Scribd Logo
Upload

Welcome to Scribd!

  • 19 views

    Currency Swaps: 180 Days Per Period

    Uploaded by

    Angelica Mae
    1. The document provides examples of currency swaps, interest rate swaps, and equity swaps involving the exchange of principal and interest payments in different currencies and under floating and fixed rates. 2. An example interest rate swap is described where a party pays annual fixed interest of 7% on a 70 million EUR notional and receives floating interest of 6.25% calculated quarterly. 3. Equity swaps are also explained through examples where payments are based on the performance of a mutual fund compared to a fixed rate or another fund.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content

    You might also like

    Currency Swaps: 180 Days Per Period

    Uploaded by

    Angelica Mae
    19 views6 pages
    1. The document provides examples of currency swaps, interest rate swaps, and equity swaps involving the exchange of principal and interest payments in different currencies and under floating and fixed rates. 2. An example interest rate swap is described where a party pays annual fixed interest of 7% on a 70 million EUR notional and receives floating interest of 6.25% calculated quarterly. 3. Equity swaps are also explained through examples where payments are based on the performance of a mutual fund compared to a fixed rate or another fund.

    Original Description:

    Original Title

    MGAC-Swaps.xlsx

    Copyright

    © © All Rights Reserved

    Available Formats

    XLSX, PDF, TXT or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    Report this Document
    1. The document provides examples of currency swaps, interest rate swaps, and equity swaps involving the exchange of principal and interest payments in different currencies and under floating and fixed rates. 2. An example interest rate swap is described where a party pays annual fixed interest of 7% on a 70 million EUR notional and receives floating interest of 6.25% calculated quarterly. 3. Equity swaps are also explained through examples where payments are based on the performance of a mutual fund compared to a fixed rate or another fund.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xlsx, pdf, or txt
    19 views6 pages

    Currency Swaps: 180 Days Per Period

    Uploaded by

    Angelica Mae
    1. The document provides examples of currency swaps, interest rate swaps, and equity swaps involving the exchange of principal and interest payments in different currencies and under floating and fixed rates. 2. An example interest rate swap is described where a party pays annual fixed interest of 7% on a 70 million EUR notional and receives floating interest of 6.25% calculated quarterly. 3. Equity swaps are also explained through examples where payments are based on the performance of a mutual fund compared to a fixed rate or another fund.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xlsx, pdf, or txt
    of 6

    Currency Swaps

    F F
    F Fl
    Fl F
    Fl Fl

    Example
    1 year
    Quarterly payments
    1 month 30 days Fixed
    USD 16000000 5.60%
    GBP 10000000 6.25%
    1 GBP 1.6 USD
    Interest payment
    in USD 220931.5068
    in GBP 154109.589

    Interest rate swap


    Plain vanilla F;Fl
    NP 70000000 EUR
    Annual payments
    Fixed 7% 180 days per 365
    Floating 6.25% period 360

    Fixed 2416438.356
    Floating 2187500
    Net interest 228938.3562 Fixed

    Equity Swap

    NP 100000000
    Example 1
    Mutual fund Small cap 1805.2 1796.15 0.994987 -0.501%
    Dealer 6.75% Fixed rate 182 365 3.366%

    Mutual fund -501329.493


    Dealer 3365753.42
    Net 3867082.92 Dealer

    Example 2
    Mutual fund Small cap 1805.2 1796.15 0.994987 -0.5013%
    Dealer Large cap 1155.14 1148.91 0.994607 -0.5393%

    Mutual fund -501329.493


    Dealer -539328.566
    Net -37999.0737 Dealer receives
    Example 3
    Plain Vanilla
    NP 30000000
    1 year swap Fixed USD
    90 3.45% 0.99144875
    180 3.58% 0.98241478
    270 3.70% 0.97299927
    360 3.75% 0.96385542 longest
    3.91071822 X = 1- 0.963855 Find X
    3.91071822 X = 0.036145
    X = 0.009242 4
    = 3.6970% Annualized

    Floating USD
    90 3.45% 0.008625

    Fixed 277273
    Floating 258750
    Net Payment 18523 Pay:Fixed

    @ Day 60 USD
    30 4.25% 0.99647083
    120 4.32% 0.98580442
    210 4.37% 0.97514201
    300 4.44% 0.96432015
    3.92173741
    Value of all fixed payment 1.00056658 30016997.3

    30 4.25% 0.00354167
    Value of all float payment 1.00506539 30151961.8
    -134964.499

    Example 4
    Currency
    1 CHF 0.8 USD
    NP 30000000 USD
    37500000 CHF

    Fixed CHF
    90 5.20% 0.98716683
    180 5.40% 0.97370983
    270 5.55% 0.9600384
    360 5.70% 0.94607379
    3.86698886 0.013945271
    5.578108%

    Floating CHF
    90 5.20% 0.013

    Fixed CHF
    @ Day 60
    30 6% 0.99502488
    120 6.15% 0.97991181
    210 6.35% 0.96428141
    300 6.53% 0.94839169
    3.88760978 1.002605456 37597704.61

    Floating CHF
    30 6% 0.005 1.00796020 37798507.46
    -200802.852

    What if:
    Fixed USD 3.69698% 277273.1984
    Fixed CHF 5.57811% 522947.6492
    -245674.451

    @ Day 60
    1 CHF 0.82 USD in USD
    Fixed USD 1.00056658 30016997.3 30016997.3
    Fixed CHF 1.00260546 37597704.61 30830117.78
    -813120.478 Gain:CHF

    1 CHF 0.82 USD in USD


    Floating USD 1.00506539 30151961.8 30151961.8
    Floating CHF 1.00796020 37798507.46 30994776.12
    -842814.317 Gain:CHF

    Fixed USD 1.00056658 30016997.3 30016997.3


    Floating CHF 1.0079602 37798507.46 30994776.12
    -977778.816 Gain:CHF

    Floating USD 1.00506539 30151961.8 30151961.8


    Fixed CHF 1.00260546 37597704.61 30830117.78
    -678155.979 Gain:CHF

    Equity Swap vs. Fixed/Float


    NP 30000000 USD
    Index 1405.72 1436.59 1.021960277
    Fixed:USD 1.000566577
    0.0213937
    641810.9944

    Index 1405.72 1436.59 1.021960277


    Float:USD 1.005065393
    0.016894883
    506846.4956

    Example
    Semiannual USD
    NP 15000000 USD
    180 7.20% 0.96525097
    360 8% 0.92592593
    1.89117689
    0.03916824
    Fixed rate 7.833648%

    Floating 7.20% 0.036

    @ Day 90
    90 7.10% 0.98255957
    270 7.40% 0.94741829
    1.92997785
    Fixed 1.02301212 15345181.87

    Floating 7.10% 0.01775


    1.01793171 15268975.68
    76206.18888
    Semiannual EUR
    1 EUR 0.75 USD
    NP 20000000 EUR

    180 6% 0.97087379
    360 6.60% 0.9380863
    1.90896009
    0.03243321
    Fixed rate 6.486641%

    Floating 6% 0.03

    @ Day 90
    1 EUR 0.7 USD
    90 5.50% 0.9864365
    270 6% 0.9569378
    1.9433743
    Fixed 1.01996766 20399353.16

    Floating 5.50% 0.01375


    1.01602959 20320591.86
    Gain 78761.30144 EUR

    USD EUR
    Fixed 1.023012125 1.01996766
    Float 1.017931712 1.01602959
    Notional P 15000000 20000000
    Exchange rate 0.7 1

    Fixed USD 1.02301212 15345181.87


    Fixed EUR 1.01996766 14279547.21
    1065634.656 Gain:USD

    Fixed USD 1.02301212 15345181.87


    Float EUR 1.01602959 14224414.3
    1120767.567 Gain:USD

    Float USD 1.01793171 15268975.68


    Fixed EUR 1.01996766 14279547.21
    989428.4673 Gain:USD

    Float USD 1.01793171 15268975.68


    Float EUR 1.01602959 14224414.3
    1044561.378 Gain:USD

    Example
    Semiannual LONGCUT
    Terms Forward rate Periodic PV
    180 9% 0.045 0.043062201
    360 9.50% 0.0475 0.043393361
    0.086455562

    0.086455562 = X (1.045)^-1 + (1.045*1.0475)^-1


    0.046221
    Fixed rate 9.24420% Annualized

    Example
    Semiannual LONGCUT
    Terms Spot rate Periodic PV
    180 7.20% 0.036 0.036 0.034749035
    360 8% 0.08 0.042 0.039325039
    0.074074074
    0.039168242
    7.8336484%
    1 year swap Longcut Spot rate Forward PV
    90 3.45% 0.008625 0.008625 0.008551
    180 3.58% 0.0179 0.009196 0.009034
    270 3.70% 0.02775 0.009677 0.009416
    360 3.75% 0.0375 0.009487 0.009144
    0.036145
    0.009242
    3.6970%

    You might also like