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Currency Swaps: 180 Days Per Period

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.

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Angelica Mae
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40 views6 pages

Currency Swaps: 180 Days Per Period

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.

Uploaded by

Angelica Mae
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLSX, PDF, TXT or read online on Scribd
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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%

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