
-0.000013
-0.000013
-0.000013
-0.000014
-0.000014
-0.000014
-0.000014

4.15: Valuing a non-generic swap using NPA

Today's date

4-Mar-08
Pay side of swap
Maturity
Notional principal

5 years
year 1
year 2
year 3
year 4
year 5
6 mo. Libor +

Rate
Last Libor fixing

3.09750%

Swap valuation:

-762,456 USD

Interpolated
dates

Z-c Day
count

Z-c rates

[1]
6-Feb-08
6-Mar-08
6-Aug-08
6-Feb-09
6-Aug-09
8-Feb-10
6-Aug-10
7-Feb-11
8-Aug-11
6-Feb-12
6-Aug-12
6-Feb-13
6-Aug-13
6-Feb-14

0.425
0.936
1.439
1.956
2.453
2.967
3.472
3.978
4.483
4.994
5.497
6.008

DF's

Day
count

NPA

[2]

4.7063%
4.8349%
4.8436%
4.8158%
4.8073%
4.8096%
4.8130%
4.8209%
4.8366%
4.8539%
4.8660%
4.8766%

1
0.980197
0.955749
0.932679
0.910123
0.888775
0.867027
0.846100
0.825501
0.805057
0.784724
0.765294
0.746020

0.506
0.511
0.503
0.517
0.497
0.514
0.506
0.506
0.506
0.511
0.503
0.511

40
40
85
85
120
120
80
80
50
50

40
85
120
80
50
70

Pay Side
Libor
Cashflow
Replacing
from
Libor with
First Fix
NPA's
[3]
[4]

-0.6264
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor

-40
-45
-35
40
30
50

million
million
million
million
million
bp

Margin
Cashflow

Receive side of swap

Maturity
Notional Principal
Rate
6 mo. Libor +

NPA

[5]

-0.1416
-0.1431
-0.2992
-0.3074
-0.4177
-0.4317
-0.2831
-0.2831
-0.1769
-0.1789

65
65
65
65
65
65
65
65
65
65
65
65

6 years
65 million
39.91 bp

Receive Side
Libor
Cashflow
Replacing
from Libor with
First Fix
NPA's
[6]
[7]

1.0179
+Libor
+Libor
+Libor
+Libor
+Libor
+Libor
+Libor
+Libor
+Libor
+Libor
+Libor

65

-65

Margin
Cashflow

Net
Cashflows

[8]

0.1312
0.1326
0.1304
0.1340
0.1290
0.1333
0.1312
0.1312
0.1312
0.1326
0.1304
0.1326
Value =

25.3811
-45.0105
-0.1687
-35.1734
-0.2887
39.7016
-0.1520
29.8480
-0.0458
49.9537
0.1304
-64.8674
-762,455.65

4.16: Valuing a non-generic swap using Implied Forwards

Today's date

4-Mar-08
Pay side of swap
Maturity
Notional principal

Rate

5 years
year 1
year 2
year 3
year 4
year 5
6 mo. Libor +

Last Libor fixing

3.09750%

Swap valuation:

-762,456 USD

Interpolated
dates

DF's

Day
count

[2]
6-Feb-08
6-Mar-08
6-Aug-08
6-Feb-09
6-Aug-09
8-Feb-10
6-Aug-10
7-Feb-11
8-Aug-11
6-Feb-12
6-Aug-12
6-Feb-13
6-Aug-13
6-Feb-14

1
0.980197
0.955749
0.932679
0.910123
0.888775
0.867027
0.846100
0.825501
0.805057
0.784724
0.765294
0.746020

0.506
0.511
0.503
0.517
0.497
0.514
0.506
0.506
0.506
0.511
0.503
0.511

Implied
Forward
rates
[3]

5.0048%
4.9197%
4.7969%
4.8308%
4.8809%
4.8925%
4.9359%
5.0231%
5.0694%
5.0497%
5.0548%

40
85
120
80
50
70

NPA

40
40
85
85
120
120
80
80
50
50

Receive side of swap

Maturity
Notional Principal
Rate
6 mo. Libor +

million
million
million
million
million
bp

Pay Side
Libor
Cashflow
Implied
from
Libor
First Fix
Cashflows
[4]
[5]

-0.6264
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor
-Libor

-1.0232
-2.1025
-2.1066
-2.8824
-3.0099
-1.9787
-1.9963
-1.2697
-1.2955

Margin
Cashflow

NPA

[6]

-0.1416
-0.1431
-0.2992
-0.3074
-0.4177
-0.4317
-0.2831
-0.2831
-0.1769
-0.1789

65
65
65
65
65
65
65
65
65
65
65
65

6 years
65 million
39.91 bp

Receive Side
Libor
Cashflow
Implied
from
Libor
First Fix Cashflows
[7]
[8]

1.0179
+Libor
+Libor
+Libor
+Libor
+Libor
+Libor
+Libor
+Libor
+Libor
+Libor
+Libor

1.6627
1.6078
1.6110
1.5613
1.6304
1.6077
1.6220
1.6506
1.6842
1.6503
1.6793

Margin
Cashflow

Net
Cashflows

[9]

0.1312
0.1326
0.1304
0.1340
0.1290
0.1333
0.1312
0.1312
0.1312
0.1326
0.1304
0.1326
Value =

0.3811
0.6290
-0.6634
-0.6691
-1.6098
-1.6779
-0.5230
-0.5263
0.3351
0.3424
1.7807
1.8119
-762,455.65