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    (1,850) Effectiveness: Δ Fair Value

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    jorgecasmen
    1. The document shows the expected cash flows from an interest rate swap agreement between two parties over several dates from 2003 to 2005. 2. It includes details on interest payments received and paid, principal payments, and the net cash flow on each date from both the fixed rate payer and receiver perspectives. 3. The fair values and effectiveness of the swap are also presented, showing the swap was 155% effective at hedging interest rate risk.

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    (1,850) Effectiveness: Δ Fair Value

    Uploaded by

    jorgecasmen
    8 views8 pages
    1. The document shows the expected cash flows from an interest rate swap agreement between two parties over several dates from 2003 to 2005. 2. It includes details on interest payments received and paid, principal payments, and the net cash flow on each date from both the fixed rate payer and receiver perspectives. 3. The fair values and effectiveness of the swap are also presented, showing the swap was 155% effective at hedging interest rate risk.

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    Bodurtha 2005 v0.1

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    1. The document shows the expected cash flows from an interest rate swap agreement between two parties over several dates from 2003 to 2005. 2. It includes details on interest payments received and paid, principal payments, and the net cash flow on each date from both the fixed rate payer and receiver perspectives. 3. The fair values and effectiveness of the swap are also presented, showing the swap was 155% effective at hedging interest rate risk.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xlsx, pdf, or txt
    8 views8 pages

    (1,850) Effectiveness: Δ Fair Value

    Uploaded by

    jorgecasmen
    1. The document shows the expected cash flows from an interest rate swap agreement between two parties over several dates from 2003 to 2005. 2. It includes details on interest payments received and paid, principal payments, and the net cash flow on each date from both the fixed rate payer and receiver perspectives. 3. The fair values and effectiveness of the swap are also presented, showing the swap was 155% effective at hedging interest rate risk.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
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    of 8

    9/30/2003 6.63 Coupon Principal 6.

    03 Pay Fixed
    Forward
    10/31/2003 6.63 Coupon Principal
    Expected Cash Interest Swap Forward &
    Flow Date Receipt Payment Net Cash Flow Rates Rates Interest Receipt
    11/17/2003 34,339 207,176 (24,542) 1.250% 1.134% 241,515
    5/17/2004 27,471 207,176 (20,170) 1.149% 1.227% 234,647
    11/15/2004 20,604 207,176 (14,359) 1.394% 1.731% 227,779
    5/16/2005 13,736 207,176 (8,145) 2.075% 2.566% 220,911
    11/15/2005 6,868 207,176 (3,258) 2.838% 3.301% 214,043
    Gross Fair Value 1,119,976 (69,761) 1,118,126
    Δ Fair Value (1,850)
    Effectiveness
    6.03 Pay Fixed
    Swap
    Net Cash Flow
    (24,542)
    (19,844)
    (13,299)
    (7,118)
    (2,770)
    (66,902)
    2,860
    -155%
    31.10.2003
    cupón Pay cupón
    30.09.2003 6.630% 6.030% 6.630%

    Fixed Swap Principal &


    Expected Cash Flow Principal Interest Forward
    Días Saldo Net Cash Interest
    Date Payment Receipt Rates
    Flow Receipt
    15.05.2003 1,035,878
    17.11.2003 186 207,176 828,702 34,339 1.25% - 24,542 241,515
    17.05.2004 182 207,176 621,527 27,471 1.15% - 20,172 234,647
    15.11.2004 182 207,176 414,351 20,604 1.39% - 14,359 227,779
    16.05.2005 182 207,176 207,176 13,736 2.08% - 8,146 220,911
    15.11.2005 183 207,176 - 6,868 2.84% - 3,258 214,043
    Gross Fair Value 1,119,976 - 69,761 1,118,126
    Δ Fair Value - 1,850.00
    Effectiveness #NAME?

    30.09.2003 6.63 Coupon 6.03 Pay 6.63 Coupon


    Fixed Swap Principal &
    Expected Cash Flow Principal Interest Forward
    Net Cash Interest
    Date Payment Receipt Rates
    Flow Receipt
    30.09.2003 1,035,878
    17.11.2003 207,176 828,702 34,339 1.25% - 24,542 24,542
    17.05.2004 207,176 621,527 27,471 1.15% - 20,170 19,844
    15.11.2004 207,176 414,351 20,604 1.39% - 14,359 13,299
    16.05.2005 207,176 207,176 13,736 2.08% - 8,145 7,118
    15.11.2005 207,176 - 6,868 2.84% - 3,258 2,770
    Gross Fair Value 69,761 - 69,761 66,902
    Δ Fair Value - 2,859.00
    Effectiveness
    Pay
    6.030%

    Fixed Swap
    Forward
    Net Cash Saldo
    Rates
    Flow
    1,035,878 207175.6
    1.13% - 25,163 828,702 0.022% 241,515 -
    1.23% - 19,845 621,527 0.024% 234,647 0
    1.73% - 13,300 414,351 0.027% 227,779 0
    2.57% - 7,117 207,176 0.036% 220,911 0
    3.30% - 2,770 - 214,043 0
    - 66,902
    2,859.00
    -155%

    10/31/2003 6.03 Pay


    Fixed Swap
    Forward Net Cash
    Rates Flow

    1.13% - 24,542 24,542 9,797.356


    1.23% - 19,844 20,170 7,301.485
    1.73% - 13,299 14,359 6,244.613
    2.57% - 7,118 8,145 5,590.742
    3.30% - 2,770 3,258 3,609.871
    - 66,902
    2,859.00
    -100%
    794,363
    594,055
    393,748
    193,440
    - 6,868

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