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  • Underlying Mark Up DV01 Implicit Cost Hedging Cost MTM Iniziale Implicit Cost by Line

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    Vesa Zeqiraj
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    The document appears to be a table containing information about interest rate hedging for various banks. It includes details such as underlying costs, markups, changes in value from shifts in interest rates, and total hedging costs for different lines for each bank. It also rates the banks and indicates whether they have an investment grade rating.

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    The document appears to be a table containing information about interest rate hedging for various banks. It includes details such as underlying costs, markups, changes in value from shifts in interest rates, and total hedging costs for different lines for each bank. It also rates the banks and indicates whether they have an investment grade rating.

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    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    4 views5 pages

    Underlying Mark Up DV01 Implicit Cost Hedging Cost MTM Iniziale Implicit Cost by Line

    Uploaded by

    Vesa Zeqiraj
    The document appears to be a table containing information about interest rate hedging for various banks. It includes details such as underlying costs, markups, changes in value from shifts in interest rates, and total hedging costs for different lines for each bank. It also rates the banks and indicates whether they have an investment grade rating.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 5

    Hedging MTM Implicit cost

    Underlying Mark up DV01 Implicit cost


    cost iniziale by line
    basis point running euro euro
    Line A 2.0 5.0 7.0
    Banco BPM
    Line B 2.0 8.5 10.5 1,650.13
    Intesa San Line A 1.5 7.0 8.5 -
    Paolo Line B 1.5 8.5 10.0 1,650.13
    Line A 2.0 7.5 9.5 -
    BNL
    Line B 2.0 9.0 11.0 1,650.13
    Line A 2.5 7.0 9.5 -
    Lending Bank
    Line B 2.0 6.0 8.0 1,650.13
    Unwinding
    Unwinding Total
    cost
    b.p. running euro euro
    2.0
    0.0
    2.0
    2.0
    0.0
    2.0
    2.0
    0.0
    2.0
    2.0
    0.0
    2.0
    Rating Rating Rating Rating Invitation to if at least an Invite
    S&P Moody's Fitch DBRS investment grade rating YES/NOT

    MPS
    Banco BPM
    Intesa San Paolo
    BNL
    Lending Bank Investment Grade Rating YES YES
    Hedging cost Mark up
    basis point running
    Bank Underlying A B
    Line A
    Line B
    Initial MTM Unwind
    point running basis point running
    A+B

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