Professional Documents
Culture Documents
Swaps
And
Currency Swaps
Meaning of Financial
Swaps
A swap is an contractual agreement to
exchange cash flows at specified future times
according to certain specified rules (between
two parties)
Notional Principal- $40 million.
Fixed rate day count method is 30/360 day basis.
Floating rate is Six- Month LIBOR, determined on a 30/360 day basis.
Swaps origination: July 20, 1999.
Swaps termination: July 20, 2000.
First payment: January 20, 2000
Semiannual payments will be made on each July 20 and January 20.
7% fixed rate
A
B
6 month LIBOR
24
Periodic Annual Interest Payments
• ¥ 2080Mn. @ 1% fixed
A B
int.
•
•
• $ 20 Mn.@ 6m
LIBOR