X Y Diff Total gain = 1.

00% Before Swap After Swap

Fixed 7% 7.50% 0.50% to X 0.50% R+1% R+0.5%
Floating R+1% R+0.5% -0.50% To Y 0.50% 7.50% 7%
Requirement Floating Fixed

7% R+0.5% R+0.5%
X Y
7%
After Swap
 X Y
Fixed 7.50% 8.50%
Floating R+1% R+3%
Requirement Fixed Floating

R+1% R+1% 8.50%

X Y
8.50%
Pays R+1% 8.50%
8.50% R+1%
Receives R+1% 8.50%

Net 8.50% R+1%

Before swap 7.50% R+3%
Gain -1% 2%
1%
Payment by Y to X 1% -1%
To cover up the loss

0% 1%
0.50%
Payment by Y to X 0.50% -0.50%
To share the gain

Net Cost 7.00% R+2.5% (R+1%+1%+0.5%)

Net gain 0.50% 0.50%

R+1% R+1%+1%+0.5%= R+2.5% 8.50%

X Y
8.50%

pays R+1% 8.50%

8.50% R+2.5%

receives R+2.5% 8.50%

Net 7% R+2.5%

X Y DIFF
Fixed 7.50% 8.50% 1.00%
Floating R+1% R+3% 2.0%
Requirement Fixed Floating
-1.00%
 3-Feb 1.5
X Y
W/O SWAP 7.50% R+3%
SWAP LOSS 1.50% 1.50%
AFTER SWAP 6.00% R+3.5%

X Y
 X Y X Y
Fixed 8% 9.50% 1.50% W/o R+1.5% 9.50%
Floating R+1.5% R+0.5% -1% After R+0.25% 8.25%
RequirementFloating Fixed 2.50%

8% 8.00% R+0.5%
X Y
R+0.25%

Pays 8% R+0.5%
R+0.25% 8%

Receives 8% R+0.25%

Net R+0.25% 8.25%

Original R+1.5% 9.50%

Swap R+0.25% 8.25%
Gain 1.25% 1.25%

X Y DIFF
Fixed 8% 9.50% 1.50%
Floating R+1.5% R+0.5% -1%
Requirement Floating Fixed
NET GAIN 2.50%
R+0.25%
8%
TO X 1.25% X
TO Y 1.25%
8%

X Y X
W/O SWAPS R+1.5% 9.50% PAYS 8%
SWAP BENEFIT 1.25% 1.25% R+0.25%
AFTER SWAP R+0.25% 8.25% RECIEVES 8%

NET R+0.25%
 R+0.5%
Y

Y
R+0.5%
8%
R+0.25%

8.2500%
 A B Diff
Fixed 12% 10% 2% Fixed
Floating R+3% R+1.5% 1.50% Floating
Requirement Fixed Floating 0.50% Net Requireme
For A 0.25%
For B 0.25%

Without Swap 12% R+1.5%

Swap benefit 0.25% 0.25% TO A
After swap 11.75% R+1.25% TO B

R+3% 10% 10%

A B
R+1.25%

Pays 10% 10%

R+3% R+1.25%

Receives R+1.25% 10%

Net Cost 11.75% R+1.25%

X Y DIFF
Fixed 12% 10% 2%
Floating R+3% R+1.5% 1.5%
Requirement Fixed Floating
NET GAIN 0.5%

X Y
W/O SWAP 12% R+1.5%
NET GAIN 0.25% 0.25%
AFTER SWAP 11.7500% R+1.25%
A B DIFF
12% 10% 2%
R+3% R+1.5% 1.5%
Fixed Floating
TOTAL GAIN 0.50%
A

BEFORE SWAP SWAP BENEFIT AFTER SWAP

12% 0.25% 12%
R+1.5% 0.25% R+1.25%

R+3% 11.7500% 10%

X Y

R+3%
B
 P Q Diff
Fixed 14% 16% 2%
Floating R+2% R+2.5% 0.50%
Requirement Floating Fixed 1.50% 0.75% Benefit for P
0.75% Benefit for Q

Before swap cost R+2% 16%

Benefit 0.75% 0.75%
After swap cost R+1.25% 15.25%

14% R+1.25% R+2.5%

P Q
14%
OR

14% R+2.5% R+2.5%

P Q
15.25%

P Q DIFF
Fixed 14% 16% 2% FOR P 0.75
Floating R+2% R+2.5% 0.50% FOR Q 0.75
Requirement Floating Fixed 1.500%

14%
P Q P
W/O SWAP R+2% 16%
SWAP BENEFIT 0.75 0.0075
AFTER SWAP R+1.25% 15.25%

14% R+1.25% R+2.5%

P Q

14%
P Q

PAYS 14% R+2.5%

R+1.25% 14%
RECIEVES 14% R+1.25%

NET R+1.25% -15.25%

R+2.5% R+2.5%
Q

15.25%
 X Y Diff
Fixed 8% 11% 3%
Floating R+2% R+1% -1%
4% 0.50% Dealer
Dealer margin is 0.5% 1.75% Benefit to X
1.75% Benefit to Y

Before Swap R+2% 11%

Benefit 1.75% 1.75%
After Swap R+0.25% 9.25%

8% R+0.25% R+1% R+1%

X Dealer Y
8% 9.25%

pays R+0.25% R+1% R+1%

8% 8% 9.25%

Receives 8% 9.25% R+1%

R+0.25%

Net R+0.25% 0.50% 9.25%

Pays Receives Pays

X Y DIFF
Fixed 8% 11% 3%
Floating R+2% R+1% -1%
Floating Fixed
Dealer margin is 0.5% 4%
3.500%
1.75% 1.75% R+0.25%
8%
X Y X
W/O GAIN R+2% 11%
SWAP B 1.75% 1.75% 8%
AFTER R+0.25% 9.2500%
 R+1% R+1%
D Y

9.2500%
 A B Diff
Fixed 10% 12% 2%
Floating R+1% R+1.75% 0.75%
1.25% 0.25% Dealer
Dealer margin= 0.25% 0.50% Banefit to A
0.50% Benefit to B

Before Swap R+1% 12%

After swap R+0.5% 11.50%

10% R+0.5% R+1.75% R+1.75%

A Dealer B
10% 11.50%

A B DIFF
Fixed 10% 12% 2%
Floating R+1% R+1.75% 0.75%
Floating Fixed
Dealer margin= 0.25%
1.2500%
1.0000%

0.50% 0.50%
10% R+0.5%
A B A
W/O SWAPS R+1% 12%
SWAP BENEFIT 0.50% 0.50% 10%
AFTER SWAPS R+0.5% 11.500%
 R+1.75%
R+1.75%
D B

11.500%
 A B DIFF
FIXED RATE 5% 6.40% 1.40%
FLOATING RATE R+0.1% R+0.6% 0.50%
REQUIRED FLOATING FIXED
0.90%
NET BANK 0.10%
0.80%
0.40% 0.40% 5%
A
A B
W/O SWAPS R+0.1% 6.40%
SWAP BENEFITS 0.40% 0.40%
AFTER SWAPS R-0.30% 6.00%

A B DIFF
FIXRD 6% 8% 2%
FLOATING R+1% R+1.5% 0.50%
FLOATING FIXED 6%
1.500% A

A B
W/0 SWAPS R+1% 8%
SWAP BENEFIT 0.75% 0.75%
AFTER SWAPS R+0.25% 7.25%

A B
PAYS 6% R+1.5%
R+0.25% 6%
RECEIVES 6% R+0.25%

NET GAIN R+0.25% 7.2500%

A B DIF
FIXED 8% 8.80% 0.80%
FLOATING R R 0%
FIXED FLOAT
0.80%
NET BANK 0.20% A
0.60% R

A B NB
W/O SWAPS 8% R
SWAP BENEFIT 0.30% 0.30%
AFTER SWAPS 7.700% R-0.3%
 A
PAYS R
7.700%
RECIEVES R

NET 7.700%
R-0.30%
R+0.6% R+0.6%
NB B

5% 6.00%

R+0.25% R+1.5%
B

6%

8.80% 8.80%
7.700%
NB B

R R-0.3%
B NB
8.80% 8.80%
R-0.3% R
8.80% 7.700%
R-0.3%
R-0.3% 1.40%

0.300%