ch 9 cross currency

7/25/2019 Ch 9 Cross Currency

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Worksheet Title

9.1 USD market data

9.2 Yen market data

9.3 Worksheet to estimate Yen-USD forward rates

9.4 Example of priin! a ross-"rren# $asis swa

9.% Deri&in! D'(s from a !eneri swap "r&e pl"s

9.+ )reatin! a s#ntheti forei!n asset, Swappin! a

9. Swappin! a S $ond into USD /i$or9.0 riin! a % #ear Yen-USD diff swap

9.9 riin! a % #ear Yen-USD "anto diff swap

9.1 riin! a USD-Yen /'5, anal#sin! the USD l

9.11 riin! a USD-Yen /'5, anal#sin! the USD l

9.12 riin! a USD-Yen /'5

9.13 8al"ation of a ))*S - sim"lation remo&ed

9.14 8al"ation of a ))*S with sim"lation

9.1% )orrelation matrix - "sed in the Sim"lation

9.1+ e$alanin! the 8al"ation of a ))*S with :er

9.1 e$alanin! the 8al"ation of a ))*S with :er

9.10 e$alanin! the 8al"ation of a ))*S with mar




9.22 Swappin! a re&erse d"al "rren#


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))*S "r&e

SD $ond into floatin! Yen

e! 617

e! 627

mar!in off "nad;"sted "r&es - sim"lation remo&ed

mar!in off "nad;"sted "r&es - "sin! sim"lation

in off "nad;"sted "r&es - sim"lation remo&ed

in off "nad;"sted "r&es - "sin! sim"lation

in off ad;"sted "r&es - sim"lation remo&ed

in off ad;"sted "r&es - "sin! sim"lation

into floatin! USD

atin! USD, al"latin! the $reake&en o"pon rate

)on&exit# - pproah 1

)on&exit# - pproah 2


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9.1: USD market data

Today's date: 4-'e$-0

Settlement 2

ime =- !radient

rates

. 3.21+> .

.19 3.21+> -.+4

.01 3.1> -.2+

.2% 3.133> -.23

.%+ 3.3> -.4+

.+1 2.9%%> -.4

1.1 2.0%4> -.2

1.2+4 2.0> -.1+

1.%19 2.40> -.4

1.% 2.3> .

2.3+ 2.%%> .10

2.20 2.90> .24

2.%33 2.0+> .2+

2.94 2.929> .2+

3.4 2.99%> .2%

3.292 3.%> .24

3.%%3 3.12> .24

3.0+ 3.10> .23

4.%0 3.239> .23

4.311 3.290> .23

4.%+4 3.3%> .23

4.019 3.41> .23

%.% 3.4%> .23

%.322 3.%31> .22

%.%0 3.%00> .21

%.033 3.+43> .2

+.09 3.+9%> .19

+.33+ 3.42> .10

+.%92 3.09> .1+.04 3.033> .1+

.13 3.0%> .1%

.3% 3.913> .1%

.++ 3.9%1> .14

.0+1 3.90> .14

0.122 4.2%> .14

0.3+ 4.+> .14

0.+20 4.90> .14

0.001 4.133> .14

9.133 4.1+> .13

9.30+ 4.2> .12

9.+39 4.231> .12

9.092 4.2+1> .11

1.14 4.29> .11

1.39 4.31> .1

1.+% 4.343> .1

1.9+ 4.3+0> .1

11.1+1 4.393> .9

11.40 4.41+> .9

11.++4 4.439> .9

11.919 4.4+1> .0

12.1% 4.403> .0

12.42% 4.%3> .0

12.+01 4.%24> .0

12.93+ 4.%44> .0

13.19 4.%+4> .

13.439 4.%02> .

13.+94 4.+> .


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9.2: Yen market data

Today's date: 4-'e$-0

Settlement

Spot rate 1+.+1

=-) rates =-) rates

ime Unad;"sted !radient d;"sted !radien

. .%0%> .

.19 .%0%> .94

.01 .+42> .132

.2%3 .0> .19 .2% .0+9>

.%+ .910> .23 .%+ .921>

.+1 .9+> .+ .+1 .90>

1.1 .991> -.1% 1.1 .99+>

1.2+4 .9%%> -.10 1.2+4 .9+2>

1.%19 .90> -.1% 1.%19 .910>

1.% .01> -. 1.% .004>

2.31 .0%3> .2 2.3+ .0+9>

2.20 .0%9> .0 2.20 .0>

2.%33 .00> .1 2.%33 .9>

2.09 .9%> .11 2.94 .929>3.44 .933> .11 3.4 .9%9>

3.292 .9+> .1 3.292 .90>

3.%4 .90+> .1 3.%%3 1.1+>

3.03 1.1> .9 3.0+ 1.43>

4.+4 1.34> .9 4.%0 1.+9>

4.30 1.%%> .9 4.311 1.94>

4.%+9 1.0> .9 4.%+4 1.110>

4.022 1.11> .1 4.019 1.144>

%.% 1.12+> .11 %.% 1.11>

%.320 1.1%3> .11 %.322 1.2>%.%01 1.101> .11 %.%0 1.23>

%.033 1.21> .11 %.033 1.2+1>

+.09 1.230> .11 +.09 1.29>

+.339 1.2+%> .1 +.33+ 1.31>

+.%92 1.29> .1 +.%92 1.344>

+.04 1.31+> .1 +.04 1.31>

.13 1.341> .1 .13 1.39>


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.3% 1.3++> .1 .3% 1.422>

.++ 1.392> .1 .++ 1.440>

.0+1 1.410> .11 .0+1 1.4%>

0.11 1.44%> .11 0.122 1.%4>

0.3+ 1.43> .11 0.3+ 1.%32>

0.+22 1.%2> .11 0.+20 1.%+2>

0.00 1.%32> .11 0.001 1.%92>9.139 1.%+1> .11 9.133 1.+21>

9.301 1.%00> .11 9.30+ 1.+%>

9.+3+ 1.+1%> .1 9.+39 1.+0>

9.09 1.+42> .1 9.092 1.4>

1.1% 1.++> .9 1.14 1.3>

1.394 1.+91> .9 1.39 1.%%>

1.+%+ 1.14> .9 1.+% 1.0>

1.90 1.3> .0 1.9+ 1.01>

11.1+1 1.%0> .0 11.1+1 1.023>

11.414 1.9> .0 11.40 1.043>

11.++ 1.99> .0 11.++4 1.0+4>

11.919 1.02> .0 11.919 1.00%>

12.1% 1.04> .0 12.1% 1.9%>

12.42% 1.0%9> .0 12.42% 1.924>

12.+01 1.09> .0 12.+01 1.944>

12.93+ 1.099> .0 12.93+ 1.9+3>

13.192 1.919> .0 13.19 1.903>

13.439 1.93> . 13.439 2.1>

13.+94 1.9%+> . 13.+94 2.19>13.9% 1.9%> . 13.9%+ 2.30>

14.2+ 1.993> . 14.20 2.%%>

14.4%3 2.1> . 14.4%3 2.2>

14.0 2.2> . 14.14 2.09>

14.9+4 2.44> .+ 14.9+ 2.1%>

1%.22% 2.+1> .+ 1%.219 2.121>

1%.4+ 2.+> .+ 1%.42 2.13+>

1%.22 2.92> .+ 1%.2% 2.1%1>

1%.903 2.1> .+ 1%.90 2.1+%>

1+.23+ 2.122> .+ 1+.233 2.19>1+.409 2.13+> .% 1+.403 2.193>

1+.42 2.1%> .% 1+.39 2.2+>

1+.994 2.1+3> .% 1+.994 2.22>

1.2% 2.1+> .% 1.2% 2.232>

1.% 2.109> .% 1.49 2.24%>

1.%3 2.22> .% 1.%3 2.2%>

10.0 2.214> .% 10.0 2.2+9>


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10.2+4 2.22+> .% 10.2+4 2.201>

10.%11 2.23> .% 10.%11 2.292>

10.+ 2.249> .4 10.+ 2.33>

19.22 2.2+> .4 19.22 2.31%>

19.20 2.21> .4 19.203 2.32+>

19.%2% 2.202> .4 19.%2% 2.33+>

19.01 2.293> .4 19.01 2.34+>2.3+ 2.33> .4 2.42 2.3%>

2.292 2.313> .4 2.294 2.3+>

2.%42 2.323> .4 2.%4 2.3>

2.9 2.333> .4 2.0 2.30>

21.%0 2.343> .4 21.%3 2.39+>

21.311 2.3%2> .4 21.30 2.4%>

21.%%+ 2.3+1> .4 21.%%0 2.414>

21.01 2.31> .4 21.011 2.423>

22.+9 2.39> .3 22.+ 2.432>

22.322 2.300> .3 22.322 2.441>

22.%% 2.39> .3 22.%+9 2.449>

22.020 2.4%> .3 22.02% 2.4%0>

23.01 2.413> .3 23.01 2.4++>

23.33+ 2.422> .3 23.33+ 2.44>

23.%0+ 2.429> .3 23.%03 2.401>

23.039 2.43> .3 23.039 2.409>

24.94 2.44%> .3 24.94 2.49>

24.3% 2.4%2> .3 24.3% 2.%4>

24.+ 2.4%9> .3 24.+ 2.%11>24.0%+ 2.4+> .3 24.0%+ 2.%10>

2%.111 2.44> .3 2%.11 2.%2%>

2%.3+ 2.401> .3 2%.3+9 2.%32>

2%.+14 2.40> .3 2%.+14 2.%30>

2%.0+9 2.494> .3 2%.0% 2.%4%>

2+.12% 2.%> .2 2+.120 2.%%1>

2+.30+ 2.%> .2 2+.301 2.%%>

2+.+20 2.%13> .2 2+.+33 2.%+3>

2+.003 2.%19> .2 2+.00+ 2.%+9>

2.144 2.%2%> .2 2.139 2.%4>2.39 2.%3> .2 2.394 2.%0>

2.+42 2.%3+> .2 2.+44 2.%0%>

2.93 2.%42> .2 2.09 2.%9>

20.1%+ 2.%4> .2 20.1%3 2.%9+>

20.40 2.%%2> .2 20.40 2.+1>

20.++1 2.%%> .2 20.+%0 2.++>

20.914 2.%+3> .2 20.914 2.+11>


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29.1+9 2.%+0> .2 29.1+9 2.+1+>

29.42% 2.%3> .2 29.42% 2.+2>

29.+2 2.%> .2 29.+2 2.+2%>

29.920 2.%02> .2 29.920 2.+3>

3.103 2.%0> .2 3.103 2.+34>

3.439 2.%92> 3.444 2.+30>


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Anterpolated Da# o"nt D's B

da# o"nt =-) rates tC3+%

4-'e$-0

+-'e$-0 .+ .%0%> .% .9999+0 .%492

+-"!-0 .%11 .919> .499 .99%313 .%124+

+-'e$-9 1.22 .99> .%4 .90992 1.043

+-"!-9 1.%2% .9> .49+ .90+2+1 1.40900131

0-'e$-1 2.42 .0%3> .%1 .90230 1.99+39

+-"!-1 2.%39 .09> .49 .9929 2.42+111

-'e$-11 3.%3 .934> .% .9100+ 2.9+20+91

0-"!-11 3.%%0 .90> .499 .9+%% 3.4442004+

+-'e$-12 4.+4 1.34> .499 .9%004 3.92239404

+-"!-12 4.%+9 1.0> .499 .9%1932 4.39%+91

+-'e$-13 %.01 1.12+> .%4 .94430 4.031314+


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10/107


11/107


12/107

'orward

swaps

.930>

1.9>

.923>

.0+0>

.094>

.9%>

1.2>

1.%>

1.94>

1.142>


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14/107


15/107


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9.3: Worksheet to estimate Yen-USD forward rates

Today's date: -!e"-#$Settlement 2

Spot rate, 1+.+1

ffer-Y *id-Y mid-Y

+-'e$-0 tC3+

3 +-?a#-0 .2% .02> .4> .09>

+ +-"!-0 .%+ .921> .9+> .0%0>

12 +-'e$-9 1.1 .99%> .0> .933>


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theoretial > han!e "oted

ffer-USD *id-USD mid-USD forwards in rate forwards

3.14%> 3.2> 3.03> 1%.9990 .%+> 1%.99

3.90> 2.93> 3.3%> 1%.44% 1.0> 1%.4+

2.09+> 2.1> 2.034> 14.%90+ 1.00> 14.%%


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implied Skew

Yen rate 6$p7

.+0> -4.0%

.001+> 2.33

.09+> -4.24


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9.: %&amle of ri(in) a (ross-(*rren(y "asis swa

Today's date: -!e"-#$

)"rrent spot rate F 1#+.+#1 Spread on ))*S # $p

3mo. 'orward skew 2 $p

'5 &olatilit# F 2,pa. $orrowin! mar!in 3 $p

ro$a$ilit# , depositin! mar!in -, $p

En&elope m"ltiplier F 1.1%

ss"me a prinipal of 1.## m USDYen prinipal 1+.+1 m Yen

exess

eriod Da# USD Yen Estimated 6Yen7 Da#

o"nt df(s df(s forward '5 en&elope ----------------G o"nt

rates .% "p .% down

H

I1J I2J I3J I4J I%J I+J

+-'e$-0 1 1 1+.+1 1+.+1 1+.+1 H

+-?a#-0 .2% .992199 .9903+ 1%.999 122.391 91.02 H - .2%

+-"!-0 .%+ .904%02 .99%3 1%.44+ 129.3 0%.94+ H 1%K9K+3 .2%+

+-@o&-0 .+1 .9% .992+1 1%. 134.9%2 01.+ H 22K+9K0 .2%+

+-'e$-9 1.1 .9139 .90993 14.+1 139.00 0.21 H 20K3%1K33 .2%+

+-?a#-9 1.2+4 .9+%303 .9002 14.1+1 143.910 %.30+ H 33K10+K+4 .24

+-"!-9 1.%19 .9%9112 .90+290 13.++3 14.+ 2.22 H 3K31K4%2 .2%+

+-@o&-9 1.% .9%2%0+ .904++4 13.120 1%1.29 .34 H 41K1++K33 .2%+

0-'e$-1 2.3+ .94%4%0 .9020 12.%%2 1%4.%04 +0.34 H 44K+K%+ .2+1

+-?a#-1 2.20 .930249 .90+32 11.994 1%.42% ++.01 H 4K902K%9 .242

+-"!-1 2.%33 .93114 .9991 11.302 1+.234 +4.14+ H %K023K%+1 .2%+

0-@o&-1 2.94 .921421 .9%14 1.41 1+2.920 +2.291 H %3K+33K29 .2+1

-'e$-11 3.4 .912+4 .919%4 1.19 1+%.30+ +.%9 H %+K32+K%+2 .2%3

otal F

Estimated 8 of 1 $p in Yen 6B7

E"i&alent mar!in F


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arket data 9.,: Deri0in)

6ote: these d


Settlement Unad;"sted=-) rates

Swa rates mid . .%0%>

))*S .19 .%0%>

Years 4-'e$-0 .01 .+42>

1 4-'e$-9 .% .2%3 .0>

2 4-'e$-1 1.+2% .%+ .910>

3 4-'e$-11 2.% .+1 .9+>

4 +-'e$-12 3.% 1.1 .991>

% 4-'e$-13 4.% 1.2+4 .9%%>+ 4-'e$-14 1.%19 .90>

4-'e$-1% %.% 1.% .01>

0 4-'e$-1+ 2.31 .0%3>

9 +-'e$-1 2.20 .0%9>

1 %-'e$-10 +.2% 2.%33 .00>

12 4-'e$-2 2.09 .9%>

1% +-'e$-23 +. 3.44 .933>

2 4-'e$-20 %.% 3.292 .9+>

2% 4-'e$-33 3.%4 .90+>3 4-'e$-30 %. 3.03 1.1>

4.+4 1.34>

a!ainst 3mo. USD /i$or 4.30 1.%%>

4.%+9 1.0>

4.022 1.11>

%.% 1.12+>

%.320 1.1%3>

%.%01 1.101>

%.033 1.21>

+.09 1.230>

+.339 1.2+%>

+.%92 1.29>

+.04 1.31+>

.13 1.341>

.3% 1.3++>

.++ 1.392>

.0+1 1.410>

0.11 1.44%>


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0.00 1.%32>

9.139 1.%+1>

9.301 1.%00>

9.+3+ 1.+1%>

9.09 1.+42>1.1% 1.++>

1.394 1.+91>

1.+%+ 1.14>

1.90 1.3>

11.1+1 1.%0>

11.414 1.9>

11.++ 1.99>

11.919 1.02>

12.1% 1.04>

12.42% 1.0%9>12.+01 1.09>

12.93+ 1.099>

13.192 1.919>

13.439 1.93>

13.+94 1.9%+>

13.9% 1.9%>

14.2+ 1.993>

14.4%3 2.1>

14.0 2.2>14.9+4 2.44>

1%.22% 2.+1>

1%.4+ 2.+>

1%.22 2.92>

1%.903 2.1>

1+.23+ 2.122>

1+.409 2.13+>

1+.42 2.1%>

1+.994 2.1+3>

1.2% 2.1+>

1.% 2.109>

1.%3 2.22>

10.0 2.214>

10.2+4 2.22+>

10.%11 2.23>

10.+ 2.249>

19.22 2.2+>

19.20 2.21>


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2.3+ 2.33>

2.292 2.313>

2.%42 2.323>

2.9 2.333>

21.%0 2.343>21.311 2.3%2>

21.%%+ 2.3+1>

21.01 2.31>

22.+9 2.39>

22.322 2.300>

22.%% 2.39>

22.020 2.4%>

23.01 2.413>

23.33+ 2.422>

23.%0+ 2.429>23.039 2.43>

24.94 2.44%>

24.3% 2.4%2>

24.+ 2.4%9>

24.0%+ 2.4+>

2%.111 2.44>

2%.3+ 2.401>

2%.+14 2.40>

2%.0+9 2.494>2+.12% 2.%>

2+.30+ 2.%>

2+.+20 2.%13>

2+.003 2.%19>

2.144 2.%2%>

2.39 2.%3>

2.+42 2.%3+>

2.93 2.%42>

20.1%+ 2.%4>

20.40 2.%%2>

20.++1 2.%%>

20.914 2.%+3>

29.1+9 2.%+0>

29.42% 2.%3>

29.+2 2.%>

29.920 2.%02>

3.103 2.%0>

3.439 2.%92>


23/107

!'s from a )eneri( swa (*r0e l*s a 445S (*r0e

tes are 2 days forward7 followin) the (on0ention in the 44S market

Spread o&erLradient ))*S 8al"ation 3mo. 'orwards Lradient

I1J I2J I3J

. # .904

.9 1 .% . #.9$ 3.119 .2%

.13 2 1.+2% . 3.9#9 .+4 .%

.2 3 2.% . .,1# 3.312% .%

.2 4 3.% . .$22 1.201% 1.

.1 % 4.% . 9.1# -.0%9 1.2%

-.1 %.% . .3$$ .499 1.%

-.2 1 +.2% . $.$+1 -1.340% 1.%-.1 1% +. . 2.11$ .%40 2.

-.1 2 %.% . .$, -.2939 2.2%

. 3 %. . 1.91$ 2.%

.1 2.%

.1 3.

.1 3.2%

.1 3.%

.1 3.%

.1 4..1 4.2%

.1 4.%

.1 4.%

.1 %.

.1 %.2%

.1 %.%

.1 %.%

.1 +.

.1 +.2%

.1 +.%

.1 +.%

.1 .

.1 .2%

.1 .%

.1 .%

.1 0.

.1 0.2%

.1 0.%


24/107

.1 9.2%

.1 9.%

.1 9.%

.1 1.

.1 1.2%.1 1.%

.1 1.%

.1 11.

.1 11.2%

.1 11.%

.1 11.%

.1 12.

.1 12.2%

.1 12.%

.1 12.%.1 13.

.1 13.2%

.1 13.%

.1 13.%

.1 14.

.1 14.2%

.1 14.%

.1 14.%

.1 1%..1 1%.2%

.1 1%.%

.1 1%.%

.1 1+.

.1 1+.2%

.1 1+.%

.1 1+.%

.1 1.

.1 1.2%

.1 1.%

. 1.%

. 10.

. 10.2%

. 10.%

. 10.%

. 19.

. 19.2%

. 19.%


25/107

. 2.2%

. 2.%

. 2.%

. 21.

. 21.2%. 21.%

. 21.%

. 22.

. 22.2%

. 22.%

. 22.%

. 23.

. 23.2%

. 23.%

. 23.%. 24.

. 24.2%

. 24.%

. 24.%

. 2%.

. 2%.2%

. 2%.%

. 2%.%

. 2+.. 2+.2%

. 2+.%

. 2+.%

. 2.

. 2.2%

. 2.%

. 2.%

. 20.

. 20.2%

. 20.%

. 20.%

. 29.

. 29.2%

. 29.%

. 29.%

. 3.

.


26/107

'orward da#s Anterpolated Unad;"sted da#s 3mo. 'orwards ))*Sdates tC3+ =-) rates D's tC3+ "nad;"sted spreads

I4J I%J I+J

+-'e$-0 1

+-?a#-0 .2% .0+> .9903+ .2% .0++>

+-"!-0 .%+ .910> .99%3 .2%+ .9+92>

+-@o&-0 .+1 .9+> .992+1 .2%+ 1.919>

+-'e$-9 1.1 .991> .90993 .2%+ 1.30+> .%

+-?a#-9 1.2+4 .9%%> .9002 .24 .0+0>

+-"!-9 1.%19 .90> .90+290 .2%+ .++>

+-@o&-9 1.% .01> .904++4 .2%+ .+49>0-'e$-1 2.3+ .0%3> .9020 .2+1 .312> 1.+2%

+-?a#-1 2.20 .0%9> .90+32 .242 .994>

+-"!-1 2.%33 .00> .9991 .2%+ 1.%++>

0-@o&-1 2.94 .9%> .9%14 .2+1 1.1+9%>

-'e$-11 3.4 .934> .919%4 .2%3 1.24%%> 2.%

+-?a#-11 3.292 .9+> .9+090 .244 1.20+1>

0-"!-11 3.%%3 .90+> .9+%%2 .2+1 1.3233>

-@o&-11 3.0+ 1.11> .9+222 .2%3 1.3%+>

+-'e$-12 4.%0 1.34> .9%091% .2%3 1.3049> 3.%-?a#-12 4.311 1.%+> .9%%%0 .2%3 1.41%>

+-"!-12 4.%+4 1.0> .9%21 .2%3 1.4%3%>

+-@o&-12 4.019 1.11> .94033% .2%+ 1.%1+2>

+-'e$-13 %.% 1.12+> .9444% .2%+ 1.%99%> 4.%

+-?a#-13 %.322 1.1%2> .94%19 .24 1.14>

+-"!-13 %.%0 1.101> .93+2%3 .2%+ 1.020>

+-@o&-13 %.033 1.21> .9310%+ .2%+ 1.04+3>

+-'e$-14 +.09 1.230> .9230 .2%+ 1.0094>

+-?a#-14 +.33+ 1.2+4> .9231% .24 1.912>

+-"!-14 +.%92 1.29> .9104%+ .2%+ 1.9424>

+-@o&-14 +.04 1.31+> .913033 .2%+ 1.99>

+-'e$-1% .13 1.341> .9913 .2%+ 2.242> %.%

+-?a#-1% .3% 1.3++> .94400 .24 2.+>

+-"!-1% .++ 1.392> .099%3 .2%+ 2.130>

+-@o&-1% .0+1 1.410> .094%21 .2%+ 2.211>

0-'e$-1+ 0.122 1.44+> .009194 .2+1 2.2942>

+-?a#-1+ 0.3+ 1.43> .00430 .244 2.30+>

0-"!-1+ 0.+20 1.%3> .0030% .2+1 2.4+4+>


27/107

0-?a#-1 9.30+ 1.%00> .0+149 .2%3 2.+3>

-"!-1 9.+39 1.+1+> .0%%94 .2%3 2.+32>

+-@o&-1 9.092 1.+42> .0%11 .2%3 2.+493>

+-'e$-10 1.14 1.++> .0443+2 .2%+ 2.+%90> +.2%

-?a#-10 1.39 1.+91> .0300 .2% 2.++21>+-"!-10 1.+% 1.14> .0331+2 .2%3 2.++%>

+-@o&-10 1.9+ 1.3+> .0249 .2%+ 2.+0+>

+-'e$-19 11.1+1 1.%0> .021041 .2%+ 2.+932>

+-?a#-19 11.40 1.0> .01+3 .24 2.19>

+-"!-19 11.++4 1.99> .01% .2%+ 2.341>

+-@o&-19 11.919 1.02> .0%2% .2%+ 2.+1>

+-'e$-2 12.1% 1.04> .99322 .2%+ 2.91>

+-?a#-2 12.42% 1.0%9> .9314 .2% 2.02++>

+-"!-2 12.+01 1.09> .09% .2%+ 2.0%00>

+-@o&-2 12.93+ 1.099> .02103 .2%+ 2.0003>0-'e$-21 13.19 1.919> .+24 .2+1 2.91%%>

+-?a#-21 13.439 1.93> .90 .242 2.939+>

+-"!-21 13.+94 1.9%+> .+%9 .2%+ 2.9+11>

0-@o&-21 13.9%+ 1.9%> .%912 .2+1 2.903>

-'e$-22 14.20 1.993> .%339% .2%3 2.99+9>

+-?a#-22 14.4%3 2.1> .4091 .244 3.1+>

0-"!-22 14.14 2.20> .423% .2+1 3.221>

-@o&-22 14.9+ 2.44> .3+393 .2%3 3.311>

+-'e$-23 1%.219 2.+1> .303 .2%3 3.3+9> +.0-?a#-23 1%.42 2.> .2%2 .2%3 3.410>

-"!-23 1%.2% 2.92> .19++ .2%3 3.4%3>

+-@o&-23 1%.90 2.1> .141+3 .2%3 3.40+>

+-'e$-24 1+.233 2.122> .0+34 .2%+ 3.%3%>

+-?a#-24 1+.403 2.13+> .32%9 .2% 3.%1>

+-"!-24 1+.39 2.1%> .+999 .2%+ 3.+10>

+-@o&-24 1+.994 2.1+3> .+9234 .2%+ 3.++>

+-'e$-2% 1.2% 2.1+> .+0+904 .2%+ 3.1>

+-?a#-2% 1.49 2.109> .+0102 .24 3.42>

+-"!-2% 1.%3 2.22> .++49 .2%+ 3.91>

+-@o&-2% 10.0 2.214> .+119 .2%+ 3.034>

+-'e$-2+ 10.2+4 2.22+> .++%93% .2%+ 3.00>

+-?a#-2+ 10.%11 2.23> .++002 .24 3.92>

+-"!-2+ 10.+ 2.249> .+%%+92 .2%+ 3.94>

+-@o&-2+ 19.22 2.2+> .+%%34 .2%+ 3.123>

0-'e$-2 19.203 2.22> .+4%290 .2+1 3.1%>

+-?a#-2 19.%2% 2.202> .+4401 .242 3.1124>

+-"!-2 19.01 2.293> .+3%410 .2%+ 3.11>


28/107

0-?a#-20 2.%4 2.323> .+241 .2%3 3.1344>

-"!-20 2.0 2.333> .+1%%32 .2%3 3.139+>

+-@o&-20 21.%3 2.343> .+1+9 .2%3 3.1439>

+-'e$-29 21.30 2.3%2> .+%04 .2%+ 3.1491>

-?a#-29 21.%%0 2.3+1> .+1+% .2% 3.1%33>+-"!-29 21.011 2.3> .%9+30 .2%3 3.1%+3>

+-@o&-29 22.+ 2.39> .%91%3 .2%+ 3.1+3>

+-'e$-3 22.322 2.300> .%0+0 .2%+ 3.1+33>

+-?a#-3 22.%+9 2.39> .%02231 .24 3.1+%2>

+-"!-3 22.02% 2.4%> .%%%% .2%+ 3.1+01>

+-@o&-3 23.01 2.413> .%2914 .2%+ 3.1+99>

+-'e$-31 23.33+ 2.422> .%+030 .2%+ 3.112>

+-?a#-31 23.%03 2.429> .%+300+ .24 3.12>

+-"!-31 23.039 2.43> .%%93% .2%+ 3.132>

+-@o&-31 24.94 2.44%> .%%40% .2%+ 3.134>+-'e$-32 24.3% 2.4%2> .%%30 .2%+ 3.13%>

+-?a#-32 24.+ 2.4%9> .%4+%% .2% 3.132>

+-"!-32 24.0%+ 2.4+> .%41++3 .2%+ 3.12+>

0-@o&-32 2%.11 2.44> .%3214 .2+1 3.119>

-'e$-33 2%.3+9 2.401> .%32943 .2%3 3.1%>

+-?a#-33 2%.+14 2.40> .%2004+ .244 3.1+9>

0-"!-33 2%.0% 2.494> .%24%0 .2+1 3.1++>

-@o&-33 2+.120 2.%> .%2343 .2%3 3.1++1>

+-'e$-34 2+.301 2.%> .%1+214 .2%3 3.1+43>0-?a#-34 2+.+33 2.%13> .%12110 .2%3 3.1+4>

-"!-34 2+.00+ 2.%19> .%0% .2%3 3.1+22>

+-@o&-34 2.139 2.%24> .%43 .2%3 3.1+>

+-'e$-3% 2.394 2.%3> .499992 .2%+ 3.1+3>

-?a#-3% 2.+44 2.%3+> .49+4 .2% 3.1%93>

+-"!-3% 2.09 2.%41> .49214+ .2%3 3.1%>

+-@o&-3% 20.1%3 2.%4> .4002+ .2%+ 3.1%+>

+-'e$-3+ 20.40 2.%%2> .404299 .2%+ 3.1%+0>

+-?a#-3+ 20.+%0 2.%%> .40%0 .2% 3.1%%0>

+-"!-3+ 20.914 2.%+3> .4+++4 .2%+ 3.1%%+>

+-@o&-3+ 29.1+9 2.%+0> .420%2 .2%+ 3.1%%>

+-'e$-3 29.42% 2.%3> .4+9 .2%+ 3.1%4+>

+-?a#-3 29.+2 2.%> .4+%441 .24 3.1%43>

+-"!-3 29.920 2.%02> .4+119 .2%+ 3.1%4>

+-@o&-3 3.103 2.%0> .4%020 .2%+ 3.1%39>

0-'e$-30 3.444 2.%92> .4%43 .2+1 3.1423> %.


29/107

Spread to @ew Yen &al"ation of smoothin!

3mo. 'orward 3mo. 'orward D'(s ))*S onstraint"r&e "r&e ad;"sted 2.%1

IJ I0J I9J I1J I11J

1

.2 .0+9+> .99031

.399 .932> .99%3%% .1

.%99 1.99> .992%1 .2

.90 1.4++> .909923 . .

1.%+ .022+> .90914 .%

2.3%4 .+99+> .90+1%1 .2

3.132 .+01> .90443 .3.99 .3> .9024+2 - . .1

4.%9 .9499> .90211 .3

4.21 1.90> .94+ .2

4.3+ 1.213> .9430 .1

4.%1 1.29+> .91212 - . .1

%.330 1.339%> .9+042 .

+.1++ 1.3049> .9+4%%4 .

+.994 1.42+> .9+100 .

.022 1.4+31> .9%%4 - . .0.143 1.4919> .9%3949 .

0.4+3 1.%301> .9%2%% .

0.03 1.+41> .94+3% .

9.14 1.+9%> .94234 - . .1

0.009 1.93> .9301%2 .1

0.+% 1.0+9%> .933+91 .1

0.4+ 1.939> .9291+ .

0.24+ 1.919> .924440 .

0.31 1.9923> .91991 .

.01 2.2+> .91%191 .

.+2 2.%%> .9140 .

.300 2.901> .9%%%3 - . .

.%11 2.1%11> .9+2 .

.+33 2.2142> .09%+94 .

.%+ 2.20> .09400 .1

.09 2.33> .00%4 .1

0.2 2.4++1> .091 .1

0.124 2.%4%0> .03092 .1


30/107

0.492 2.+922> .0%+%43 .

0.+1% 2.109> .0%+9+ .

0.30 2.3+> .0440%2 .

0.0+1 2.404> .0309%9 - . .

0.%23 2.43> .03323+ .0.10+ 2.493> .0240% .

.049 2.%1> .021+9+ .

.%12 2.+03> .01%924 .

.1% 2.02> .01349 .

+.030 2.02%> .04%0 .

+.%1 2.02+> .9001 .

+.1+4 2.0%34> .933% .

%.02+ 2.0040> .03%+ .

%.409 2.913> .01%3 .

%.1%2 2.9390> .%9 .4.01% 2.9+3> .+9%2 .

4.40 2.9043> .+424 .

4.141 3.2%> .%0421 .

3.04 3.104> .%249 .

3.4++ 3.31%> .4++0 .

3.129 3.419> .412%+ .

2.92 3.%1> .3%399 .

2.4%% 3.%%> .29+3 .

2.110 3.%0> .241+% - . .2.2%% 3.+44> .10%90 .

2.392 3.+92> .13++ .

2.%29 3.39> .%+0 .

2.+++ 3.01> .242 .

2.03 3.0%1> .+9+++9 .

2.94 3.912> .+9129 .

3. 3.9+0> .+0%01 .

3.214 3.122> .+030 .

3.3%1 3.1> .+%2 .

3.40 3.114> .++90+9 .

3.+24 3.119+> .++4%1 .

3.+1 3.12%+> .+%93% .

3.090 3.131> .+%4239 .

4.3% 3.130> .+493% .

4.12 3.144> .+430+2 .

4.39 3.1%+> .+30+0 .

4.44+ 3.1%+9> .+333 .

4.%03 3.1+3%> .+20+9 .


31/107

4.04 3.1022> .+13+2% .

4.1 3.10+> .+021 .

4.+3 3.193> .+30%2 .

4.%+3 3.194> .%909+2 .

4.49 3.1902> .%9421 .4.41+ 3.2%> .%09442 .

4.343 3.230> .%04+%% .

4.2+9 3.2+> .%994 .

4.19+ 3.22> .%%342 .

4.122 3.293> .%++2 .

4.49 3.214> .%++10 .

3.9% 3.219> .%+1411 .

3.92 3.2111> .%%+909 .

3.020 3.211%> .%%24%% .

3.%% 3.219> .%49%9 .3.+01 3.213> .%43% .

3.+0 3.293> .%3914 .

3.%34 3.20> .%349 .

3.4+1 3.2+%> .%3349 .

3.30 3.243> .%2+00 .

3.314 3.221> .%222 .

3.24 3.2> .%1+ .

3.1+ 3.19> .%13%2+ .

3.93 3.19%2> .%9411 .3.2 3.1942> .%%331 .

2.94+ 3.191> .%120 .

2.03 3.1094> .4920 .

2.99 3.1003> .4932%9 .

2.2+ 3.10++> .4093+ .

2.+%3 3.1042> .40%4%3 .

2.%9 3.1034> .401%3% .

2.%+ 3.1019> .4+%1 .

2.432 3.101> .43004 .

2.3%9 3.192> .4+% .

2.20% 3.10> .4++20 .

2.212 3.1+> .4+2%23 .

2.130 3.1%+> .4%092 .

2.+% 3.14> .4%%22 .

1.991 3.130> .4%1%+4 .

1.910 3.1+1%> .440+ - . .


32/107

=-) ratesd;"sted

.

.2% .0+9>

.%+ .921>

.+1 .90>

1.1 .99+>

1.2+4 .9+2>1.%19 .910>

1.% .004>

2.3+ .0+9>

2.20 .0>

2.%33 .9>

2.94 .929>

3.4 .9%9>

3.292 .90>

3.%%3 1.1+>3.0+ 1.43>

4.%0 1.+9>

4.311 1.94>

4.%+4 1.110>

4.019 1.144>

%.% 1.11>

%.322 1.2>

%.%0 1.23>

%.033 1.2+1>

+.09 1.29>

+.33+ 1.31>

+.%92 1.344>

+.04 1.31>

.13 1.39>

.3% 1.422>

.++ 1.440>

.0+1 1.4%>

0.122 1.%4>

0.000 5.000 10.

0.0000%

0.5000%

1.0000%

1.5000%

2.0000%

2.5000%

3.0000%

3.5000%

Forwa


33/107

0.001 1.%92>

9.133 1.+21>

9.30+ 1.+%>

9.+39 1.+0>

9.092 1.4>1.14 1.3>

1.39 1.%%>

1.+% 1.0>

1.9+ 1.01>

11.1+1 1.023>

11.40 1.043>

11.++4 1.0+4>

11.919 1.00%>

12.1% 1.9%>

12.42% 1.924>12.+01 1.944>

12.93+ 1.9+3>

13.19 1.903>

13.439 2.1>

13.+94 2.19>

13.9%+ 2.30>

14.20 2.%%>

14.4%3 2.2>

14.14 2.09>14.9+ 2.1%>

1%.219 2.121>

1%.42 2.13+>

1%.2% 2.1%1>

1%.90 2.1+%>

1+.233 2.19>

1+.403 2.193>

1+.39 2.2+>

1+.994 2.22>

1.2% 2.232>

1.49 2.24%>

1.%3 2.2%>

10.0 2.2+9>

10.2+4 2.201>

10.%11 2.292>

10.+ 2.33>

19.22 2.31%>

19.203 2.32+>


34/107

2.42 2.3%>

2.294 2.3+>

2.%4 2.3>

2.0 2.30>

21.%3 2.39+>21.30 2.4%>

21.%%0 2.414>

21.011 2.423>

22.+ 2.432>

22.322 2.441>

22.%+9 2.449>

22.02% 2.4%0>

23.01 2.4++>

23.33+ 2.44>

23.%03 2.401>23.039 2.409>

24.94 2.49>

24.3% 2.%4>

24.+ 2.%11>

24.0%+ 2.%10>

2%.11 2.%2%>

2%.3+9 2.%32>

2%.+14 2.%30>

2%.0% 2.%4%>2+.120 2.%%1>

2+.301 2.%%>

2+.+33 2.%+3>

2+.00+ 2.%+9>

2.139 2.%4>

2.394 2.%0>

2.+44 2.%0%>

2.09 2.%9>

20.1%3 2.%9+>

20.40 2.+1>

20.+%0 2.++>

20.914 2.+11>

29.1+9 2.+1+>

29.42% 2.+2>

29.+2 2.+2%>

29.920 2.+3>

3.103 2.+34>

3.444 2.+30>


35/107

00 15.000 20.000 25.000 30.000

rd curves adjusted for the CCBS

Unadjusted Forward curve

Adjusted Forward curve


36/107


37/107


38/107

9.+: 4reatin) a syntheti( forei)n asset: Swain) a USD "ond into floatin) Yen

Today's date 8 -!e"-#$

4*rrent sot rate 8 1#+.+#1

1. USD 5ond details: 2. USD swa details

?at"rit# F 1%-Sep-13

o"pon F 3.%> S

redemption F 1 ?at"rit# % #ears

rinipal 1 m USD

lean prie F 9+. 3 mo. /i$or M .+,$p mar!in

'ration of #ear F .11 to next o"pon

ar"ed interest F 3.339

dirt# prie F 99.339

USD Swap USD

*ond A* ashflows Swap da# A* mar

dates D's pa# side dates o"nt D's ashflo

+-'e$-0 1 99K339K41 H +-'e$-0 1

-++ 1-?ar-0 .111 3.1+9> .99+40% H +-?a#-0 .2% .992199 119K1

-+ 1%-Sep-0 .+1 3.22> .901%3+ -3K%K H +-"!-0 .2%+ .904%02 121K

-%4 1+-?ar-9 1.122 2.02+> .9+00+ H +-@o&-0 .2%+ .9% 121K

-40 1%-Sep-9 1.+31 2.43> .9%+2+3 -3K%K H +-'e$-9 .2%+ .9139 121K

-42 1%-?ar-1 2.133 2.2> .942%% H +-?a#-9 .24 .9+%303 11K0

-3+ 1%-Sep-1 2.+44 2.009> .92+44+ -3K%K H +-"!-9 .2%+ .9%9112 121K

-3 1%-?ar-11 3.14 3.21> .9931% H +-@o&-9 .2%+ .9%2%0+ 121K

-24 1%-Sep-11 3.+%0 3.14%> .091324 -3K%K H 0-'e$-1 .2+1 .94%4%0 124K4

-10 1%-?ar-12 4.1+4 3.2+4> .0293 H +-?a#-1 .242 .930249 11%K1

-12 1-Sep-12 4.+01 3.304> .0%3%3 -3K%K H +-"!-1 .2%+ .93114 121K

-+ 1%-?ar-13 %.10 3.499> .03431 H 0-@o&-1 .2+1 .921421 124K4

1%-Sep-13 %.+09 3.+12> .0142+% -13K%K H -'e$-11 .2%3 .912+4 12K4

+-?a#-11 .244 .942 11+K4

0-"!-11 .2+1 .09%0 124K4

-@o&-11 .2%3 .00+33 12K4

+-'e$-12 .2%3 .0+03 12K4

-?a#-12 .2%3 .0+4+ 12K4

+-"!-12 .2%3 .0%939 12K4+-@o&-12 .2%+ .040101 121K

+-'e$-13 .2%+ .03030 121K

+-?a#-13 .24 .020+% 11K0

+-"!-13 .2%+ .010+23 121K

8 6m


39/107

9.: Swain) a S< "ond into USD =i"or

Today's date: ,->*n-99

Details of the $ond iss"e,

rinipal 2% m =

?at"rit# 5 #ears

)o"pon 13.75% ann 3C3+

Ass"e prie 101.25

'NE 2.25

a#ment date 4 weeks after iss"e

)"rrent spot +.10 =C 93+K%9+

-"n- .001% .94%924 -34K3%K H .%0 %.039> 1K%0K92

-De- .02303 .91124 H .%0 +.10> 1K129K30%

-"n-1 .+01 .0043+ -34K3%K H .%+ +.+1> 1K214K1%+

-De-1 .1%%1 .0%9+9 H .%0 +.49+> 1K19%K%09

-"n-2 .++02+ .03912 -34K3%K H .%+ +.3> 1K231K0

9-De-2 .+222+ .03921 H .%14 +.%33> 1K21+K%4+

9-"n-3 .%04+9 .032 -34K3%K H .%+ +.+3%> 1K21K4+

0-De-3 .%3019 .%219+ H .%+ +.41> 1K239K020

-"n-4 .%19 .29 -204K3%K H .%+ +.0%3> 42K192K0%0

8 6=7 F 0K+K40

6 7


40/107

9.$: @ri(in) a , year Yen-USD diff swa



rinipal amo"nt 1$n Yen

rinipal amo"nt 93.01 m USD

?at"rit# % #ears

o pa# + mo. Yen /i$or

o reei&e + mo. USD /i$or M -22$.#9$p(s

1. Yen ay side

Yen Yen

Unad;"sted da# A* Amplied da# d;"sted A*=-) rates o"nt "nad;"sted D's forwards o"nt =-) rates ad;"sted D's

I1J I2J

+-'e$-0 .+ .%0%> .9999+0 1

.% +-"!-0 .%11 .919> .%+ .99%313 .92%> .%+ .921> .99%3%%

1 +-'e$-9 1.22 .99> .%11 .90992 1.+%> 1.1 .99+> .909923

1.% +-"!-9 1.%2% .9> .%3 .90+2+1 .39> 1.%19 .910> .90+1%1

2 0-'e$-1 2.42 .0%3> .%1 .90230 .+94> 2.3+ .0+9> .9024+2

2.% +-"!-1 2.%39 .09> .49 .9929 .909> 2.%33 .9> .94+

3 -'e$-11 3.%3 .934> .%14 .9100+ 1.21> 3.4 .9%9> .91212

3.% 0-"!-11 3.%%0 .90> .%+ .9+%% 1.30> 3.%%3 1.1+> .9+4%%4

4 +-'e$-12 4.+4 1.34> .%+ .9%004 1.34> 4.%0 1.+9> .9%%4

4.% +-"!-12 4.%+9 1.0> .%+ .9%1932 1.43%> 4.%+4 1.110> .9%2%%

% +-'e$-13 %.01 1.12+> .%11 .94430 1.%+3> %.% 1.11> .94234

8 6Yen7 F

8 6Yen7 on 1 $n nominal F

@et 8 F


41/107

9.9: @ri(in) a , year Yen-USD ?*anto diff swa



rinipal amo"nt 1$n Yen

?at"rit# % #ears

o pa# + mo. Yen /i$or

o reei&e + mo. USD /i$or M -23.## $p(s

1. Yen ay side 2. USD-related re(ei0e side

Yen Yen USD-related

da# Amplied A* /i$or Amplied /i$or

o"nt forwards ad;"sted df(s ashflows forwards ashflows

+-'e$-0 1

+-"!-0 .%+ .92%> .99%3%% -4+K+1K%3 3.9> 3+KK%3

.% +-'e$-9 .%11 1.+%> .909923 -%4K413K299 2.+%+> 14K%9%K0

1 +-"!-9 .%3 .39> .90+1%1 -3K1+9K93 2.%40> 0K924K04

1.% 0-'e$-1 .%1 .+94> .9024+2 -3%K04K%91 2.9%> 21K92K2+

2 +-"!-1 .49 .909> .94+ -49K1K22% 3.310> 4K11+K33+

2.% -'e$-11 .%14 1.21> .91212 -+2K101K+%4 3.+99> +0K294K103 0-"!-11 .%+ 1.30> .9+4%%4 -++K139K%3 3.90> K4+K33

3.% +-'e$-12 .%+ 1.34> .9%%4 -+9K4+%K22 4.11> 00K310K23

4 +-"!-12 .%+ 1.43%> .9%2%% -2K%+3K449 4.3%%> 1K32K1

4.% +-'e$-13 .%11 1.%+3> .94234 -9K094K%92 4.%02> 113K44K000

8 6Yen7 on 1 $n nominal F -%%%K20K331 %%%K20K331

@et 8 F


42/107

9.1#: @ri(in) a USD-Yen =T!/: analysin) the USD le) 1


)"rrent spot 1+.+1

da# o"nt USD USD Up-front Up-front Up-front

atC3+ mid-market ashflow transation transation transation

rates %-#ear @et )' 4-#ear @et )' 3-#ear @et )'

I1J I2J I3J I4J I%J I+J IJ I0J

+-'e$-0 9+,7,92 9+%K%92 -337123 932K4+9 -32713 9K332

+-'e$-9 1.1 2.09+2%> # -34K40 -34K40 1K13 -33K3% 992 -32K314

0-'e$-1 1.19 2.9%> # -34K%2 -34K%2 1K1+ -33K39+ 994 -32K42

-'e$-11 1.11 3.3%> # -34K22 -34K22 1K9 -33K123 33K123

+-'e$-12 1.11 3.2%> # -34K22 -34K22 34K22

+-'e$-13 1.1 3.%%> 17###7### -1KK


43/107

9.11: @ri(in) a USD-Yen =T!/: analysin) the USD le) 2 @ote, the forwards ma# $e ra


)"rrent spot 1+.+1

1. oney a(

da# o"nt USD USD D'(s USD USD Swap Anitial

atC3+ mid-market forwards ashflow transations a

rates

&olatilit# FG 1>

I1J I2J I3J I4J

+-'e$-0 1 03

+-'e$-9 1.1 2.09+2%> .9139 2.09+2%> # -3K%2 to reei&e fixed -2

0-'e$-1 1.19 2.9%> .94%4%0 2.33320> # -31K%4 to reei&e fixed -

-'e$-11 1.11 3.3%> .912+4 3.9014> # -32K13 to reei&e fixed -3

+-'e$-12 1.11 3.2%> .0+03 4.09399> # -33K123 to reei&e fixed -4

+-'e$-13 1.1 3.%%> .03030 4.%+%> 17###7### 9+%K%92 to pa# fixed -0

030K30

atri& < for (al(*latin) the hed)in) swas

1 2 3 4 %

2.09+3> 2.9%> 3.3%> 3.2%> 3.%%>

1 1.1 1.29 .20 .31 .33 .3+

2 1.19 . 1.20 .31 .33 .3+

3 1.11 . . 1.31 .33 .3%

4 1.11 . . . 1.33 .3%% 1.1 . . . . 1.3+


44/107

9.12: @ri(in) a USD-Yen =T!/


)"rrent spot 1+.+1

da# o"nt USD USD D'(s USD USD Swap

atC3+ mid-market forwards ashflow transations

rates

&olatilit# FG 1>

+-'e$-0 1

+-'e$-9 1.1 2.09+2%> .9139 2.09+2%> # -3K%2 to reei&e fixed

0-'e$-1 1.19 2.9%> .94%4%0 2.21> # -31K%4 to reei&e fixed

-'e$-11 1.11 3.3%> .912+4 3.%9332> # -32K13 to reei&e fixed

+-'e$-12 1.11 3.2%> .0+03 4.1+1%> # -33K123 to reei&e fixed

+-'e$-13 1.1 3.%%> .03030 4.+21%> 17###7### 9+%K%92 to pa# fixed

030K30


45/107

9.13: Aal*ation of a 445S - sim*lation remo0ed

Bri)inal data


)"rrent spot rate 1+.+1

USD prinipal 1 m

Y prinipal 1K++.1 m

))*S mar!in 4.%$p

USD Da# USD Y

D'(s o"nt 3 mo. 3 mo.

forwards forwards

"nad;"sted

+-'e$-0 1

+-?a#-0 .992199 .2% 3.14%> .0+%%>

+-"!-0 .904%02 .2%+ 3.22> .9+92>

+-@o&-0 .9% .2%+ 2.312> 1.9109>

+-'e$-9 .9139 .2%+ 2.%+21> 1.30+4>+-?a#-9 .9+%303 .24 2.%190> .0+02>

+-"!-9 .9%9112 .2%+ 2.%%0%> .++2>

+-@o&-9 .9%2%0+ .2%+ 2.+01> .+49+9>

0-'e$-1 .94%4%0 .2+1 2.004> .311>

+-?a#-1 .930249 .242 3.192> .993%>

+-"!-1 .93114 .2%+ 3.4222> 1.%++>

0-@o&-1 .921421 .2+1 3.+134> 1.1+94%>

-'e$-11 .912+4 .2%3 3.%2> 1.24%%2>

+-?a#-11 .942 .244 3.0394> 1.20+11>

0-"!-11 .09%0 .2+1 3.93%> 1.32329>

-@o&-11 .00+33 .2%3 4.394> 1.3%+4>

+-'e$-12 .0+03 .2%3 4.1%22> 1.30491>

-?a#-12 .0+4+ .2%3 4.234> 1.41%>

+-"!-12 .0%939 .2%3 4.39> 1.4%340>

+-@o&-12 .040101 .2%+ 4.%10> 1.%1+2%>

+-'e$-13 .03030 .2%+ 4.+00> 1.%99%1>


46/107


47/107

Cistori( data fo

sim*lation

'5 &ol FG

See 9.1% )orrela

Bri)inal Aal*ation for f"rther data

Y USD Y USD

D'(s ashflows ashflows forward

ad;"sted &olatilities

I1J I2J

1 1KK -1K++K1K

.99031 -0+K2% 24K319K012 9.1%>

.99%3%% -3K+2+ 2K+29K44 1.0+>

.992%1 -+9K903 3K91K%3 1.9%>

.909923 -+%4K%4 29K%2K9+ 12.493>.90914 -+22K930 22K440K99 13.+9%>

.90+1%1 -+%3K03 19K+42K2+2 14.%%2>

.90443 -+0%K1%3 10K92%K% 1%.30>

.9024+2 -%3K921 21K+4K%+ 1%.12+>

.90211 -+0K31% 24K%0%K00% 1%.3%9>

.94+ -04K%+1 3K1K234 1%.34>

.9430 -943K%12 33K03K9% 1+.2+>

.91212 -940K413 34K4K%0 1+.942>

.9+042 -930K%2 34K+0%K90 1.200>

.9+4%%4 -1K2K404 30K0%K043 1.294>

.9+100 -1K21K+0 3K1K9+ 1+.9%%>

.9%%4 -1K49K%0 30K%3K9% 1+.2+1>

.9%3949 -1K0K229 39K22K42 1%.29>

.9%2%% -1K19K+09 4K30K%1% 1%.3%+>

.94+3% -1K1%K4%3 42K%32K21 1%.14%>

.94234 -11K1K9% 1K4K9K%34 1%.11>

8al"e F . .


48/107


49/107

6ew market data

2>

@ew spot '5 rat

ion sheet

new new new

Y USD USD Y

forward 3 mo. D'(s 3 mo.

&olatilities forwards forwards

"nad;"sted

1.2 1.2

14.%2>

1%.120>

1+.4+2>

10.4> +-'e$-9 12.%43> +-?a#-9 1.9%2> .99%141 .0232>

21.020> +-"!-9 2.+2%+> .900%0 .%%04>

22.%%+> +-@o&-9 2.%4> .902133 .+%109>

22.+09> 0-'e$-1 3.049> .9420% .+3%+2>

23.30> +-?a#-1 3.2323> .9++33 .94+>

23.+1> +-"!-1 3.%41> .9%01%3 .93%>

24.39> 0-@o&-1 4.0%+> .9404 1.2%+>

2%.414> -'e$-11 4.4030> .9341% .01+3>

2%.932> +-?a#-11 %.02> .92+0 1.10%>

2%.941> 0-"!-11 4.+%22> .9149+3 1.%+0>

2%.432> -@o&-11 %.19%2> .9313 1.%21>

24.392> +-'e$-12 4.+2%%> .092+++ 1.34%>

23.%93> -?a#-12 %.124> .001490 1.31>

23.34> +-"!-12 4.290> .02+9 1.+23>

22.10> +-@o&-12 4.424+> .0+20%2 1.+%%>

22.+%1> +-'e$-13 %.1+0+> .0%1+4 1.2439>


50/107


51/107

e F 11%.1 6ew Aal*ation

old new new

Y Y Y USD Y

3 mo. 3 mo. D'(s ashflows ashflows

forwards forwards

ad;"sted ad;"sted ad;"sted

I3J I4J

1.022%0> .0093+> .990+ -400K32 22K909K20+

.+99%%> .%9%09> .99+209 -+K94 1%K+0K199

.+01> .+0332> .994%%2 -+49K112 1K%9K10

.2> .++9+1> .99201+ -0%K%0 1K+92K434

.94994> .029%1> .9903 -01K141 2K4%+K%11

1.90+9> .939%> .9004% -09%K49 24K+13K+1%

1.213%> 1.29+++> .90%122 -1K++K93 34K9%K12

1.29+2> .04%%0> .9032 -1K133K41+ 21K900K99

1.33940> 1.+13> .904 -1K224K21 2+K%4+K%2%

1.3049%> 1.+%34> .9+2 -1K214K3% 43K091K+19

1.42++9> 1.+%3> .92324 -1K313K219 41K14K421

1.4+313> 1.924+> .9+9+4+ -1K1+9K213 2K0+4K13

1.49193> 1.03%> .9+%101 -1K2+K22 4+K+21K+9%

1.%3011> 1.142> .9+11+ -1K10K+49 43K++3K19

1.+40> 1.0%41> .9%++2 -1K13K44 4+K49K01

1.+9%%> 1.314> .9%3399 -11K32K0%9 1K+93K900K02+

8al"e 6Yen7 F 1K+3K2+K94


52/107

@et 8al"e 6USD7 F -K%1K%


53/107

9.1: Aal*ation of a 445S with sim*lation

Bri)inal data


)"rrent spot rate 1+.+1

USD prinipal 1 m

Y prinipal 1K++.1 m

))*S mar!in 4.%$p

USD Da# USD Y

D'(s o"nt 3 mo. 3 mo.

forwards forwards

"nad;"sted

+-'e$-0 1

+-?a#-0 .992199 .2% 3.14%> .0+%%>

+-"!-0 .904%02 .2%+ 3.22> .9+92>

+-@o&-0 .9% .2%+ 2.312> 1.9109>

+-'e$-9 .9139 .2%+ 2.%+21> 1.30+4>+-?a#-9 .9+%303 .24 2.%190> .0+02>

+-"!-9 .9%9112 .2%+ 2.%%0%> .++2>

+-@o&-9 .9%2%0+ .2%+ 2.+01> .+49+9>

0-'e$-1 .94%4%0 .2+1 2.004> .311>

+-?a#-1 .930249 .242 3.192> .993%>

+-"!-1 .93114 .2%+ 3.4222> 1.%++>

0-@o&-1 .921421 .2+1 3.+134> 1.1+94%>

-'e$-11 .912+4 .2%3 3.%2> 1.24%%2>

+-?a#-11 .942 .244 3.0394> 1.20+11>

0-"!-11 .09%0 .2+1 3.93%> 1.32329>

-@o&-11 .00+33 .2%3 4.394> 1.3%+4>

+-'e$-12 .0+03 .2%3 4.1%22> 1.30491>

-?a#-12 .0+4+ .2%3 4.234> 1.41%>

+-"!-12 .0%939 .2%3 4.39> 1.4%340>

+-@o&-12 .040101 .2%+ 4.%10> 1.%1+2%>

+-'e$-13 .03030 .2%+ 4.+00> 1.%99%1>


54/107


55/107

Cistori( data fo

sim*lation

'5 &ol FG

See 9.1% )orrela

Bri)inal Aal*ation for f"rther data

Y USD Y USD

D'(s ashflows ashflows forward

ad;"sted &olatilities

I1J I2J

1 1KK -1K++K1K

.99031 -0+K2% 24K319K012 9.1%>

.99%3%% -3K+2+ 2K+29K44 1.0+>

.992%1 -+9K903 3K91K%3 1.9%>

.909923 -+%4K%4 29K%2K9+ 12.493>.90914 -+22K930 22K440K99 13.+9%>

.90+1%1 -+%3K03 19K+42K2+2 14.%%2>

.90443 -+0%K1%3 10K92%K% 1%.30>

.9024+2 -%3K921 21K+4K%+ 1%.12+>

.90211 -+0K31% 24K%0%K00% 1%.3%9>

.94+ -04K%+1 3K1K234 1%.34>

.9430 -943K%12 33K03K9% 1+.2+>

.91212 -940K413 34K4K%0 1+.942>

.9+042 -930K%2 34K+0%K90 1.200>

.9+4%%4 -1K2K404 30K0%K043 1.294>

.9+100 -1K21K+0 3K1K9+ 1+.9%%>

.9%%4 -1K49K%0 30K%3K9% 1+.2+1>

.9%3949 -1K0K229 39K22K42 1%.29>

.9%2%% -1K19K+09 4K30K%1% 1%.3%+>

.94+3% -1K1%K4%3 42K%32K21 1%.14%>

.94234 -11K1K9% 1K4K9K%34 1%.11>

8al"e F . .


56/107


57/107

6ew market data

@ote, the &al"ation an $e sim"lated $# pressin!

2>

ion sheet

new

Y Unorrelated )orrelated USD

forward normal r&(s normal r&(s 3 mo.

&olatilities forwards

/en!th of time FG 1.2

14.%2> .%+ .%+

1%.120> .1 .23

1+.4+2> 2.4 1.9

10.4> +-'e$-9 1.04 2.4+2.%43> +-?a#-9 -.03 .19 2.%0+%>

21.020> +-"!-9 -1.3 -.00 2.2499>

22.%%+> +-@o&-9 -.%1 -.01 2.314>

22.+09> 0-'e$-1 .+% .29 3.1+1>

23.30> +-?a#-1 1.3 1.3 3.9321>

23.+1> +-"!-1 1.0 1.%3 4.3+32>

24.39> 0-@o&-1 .1 .+ 3.9002>

2%.414> -'e$-11 -.9 .1% 3.049>

2%.932> +-?a#-11 .+ .11 3.9130>

2%.941> 0-"!-11 .14 .10 4.%9>

2%.432> -@o&-11 -1.0 -1.%9 3.+>

24.392> +-'e$-12 .2+ -.30 3.919>

23.%93> -?a#-12 -.2 -.33 4.%%4>

23.34> +-"!-12 -.9+ -1.1 3.%22>

22.10> +-@o&-12 -.1 -.4 4.2340>

22.+%1> +-'e$-13 .11 -.% 4.%4%>


58/107


59/107

'9 ke#

@ew spot '5 rate F

new new old

USD Unorrelated )orrelated Y Y

D'(s normal r&(s normal r&(s 3 mo. 3 mo.

forwards forwards

"nad;"sted ad;"sted

1.2

.9 .9

.3 .31

-.2 -.%

1 -2.11 -1.93.993+4+ -.%2 -1.29 .+11+> .022%0>

.909++ .+9 .0 .+0+> .+99%%>

.9021% -.2 .1 .+%92> .+01>

.94341 -.09 -.01 .+0> .2>

.9+%1 .40 .1 .9329> .94994>

.9%4%2+ -1.32 -1.1+ .0213> 1.90+9>

.944+00 .21 -.29 1.0044> 1.213%>

.93%%04 .%1 .34 1.3%22> 1.29+2>

.92+10 .30 .40 1.4%924> 1.33940>

.912 -1.2 -.2 1.940+> 1.3049%>

.99923 1.32 .09 1.+12> 1.42++9>

.913+ -2.1 -1.%3 .9%134> 1.4+313>

.091093 -.01 -1.30 1.1+2+> 1.49193>

.003%13 -1.+0 -2.11 .09%> 1.%3011>

.04%4 -.+0 -1.%1 1.303> 1.+40>

.0+39%4 -.01 -1.30 1.1+021> 1.+9%%>


60/107


61/107


62/107


63/107

9.1,: 4orrelation matri& - *sed in the Sim*lation

)orrelation matrix

USD forward rate (orrelation matri&

/amda #.9,

1 2 3 4 % + 0 9 1 11 12 13

1 1 .30+ .149+ .%0 .224 .0 .33 .13 .% .2 .1 . . .

2 .30+ 1 .30+ .149+ .%0 .224 .0 .33 .13 .% .2 .1 . .

3 .149+ .30+ 1 .30+ .149+ .%0 .224 .0 .33 .13 .% .2 .1 .

4 .%0 .149+ .30+ 1 .30+ .149+ .%0 .224 .0 .33 .13 .% .2 .% .224 .%0 .149+ .30+ 1 .30+ .149+ .%0 .224 .0 .33 .13 .% .

+ .0 .224 .%0 .149+ .30+ 1 .30+ .149+ .%0 .224 .0 .33 .13 .

.33 .0 .224 .%0 .149+ .30+ 1 .30+ .149+ .%0 .224 .0 .33 .

0 .13 .33 .0 .224 .%0 .149+ .30+ 1 .30+ .149+ .%0 .224 .0 .

9 .% .13 .33 .0 .224 .%0 .149+ .30+ 1 .30+ .149+ .%0 .224 .

1 .2 .% .13 .33 .0 .224 .%0 .149+ .30+ 1 .30+ .149+ .%0 .2

11 .1 .2 .% .13 .33 .0 .224 .%0 .149+ .30+ 1 .30+ .149+ .%

12 . .1 .2 .% .13 .33 .0 .224 .%0 .149+ .30+ 1 .30+ .14

13 . . .1 .2 .% .13 .33 .0 .224 .%0 .149+ .30+ 1 .30

14 . . . .1 .2 .% .13 .33 .0 .224 .%0 .149+ .30+

1% . . . . .1 .2 .% .13 .33 .0 .224 .%0 .149+ .30

1+ . . . . . .1 .2 .% .13 .33 .0 .224 .%0 .14

1 . . . . . . .1 .2 .% .13 .33 .0 .224 .%

10 . . . . . . . .1 .2 .% .13 .33 .0 .2

19 . . . . . . . . .1 .2 .% .13 .33 .

2 . . . . . . . . . .1 .2 .% .13 .

4holesky de(omosition res*lt

1

.30+ .9222

.149+ .3%++ .9222

.%0 .139 .3%++ .9222

.224 .%33 .139 .3%++ .9222

.0 .2+ .%33 .139 .3%++ .9222

.33 .0 .2+ .%33 .139 .3%++ .9222

.13 .31 .0 .2+ .%33 .139 .3%++ .9222

.% .12 .31 .0 .2+ .%33 .139 .3%++ .9222 .2 .% .12 .31 .0 .2+ .%33 .139 .3%++ .9222

.1 .2 .% .12 .31 .0 .2+ .%33 .139 .3%++ .9222

. .1 .2 .% .12 .31 .0 .2+ .%33 .139 .3%++ .9222

. . .1 .2 .% .12 .31 .0 .2+ .%33 .139 .3%++ .9222

. . . .1 .2 .% .12 .31 .0 .2+ .%33 .139 .3%++ .92

. . . . .1 .2 .% .12 .31 .0 .2+ .%33 .139 .3%

. . . . . .1 .2 .% .12 .31 .0 .2+ .%33 .13

. . . . . . .1 .2 .% .12 .31 .0 .2+ .%

. . . . . . . .1 .2 .% .12 .31 .0 .2

. . . . . . . . .1 .2 .% .12 .31 .

. . . . . . . . . .1 .2 .% .12 .

)hek matrix. . . . . . . . . . . . . .

. . . . . . . . . . . . . .

. . . . . . . . . . . . . .

. . . . . . . . . . . . . .

. . . . . . . . . . . . . .

. . . . . . . . . . . . . .

. . . . . . . . . . . . . .

. . . . . . . . . . . . . .

. . . . . . . . . . . . . .

. . . . . . . . . . . . . .

. . . . . . . . . . . . . .

. . . . . . . . . . . . . .

. . . . . . . . . . . . . .

. . . . . . . . . . . . . .


64/107

9.1+: ;e"alan(in) the Aal*ation of a 445S with ero mar)in off *nad*st

Cistori( data for 6ew market data

sim*lation

'5 &ol FG 2>

USD prinipal 1

Y prinipal 1K++.1

See )orrelation sheet for

f"rther data

Da# new

USD Y o"nt USD

forward forward 3 mo.

&olatilities &olatilities forwards


+-'e$-0

9.1%> 14.%2>

1.0+> 1%.120>

1.9%> 1+.4+2>

12.493> 10.4> +-'e$-913.+9%> 2.%43> +-?a#-9 .24 2.100>

14.%%2> 21.020> +-"!-9 .2%+ 2.430%>

1%.30> 22.%%+> +-@o&-9 .2%+ 3.%9+42>

1%.12+> 22.+09> 0-'e$-1 .2+1 3.939>

1%.3%9> 23.30> +-?a#-1 .242 3.%+09>

1%.34> 23.+1> +-"!-1 .2%+ 3.4%+0>

1+.2+> 24.39> 0-@o&-1 .2+1 3.43309>

1+.942> 2%.414> -'e$-11 .2%3 3.3090>

1.200> 2%.932> +-?a#-11 .244 4.4%0%>

1.294> 2%.941> 0-"!-11 .2+1 %.410>

1+.9%%> 2%.432> -@o&-11 .2%3 %.+9%0%>

1+.2+1> 24.392> +-'e$-12 .2%3 4.0+43>

1%.29> 23.%93> -?a#-12 .2%3 4.99%04>

1%.3%+> 23.34> +-"!-12 .2%3 %.0%2%%>

1%.14%> 22.10> +-@o&-12 .2%+ 4.0091>

1%.11> 22.+%1> +-'e$-13 .2%+ 3.%%2%4>


65/107


66/107

d (*r0es - sim*lation remo0ed

m ld spot '5 rate F 1+.+1

m @ew spot '5 rate F 94.9 6ew Aal*ation

1. he ori!inal pri

new new new

USD Y Y USD

D'(s 3 mo. D'(s ashflows

forwards

"nad;"sted "nad;"sted

1.2

1 1.994+3 .919> .9933 -%39K1%0

.9011 .+4901> .99+9 -1K2+

.901+ 1.330> .9933%4 -919K0%

.9+91 .0+11> .991319 -991K%41

.9+039 1.2210> .9000+ -0+K%49

.9%242% 1.4%010> .90%2% -003K421

.9439+1 1.2330> .902119 -09+K+2

.93%9+2 2.2210> .9++3+ -0%4K+3+

.92+9+ 1.2902+> .93%4+ -900K90%

.91343 1.43002> .9+993 -1K420K%+1

.93 1.%+4> .9++%3 -1K439K0%

.009032 1.%4++> .9+2200 -1K229K+%

.003% 1.0+3%> .9% -1K2+2K030

.0+%92% 1.239+> .9%404 -1K49K39%

.0%%4%% 1.202+> .9%1++% -1K223K031

.04%9 1.134> .940924 -1K9K02

8al"e 6Yen7 F


67/107

@et 8al"e 6USD7 F


68/107

ipals 2. e$alaned

Y Y

ashflows ashflows

I1J I2J

171+372337+#24K221K22+ 21K%0K190

1K2K4%2 1%KK%4

29K241K4+ 2+K%K+3+

21K001K249 19K493K%+

2+K333K300 23K4%9K00

39K24K329 3%K309K%90

33K49%K49 29K04K+02

%9K0%K9 %3K319K219

33K03K133 3K130K%0

4K49K%2 3%K+0K00+

42K40K3%1 3K043K99

41K3K090 3K1%3K1%%

%K21+K333 44K3+K11

33K4K0 29K+1K+00

34K942K901 31K129K991

1K+9K09+K2 9K%24K32K%%2

1K++K1K 1K++K1K


69/107

12K240K+4 12K240K+4


70/107


71/107


72/107


73/107


74/107

ipals 2. e$alaned

Y Y

ashflows ashflows

I1J I2J

-2792971227399

23K103K1 29K%%3K10%

24K+%K4+ 31K%K303

23K434K+ 29K03K020

24K320K90 31K13K20

2+K13+K%41 33K310K193

2K433K932 34K92K4

34K4+K+%2 43K929K%%+

33K39K1+2 42K4+1K+++

24K3%%K3 31K4K%13

3K3%K9 30K22K29

33K30K3 42K%49K%13

%2K%3%K0+ ++K91K3

41K+3+K% %3KK41

4+K029K%%% %9K+9K11

%3K31K1 +K9+K3+2

1K+90K09+K94 13K+30K+9K%%0


75/107

0K44%K2%4 0K44%K2%4

-21K%%4K4+ -21K%%4K4+


76/107

9.1$: ;e"alan(in) the Aal*ation of a 445S with mar)in off *nad*sted (*


sim*lation

'5 &ol FG 2>

USD prinipal 1

Y prinipal 1K++.1

See )orrelation sheet for 445S mar)in .,#

f"rther data

Da# new

USD Y o"nt USD




+-'e$-0

9.1%> 14.%2>

1.0+> 1%.120>

1.9%> 1+.4+2>

12.493> 10.4> +-'e$-913.+9%> 2.%43> +-?a#-9 .24 2.0%>

14.%%2> 21.020> +-"!-9 .2%+ 2.9001>

1%.30> 22.%%+> +-@o&-9 .2%+ 3.+91%>

1%.12+> 22.+09> 0-'e$-1 .2+1 2.0%%+3>

1%.3%9> 23.30> +-?a#-1 .242 3.24+>

1%.34> 23.+1> +-"!-1 .2%+ 3.19302>

1+.2+> 24.39> 0-@o&-1 .2+1 3.00121>

1+.942> 2%.414> -'e$-11 .2%3 4.4244>

1.200> 2%.932> +-?a#-11 .244 4.14429>

1.294> 2%.941> 0-"!-11 .2+1 4.3429>

1+.9%%> 2%.432> -@o&-11 .2%3 4.3+994>

1+.2+1> 24.392> +-'e$-12 .2%3 4.991>

1%.29> 23.%93> -?a#-12 .2%3 3.930+9>

1%.3%+> 23.34> +-"!-12 .2%3 4.2019>

1%.14%> 22.10> +-@o&-12 .2%+ 4.992>

1%.11> 22.+%1> +-'e$-13 .2%+ 4.3%3>


77/107


78/107

0es - sim*lation remo0ed


m @ew spot '5 rate F 9+.14 6ew Aal*ation

$p

1. he ori!inal pri

new new new 11.112+4+1

USD Y Y USD


forwards


1.2

1 1.9931%+ .9%1++> .99+%3 -+09K132

.90%+%3 .%20%> .99+194 -+1K2%

.9902 .%109> .99441 -04K339

.944 .%34%> .9920 -4%K+3

.9+3122 1.13433> .993 -91K3+2

.9%%32% .00404> .9004 -01+K190

.94%4 1.11%%+> .90491 -1K13K42+

.93%201 1.19+1> .902430 -1K110K3

.92%91 1.20393> .993+% -1K13K%

.91%44% .9+9%> .9+092 -1K142K1

.9%443 1.12999> .9419 -1K14K+2%

.094192 1.2+0%> .9114 -1K2%0K3%

.00%3 1.34%3> .9++%2 -99%K+13

.0%09+ 1.22014> .9+4+%0 -1K02K300

.0+%43 1.42%0> .9+11%1 -1K2%4K%9

.0%+213 1.%%02> .9%34 -11K31K3%4

8al"e 6Yen7 off Unad;"sted "r&e F


79/107

@et 8al"e 6USD7 F


80/107

ipals 2. e$alaned

Y ashflows

Y

ashflows ))*S mar!in )'(s

on delta-'5

I1J I2J I3J

17#77+,$2+K2++K101 23K+09K1+ 11+K3%

1+K031K+4 1%K10K33+ 12K29

1+K0%K+0+ 1%K1%+K01+ 12K29

22K224K4+ 2K44K192 122K094

3K301K+0 2K4K024 113K42

2%K331K+ 22K04%K40 12K29

32K33K003 29K134K42+ 122K094

20K+0K41 2%K02K1 110K91

34K+29K339 31K231K23 11%K49

20K24K3+ 2%K4+9K%91 122K094

31K++1K042 20K%%%K30 110K91

3%K10K9% 31K3%K%49 110K91

30K2%1K1%9 34K490K192 110K91

34K3+K433 3K94K490 110K91

4K11+K+1 3+K10K+1+ 12K29

1K3K+4K024 9K+%3K%K4+ 12K29

1K+9K1+K0%3 1K+9K1+K0%3 1K01K3


81/107

117#71,$ 117#71,$


82/107

9.19: ;e"alan(in) the Aal*ation of a 445S with mar)in off *nad*sted (*


sim*lation

@ote, the &al"ation an $

'5 &ol FG 2>

USD prinipal 1

Y prinipal 1K++.1


f"rther data

Da# new

USD Y o"nt USD




+-'e$-0

9.1%> 14.%2>

1.0+> 1%.120>

1.9%> 1+.4+2>

12.493> 10.4> +-'e$-913.+9%> 2.%43> +-?a#-9 .24 2.999>

14.%%2> 21.020> +-"!-9 .2%+ 2.%1+02>

1%.30> 22.%%+> +-@o&-9 .2%+ 2.133++>

1%.12+> 22.+09> 0-'e$-1 .2+1 2.19%1>

1%.3%9> 23.30> +-?a#-1 .242 3.11+3>

1%.34> 23.+1> +-"!-1 .2%+ 3.13%3>

1+.2+> 24.39> 0-@o&-1 .2+1 3.4%+3>

1+.942> 2%.414> -'e$-11 .2%3 3.1%103>

1.200> 2%.932> +-?a#-11 .244 3.+4+>

1.294> 2%.941> 0-"!-11 .2+1 3.3041>

1+.9%%> 2%.432> -@o&-11 .2%3 3.041%+>

1+.2+1> 24.392> +-'e$-12 .2%3 3.+%3%>

1%.29> 23.%93> -?a#-12 .2%3 3.%+9+>

1%.3%+> 23.34> +-"!-12 .2%3 4.4%+2>

1%.14%> 22.10> +-@o&-12 .2%+ 3.2240>

1%.11> 22.+%1> +-'e$-13 .2%+ 3.019>


83/107


84/107

0es - *sin) sim*lation

sim"lated $# pressin! '9 ke#


m @ew spot '5 rate F 14.24 6ew Aal*ation

$p

1. he ori!inal pri

new new new

USD Y Y USD


forwards


1.2

1 1.992+30 .+241> .990119 -41K+1

.90+29% .%%2%> .99+11 -+43K100

.9094+ .%32+> .99%3%+ -%4%K2+

.9%3%% .009> .993312 -%3K102

.9+0+% 1.1224> .99+24 -%3K122

.9+3 1.092> .9009% -01K244

.9%19% 1.3+1> .90%134 -009K240

.944301 1.2+%4> .901993 -9+K11

.93+%1 .941> .99++9 -009K92%

.920%2 1.1393> .902 -003K+2+

.910929 .02992> .9%3 -91K+2

.91%21 1.2333> .92%21 -923K49

.9230 1.9+04%> .9++ -92K3%

.092324 2.12429> .9+2%3 -1K12+K00

.00%24 1.13%> .9%03 -024K0

.0+%%2 1.%129> .9%41 -1K9++K40%



85/107

@et 8al"e 6USD7 F


86/107

ipals 2. e$alaned

Y ashflows

Y

ashflows ))*S mar!in )'(s

on delta-'5

I1J I2J I3J

23+72237+,21K20K%% 2K0K092 2+K233

1+K29K39+ 1%K919K29+ 2K11

1%K3K11+ 1%K309K1 2K11

23K100K012 22K+%K04 2K

3K03K3+ 29K41K0+2 2%K+43

3K+2K9 29K994K421 2K11

31K13+K93 3K44K3+2 2K

3%K31K%%4 34K%29K403 2+K022

2+K4%9K%43 2%K04K2% 2%K930

29K44K909 20K023K1 2K

23K%%K904 23K%4K402 2+K022

20K0K+2 20K1%K03 2+K022

%4K2%%K10% %3K%%K%0 2+K022

%0K4%4K34+ %K1+1K334 2+K022

4K%%K2% 4+K%22K++4 2K11

1K9K3%K440 1K42K1%1K22+ 2K11

1K+9K13K404 1K+9K13K404 421K9+


87/107

27,7#11 27,7#11


88/107

9.2#: ;e"alan(in) the Aal*ation of a 445S with mar)in off ad*sted (*r0


sim*lation

'5 &ol FG 2>

USD prinipal 1

Y prinipal 1K++.1


f"rther data

Da# new

USD Y o"nt USD




+-'e$-0

9.1%> 14.%2>

1.0+> 1%.120>

1.9%> 1+.4+2>

12.493> 10.4> +-'e$-913.+9%> 2.%43> +-?a#-9 .24 1.044+1>

14.%%2> 21.020> +-"!-9 .2%+ 2.931>

1%.30> 22.%%+> +-@o&-9 .2%+ 2.+%2%+>

1%.12+> 22.+09> 0-'e$-1 .2+1 2.+3%3>

1%.3%9> 23.30> +-?a#-1 .242 2.993>

1%.34> 23.+1> +-"!-1 .2%+ 2.%33%+>

1+.2+> 24.39> 0-@o&-1 .2+1 3.+4>

1+.942> 2%.414> -'e$-11 .2%3 2.++%>

1.200> 2%.932> +-?a#-11 .244 2.99%40>

1.294> 2%.941> 0-"!-11 .2+1 3.+4+%>

1+.9%%> 2%.432> -@o&-11 .2%3 4.310>

1+.2+1> 24.392> +-'e$-12 .2%3 %.1++1>

1%.29> 23.%93> -?a#-12 .2%3 %.3%+>

1%.3%+> 23.34> +-"!-12 .2%3 4.1+>

1%.14%> 22.10> +-@o&-12 .2%+ 4.339>

1%.11> 22.+%1> +-'e$-13 .2%+ 3.33>


89/107


90/107


91/107


92/107

6ew Aal*ation

1. he ori!inal prinipals 2. e$alaned

Y ashflows

USD Y

ashflows ashflows ))*S mar!in )'(s

on delta-'5

I1J I2J I3J

-%K344K03%-4%+K20 19K+10K041 2K+01K30+ -+4K23

-41K94 20K494K31 3K3K%%2 -++K39%

-+K0+ 22K191K39 23K393K2 -++K39%

-+00K+0 24K4+K94+ 2+K0K22+ -+K030

-+1K01+ 2+K934K412 20K393K1+4 -+2K0+

-+4K4++ 32K+K3+1 33K04K11 -++K39%

-99K14 2K924K44 29K43+K04 -+K030

-+99K+ 2+K1+%K91 2K%02K1 -+%K+3

-32K22 34K30K32 3+K24K23 -+3K%0

-9%2K143 42K92K4+% 4%K11K0 -+K030

-1K10K4 31K04K1 32K+K+4 -+%K+3

-1K3%K0+ 43K220K33 4%K%+9K239 -+%K+3

-1K3%0K+9+ 43K40K44 4%K033K2 -+%K+3

-1K1%K1%+ 4+K9%K934 49K33K34 -+%K+3

-1K11K93 ++K129K2 +9K1K%04 -++K39%

-1K043K411 1K1K2K044 11K29K0K24 -++K39%

1K+%3K100K0 1K+%2K013K34 -1K29K04


93/107

-,7199719+ -%K211K+91

1K+9K132K900 1K+0K1+3K04 -1K3K01+

6a7 6$7 67

-2%K944K90 -2K3%K+9 1K12

-1K44K1%


94/107

@et Y

ashflows

I4J

-,+79#7$92K+01K30+

3K3K%%2

23K393K2

2+K0K22+

20K393K1+4

33K04K11

29K43+K04

2K%02K1

3+K24K23

4%K11K0

32K+K+4

4%K%+9K239

4%K033K2

49K33K34

+9K1K%04

11K29K0K24

1K+%3K100K0


95/107

-,7199719+


96/107

9.21: ;e"alan(in) the Aal*ation of a 445S with mar)in off ad*sted (*r0


sim*lation

@ote, the &al"ation an $

'5 &ol FG 2>

USD prinipal 1

Y prinipal 1K++.1


f"rther data

Da# new

USD Y o"nt USD




+-'e$-0

9.1%> 14.%2>

1.0+> 1%.120>

1.9%> 1+.4+2>

12.493> 10.4> +-'e$-913.+9%> 2.%43> +-?a#-9 .24 2.134>

14.%%2> 21.020> +-"!-9 .2%+ 2.29%3>

1%.30> 22.%%+> +-@o&-9 .2%+ 2.234%>

1%.12+> 22.+09> 0-'e$-1 .2+1 3.+03>

1%.3%9> 23.30> +-?a#-1 .242 2.3+93+>

1%.34> 23.+1> +-"!-1 .2%+ 3.3400>

1+.2+> 24.39> 0-@o&-1 .2+1 4.19%4>

1+.942> 2%.414> -'e$-11 .2%3 2.0%0>

1.200> 2%.932> +-?a#-11 .244 3.+0234>

1.294> 2%.941> 0-"!-11 .2+1 4.+1902>

1+.9%%> 2%.432> -@o&-11 .2%3 4.0242>

1+.2+1> 24.392> +-'e$-12 .2%3 4.000>

1%.29> 23.%93> -?a#-12 .2%3 2.+3>

1%.3%+> 23.34> +-"!-12 .2%3 3.1309>

1%.14%> 22.10> +-@o&-12 .2%+ 4.429%>

1%.11> 22.+%1> +-'e$-13 .2%+ 4.%34>


97/107


98/107

s - *sin) sim*lation

sim"lated $# pressin! '9 ke#


m @ew spot '5 rate F 1+.%

$p

new new new new new

USD Y Y Y Y

D'(s 3 mo. 3 mo. D'(s D'(s

forwards forwards

"nad;"sted ad;"sted "nad;"sted ad;"sted

1.2

1 1 1.994+%+ .+9> .2+> .9902%+ .990222

.9000%4 .0%9+> .00%9> .99+9 .99%90

.903239 .291> .+432> .99423 .99439

.9%424 .+330> .0419> .9922%9 .9919%+

.9+90 .900%4> 1.32+> .909094 .90940+

.9+1+4 .01342> .04%02> .90041 .903%2

.9%12%9 .0++++> .0909> .90%+1 .90%4

.94439 .9902> 1.341+> .90313 .90242

.93%9+% 1.+4> 1.143> .90%09 .9902

.92409 1.3+314> 1.42+++> .9111 .9+191

.9131 1.3300> 1.409> .9301+ .9229

.9243 1.+313> 1.29+> .9+902 .9+049%

.09+42 1.%+4+> 1.114%> .9+219 .9+%+

.000134 1.%2%30> 1.+1419> .9+3%4 .9+1042

.002%2 1.124> 1.030%> .9%91+3 .9%2%0

.0+02%1 1.3903> 1.409> .9%%4 .9%3+%+

8al"e 6Yen7 off d;"sted "r&e F


99/107

@et 8al"e 6USD7 F


)han!e in &al"ation off the "r&es

otal han!e in &al"ation off the "r&es


100/107

6ew Aal*ation

1. he ori!inal prinipals 2. e$alaned

Y ashflows

USD Y

ashflows ashflows ))*S mar!in )'(s

on delta-'5

I1J I2J I3J

-%K344K+0+K%93-%3K313 19K012K00% 29K4+K%31 -%94K%9+

-%0+K+0+ 24K40K20+ 3+K+4%K942 -+14K+39

-%1K30 21K9K321 31K++4K44 -+14K+39

-01K201 22K%K00+ 33K02K223 -+20K1

-%2K%9% 2+K+2+K2 39K9%K%+1 -%01K23%

-0%%K022 23K30%K4+ 3%K11K21 -+14K+39

-1K91K32% 2%K3%K%4 30K90K43 -+20K1

-2K30 20K1%K%1 42K19+K94+ -+K9%0

-9K120 20K9%K30 43K232K94 -%0K91+

-1K2+K20+ 39K19%K233 %0K04+K+++ -+20K1

-1K213K944 3K29K211 %%K90+K%1 -+K9%0

-1K21%K%% 4%K32K33 +0K%3K29% -+K9%0

-+99K+2 29K+0K3%3 44K%+1K202 -+K9%0

-930K00 42K31%K922 +3K%31K904 -+K9%0

-1K12%K190 49K40K99 4K20+K431 -+14K+39

-11K1%1K0+ 1K+99K419K14% 1+K+3K019K29+ -+14K+39

1K+%+K3+%K12 1K+%4K492K%2% -9K%%3K243


101/107

-33717+3 -33K409K2

1K+9K11K1++ 1K+00K32K93% -9K%+1K+0

-22K0+K+4 -34K24K41 0K%2+

-11K42%K02


102/107

@et Y

ashflows

-,7327$17#1,29K4+K%31

3+K+4%K942

31K++4K44

33K02K223

39K9%K%+1

3%K11K21

30K90K43

42K19+K94+

43K232K94

%0K04+K+++

%%K90+K%1

+0K%3K29%

44K%+1K202

+3K%31K904

4K20+K431

1+K+3K019K29+

1K+%+K3+%K12


103/107

-33717+3


104/107

9.22: Swain) a re0erse d*al (*rren(y

heoretial YenC< forward rate F %0.99 1.%0>

Yen rinipal F 1$n

USD prinipal F 1 m

?at"rit# F 3. #ears

o"pon 6Yen7 F %.+%> @@

redemption 6UD7 F 1

USD USD df(s Yen Yen UD UD *ond *ond

data data df(s data df(s dates Yen

I1J

2+-"n-9+ 1 1 1 H 2+-"n-9+ 1KKK

2+-De-9+ %.%> .91+1 H

2+-"n-9 +.1%+> .9412% 1.1%+> .900413 1.41> .9%%1 H 2+-"n-9 -%+%KK

H

2+-"n-90 +.%%> .0911 1.419> .9+102 1.0> .01293 H 2+-"n-90 -%+%KK

H

2+-"n-99 +.+> .0199% 1.+> .930203 11.2%> .240% H 2+-"n-99 -%+%KK

H

8 of $ond ashflows 0K3+4K9%9K2

8 USD7 F +K+02K9

@et 8 6USD7


105/107

9.23: Swain) a d*al (*rren(y


106/107

9 2 @ i i , Y USD diff i h 4 i < h 1


107/107

9.2,: @ri(in) a , year Yen-USD ?*anto diff swa with 4on0e&ity - .909923 -%4K413K299 2.+%+> 1.4% 2.++0> 11

1 +-"!-9 .%3 .39> .90+1%1 -3K1+9K93 2.%40> 1.91 2.%1> +

1.% 0-'e$-1 .%1 .+94> .9024+2 -3%K04K%91 2.9%> 1.13+ 2.033> 19

2 +-"!-1 .49 .909> .94+ -49K1K22% 3.310> 1.102 3.30> 4+

2.% -'e$-11 .%14 1.21> .91212 -+2K101K+%4 3.+99> 1.22 3.03> +03 0-"!-11 .%+ 1.30> .9+4%%4 -++K139K%3 3.90> 1.24 4.1%> 9

3.% +-'e$-12 .%+ 1.34> .9%%4 -+9K4+%K22 4.11> 1.32 4.249> 9

4 +-"!-12 .%+ 1.43%> .9%2%% -2K%+3K449 4.3%%> 1.3+ 4.%1%> 14

4.% +-'e$-13 .%11 1.%+3> .94234 -9K094K%92 4.%02> 1.413 4.1> 110

8 6Yen7 on 1 $n nominal F -%%%K20K331 %%%

@et 8 F

-50

0

ch 9 cross currency

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