CH 9 Cross Currency

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 pricing a cross-currency basis swap
9.5 Deriving DF's from a generic swap curve plus a CCBS curve
9.6 Creating a synthetic foreign asset: Swapping a USD bond into fl
9.7 Swapping a SA bond into USD Libor
9.8 Pricing a 5 year Yen-USD diff swap
9.9 Pricing a 5 year Yen-USD quanto diff swap
9.10 Pricing a USD-Yen LTFX: analysing the USD leg (1)
9.11 Pricing a USD-Yen LTFX: analysing the USD leg (2)
9.12 Pricing a USD-Yen LTFX
9.13 Valuation of a CCBS - simulation removed
9.14 Valuation of a CCBS with simulation
9.15 Correlation matrix - used in the Simulation
9.16 Rebalancing the Valuation of a CCBS with zero margin off unad
9.17 Rebalancing the Valuation of a CCBS with zero margin off unad
9.18 Rebalancing the Valuation of a CCBS with margin off unadjuste
9.19 Rebalancing the Valuation of a CCBS with margin off unadjuste
9.20 Rebalancing the Valuation of a CCBS with margin off adjusted c
9.21 Rebalancing the Valuation of a CCBS with margin off adjusted c
9.22 Swapping a reverse dual currency A$-Yen bond into floating US
9.23 Swapping a dual currency A$-Yen bond into floating USD: calc
9.24 Pricing a 5 year Yen-USD quanto diff swap with Convexity - Ap
9.25 Pricing a 5 year Yen-USD quanto diff swap with Convexity - Ap
basis swap
urve plus a CCBS curve
wapping a USD bond into floating Yen
the USD leg (1)

the USD leg (2)
with zero margin off unadjusted curves - simulation removed

with zero margin off unadjusted curves - using simulation
with margin off unadjusted curves - simulation removed
with margin off unadjusted curves - using simulation
with margin off adjusted curves - simulation removed
with margin off adjusted curves - using simulation
-Yen bond into floating USD
nd into floating USD: calculating the breakeven coupon rate
swap with Convexity - Approach 1
swap with Convexity - Approach 2
9.1: USD market data
Today's date:
4-Feb-08
2
Settlement
Time
Z-c
rates
gradient
0.000
0.019
0.081
0.250
0.506
0.761
1.017
1.264
1.519
1.775
2.036
2.278
2.533
2.794
3.047
3.292
3.553
3.806
4.058
4.311
4.564
4.819
5.075
5.322
5.578
5.833
6.089
6.336
6.592
6.847
7.103
7.350
7.606
7.861
8.122
8.367
8.628
8.881
9.133
9.386
9.639
9.892
10.147
10.397
10.650
10.906
11.161
11.408
11.664
11.919
12.175
12.425
12.681
12.936
13.197
13.439
13.694
13.956
14.208
14.453
14.714
14.967
15.219
15.472
15.725
15.978
16.233
16.483
16.739
16.994
17.250
17.497
17.753
18.008
18.264
18.511
18.767
19.022
19.283
19.525
19.781
20.042
20.294
20.547
20.800
21.053
21.308
21.558
21.811
22.067
22.322
22.569
22.825
23.081
23.336
23.583
23.839
24.094
24.350
24.600
24.856
25.117
25.369
25.614
25.875
26.128
26.381
26.633
26.886
27.139
27.394
27.644
27.897
28.153
28.408
28.658
28.914
29.169
29.425
29.672
29.928
30.183
30.444
3.216%
3.216%
3.177%
3.133%
3.073%
2.955%
2.854%
2.787%
2.748%
2.737%
2.755%
2.798%
2.860%
2.929%
2.995%
3.057%
3.120%
3.180%
3.239%
3.298%
3.357%
3.417%
3.475%
3.531%
3.588%
3.643%
3.695%
3.742%
3.789%
3.833%
3.875%
3.913%
3.951%
3.987%
4.025%
4.060%
4.098%
4.133%
4.167%
4.200%
4.231%
4.261%
4.290%
4.317%
4.343%
4.368%
4.393%
4.416%
4.439%
4.461%
4.483%
4.503%
4.524%
4.544%
4.564%
4.582%
4.600%
4.618%
4.634%
4.650%
4.666%
4.680%
4.694%
4.707%
4.719%
4.730%
4.741%
4.752%
4.761%
4.771%
4.780%
4.788%
4.795%
4.803%
4.810%
4.816%
4.823%
4.829%
4.834%
4.839%
4.844%
4.849%
4.854%
4.858%
4.862%
4.866%
4.869%
4.872%
4.875%
4.878%
4.881%
4.883%
4.886%
4.888%
4.889%
4.891%
4.892%
4.894%
4.895%
4.896%
4.896%
4.897%
4.897%
4.897%
4.897%
4.897%
4.897%
4.896%
4.896%
4.895%
4.894%
4.894%
4.893%
4.892%
4.891%
4.890%
4.889%
4.888%
4.887%
4.886%
4.885%
4.884%
4.882%
0.0000
-0.0064
-0.0026
-0.0023
-0.0046
-0.0040
-0.0027
-0.0016
-0.0004
0.0007
0.0018
0.0024
0.0026
0.0026
0.0025
0.0024
0.0024
0.0023
0.0023
0.0023
0.0023
0.0023
0.0023
0.0022
0.0021
0.0020
0.0019
0.0018
0.0017
0.0016
0.0015
0.0015
0.0014
0.0014
0.0014
0.0014
0.0014
0.0014
0.0013
0.0012
0.0012
0.0011
0.0011
0.0010
0.0010
0.0010
0.0009
0.0009
0.0009
0.0008
0.0008
0.0008
0.0008
0.0008
0.0007
0.0007
0.0007
0.0007
0.0006
0.0006
0.0006
0.0005
0.0005
0.0005
0.0005
0.0004
0.0004
0.0004
0.0004
0.0003
0.0003
0.0003
0.0003
0.0003
0.0003
0.0002
0.0002
0.0002
0.0002
0.0002
0.0002
0.0002
0.0002
0.0002
0.0001
0.0001
0.0001
0.0001
0.0001
0.0001
0.0001
0.0001
0.0001
0.0001
0.0001
0.0001
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
DFs
6-Feb-08
13-Feb-08
6-Mar-08
6-May-08
6-Aug-08
6-Nov-08
6-Feb-09
6-May-09
6-Aug-09
6-Nov-09
8-Feb-10
6-May-10
6-Aug-10
8-Nov-10
7-Feb-11
6-May-11
8-Aug-11
7-Nov-11
6-Feb-12
7-May-12
6-Aug-12
6-Nov-12
6-Feb-13
6-May-13
6-Aug-13
6-Nov-13
6-Feb-14
6-May-14
6-Aug-14
6-Nov-14
6-Feb-15
6-May-15
6-Aug-15
6-Nov-15
8-Feb-16
6-May-16
8-Aug-16
7-Nov-16
6-Feb-17
8-May-17
7-Aug-17
6-Nov-17
6-Feb-18
7-May-18
6-Aug-18
6-Nov-18
6-Feb-19
6-May-19
6-Aug-19
6-Nov-19
6-Feb-20
6-May-20
6-Aug-20
6-Nov-20
8-Feb-21
6-May-21
6-Aug-21
8-Nov-21
7-Feb-22
6-May-22
8-Aug-22
7-Nov-22
6-Feb-23
8-May-23
7-Aug-23
6-Nov-23
6-Feb-24
6-May-24
6-Aug-24
6-Nov-24
6-Feb-25
6-May-25
6-Aug-25
6-Nov-25
6-Feb-26
6-May-26
6-Aug-26
6-Nov-26
8-Feb-27
6-May-27
6-Aug-27
8-Nov-27
7-Feb-28
8-May-28
7-Aug-28
6-Nov-28
6-Feb-29
7-May-29
6-Aug-29
6-Nov-29
6-Feb-30
6-May-30
6-Aug-30
6-Nov-30
6-Feb-31
6-May-31
6-Aug-31
6-Nov-31
6-Feb-32
6-May-32
6-Aug-32
8-Nov-32
7-Feb-33
6-May-33
8-Aug-33
7-Nov-33
6-Feb-34
8-May-34
7-Aug-34
6-Nov-34
6-Feb-35
7-May-35
6-Aug-35
6-Nov-35
6-Feb-36
6-May-36
6-Aug-36
6-Nov-36
6-Feb-37
6-May-37
6-Aug-37
6-Nov-37
8-Feb-38
1
0.999375
0.997444
0.992199
0.984582
0.977757
0.971397
0.965383
0.959112
0.952586
0.945458
0.938249
0.930114
0.921421
0.912764
0.904277
0.895080
0.886033
0.876830
0.867460
0.857939
0.848181
0.838308
0.828657
0.818623
0.808572
0.798542
0.788893
0.778986
0.769156
0.759411
0.750070
0.740476
0.730914
0.721150
0.711980
0.702199
0.692775
0.683432
0.674199
0.665077
0.656066
0.647070
0.638378
0.629697
0.621026
0.612459
0.604262
0.595886
0.587602
0.579409
0.571476
0.563459
0.555537
0.547547
0.540244
0.532627
0.524957
0.517641
0.510671
0.503346
0.496370
0.489511
0.482770
0.476145
0.469632
0.463159
0.456933
0.450675
0.444521
0.438469
0.432708
0.426850
0.421087
0.415418
0.410018
0.404525
0.399120
0.393684
0.388729
0.383570
0.378381
0.373434
0.368562
0.363763
0.359037
0.354332
0.349799
0.345286
0.340794
0.336371
0.332158
0.327870
0.323650
0.319496
0.315538
0.311512
0.307549
0.303649
0.299893
0.296114
0.292316
0.288697
0.285251
0.281629
0.278176
0.274776
0.271426
0.268126
0.264873
0.261632
0.258506
0.255389
0.252281
0.249216
0.246256
0.243271
0.240325
0.237417
0.234639
0.231803
0.229002
0.226176
0.250
0.256
0.256
0.256
0.247
0.256
0.256
0.261
0.242
0.256
0.261
0.253
0.244
0.261
0.253
0.253
0.253
0.253
0.256
0.256
0.247
0.256
0.256
0.256
0.247
0.256
0.256
0.256
0.247
0.256
0.256
0.261
0.244
0.261
0.253
0.253
0.253
0.253
0.253
0.256
0.250
0.253
0.256
0.256
0.247
0.256
0.256
0.256
0.250
0.256
0.256
0.261
0.242
0.256
0.261
0.253
0.244
0.261
0.253
0.253
0.253
0.253
0.253
0.256
0.250
0.256
0.256
0.256
0.247
0.256
0.256
0.256
0.247
0.256
0.256
0.261
0.242
0.256
0.261
0.253
0.253
0.253
0.253
0.256
0.250
0.253
0.256
0.256
0.247
0.256
0.256
0.256
0.247
0.256
0.256
0.256
0.250
0.256
0.261
0.253
0.244
0.261
0.253
0.253
0.253
0.253
0.253
0.256
0.250
0.253
0.256
0.256
0.250
0.256
0.256
0.256
0.247
0.256
0.256
0.261
3.145%
3.027%
2.731%
2.562%
2.520%
2.558%
2.681%
2.887%
3.179%
3.422%
3.613%
3.752%
3.839%
3.935%
4.039%
4.152%
4.273%
4.390%
4.502%
4.609%
4.711%
4.796%
4.864%
4.915%
4.948%
4.976%
5.001%
5.021%
5.037%
5.070%
5.119%
5.185%
5.269%
5.335%
5.381%
5.409%
5.418%
5.426%
5.433%
5.440%
5.446%
5.454%
5.463%
5.474%
5.487%
5.501%
5.516%
5.533%
5.552%
5.568%
5.580%
5.589%
5.594%
5.596%
5.595%
5.591%
5.584%
5.573%
5.560%
5.543%
5.524%
5.505%
5.486%
5.468%
5.451%
5.434%
5.417%
5.401%
5.385%
5.370%
5.355%
5.341%
5.327%
5.313%
5.300%
5.287%
5.275%
5.263%
5.252%
5.241%
5.230%
5.219%
5.207%
5.196%
5.183%
5.171%
5.158%
5.145%
5.131%
5.117%
5.103%
5.088%
5.073%
5.058%
5.042%
5.026%
5.010%
4.993%
4.977%
4.959%
4.942%
4.926%
4.910%
4.896%
4.882%
4.870%
4.858%
4.847%
4.837%
4.828%
4.820%
4.813%
4.807%
4.801%
4.797%
4.793%
4.790%
4.788%
4.786%
4.785%
9.2: Yen market data
Today's date:
Settlement
Spot rate
4-Feb-08
0
106.601
Time
Z-C rates
Unadjusted
gradient
0.000
0.019
0.081
0.253
0.506
0.761
1.017
1.264
1.519
1.775
2.031
2.278
2.533
2.789
3.044
3.292
3.547
3.803
4.064
4.308
4.569
4.822
5.075
5.328
5.581
5.833
6.089
6.339
6.592
6.847
7.103
0.585%
0.585%
0.642%
0.870%
0.918%
0.976%
0.991%
0.955%
0.908%
0.871%
0.853%
0.859%
0.878%
0.905%
0.933%
0.960%
0.986%
1.010%
1.034%
1.055%
1.078%
1.101%
1.126%
1.153%
1.181%
1.210%
1.238%
1.265%
1.290%
1.316%
1.341%
0.0000
0.0094
0.0132
0.0019
0.0023
0.0006
-0.0015
-0.0018
-0.0015
-0.0007
0.0002
0.0008
0.0010
0.0011
0.0011
0.0010
0.0010
0.0009
0.0009
0.0009
0.0009
0.0010
0.0011
0.0011
0.0011
0.0011
0.0011
0.0010
0.0010
0.0010
0.0010
Z-C rates
Adjusted
0.250
0.506
0.761
1.017
1.264
1.519
1.775
2.036
2.278
2.533
2.794
3.047
3.292
3.553
3.806
4.058
4.311
4.564
4.819
5.075
5.322
5.578
5.833
6.089
6.336
6.592
6.847
7.103
0.869%
0.921%
0.980%
0.996%
0.962%
0.918%
0.884%
0.869%
0.877%
0.900%
0.929%
0.959%
0.987%
1.016%
1.043%
1.069%
1.094%
1.118%
1.144%
1.171%
1.200%
1.230%
1.261%
1.290%
1.317%
1.344%
1.371%
1.397%
gradient
7.350
7.606
7.861
8.117
8.367
8.622
8.878
9.139
9.381
9.636
9.897
10.150
10.394
10.656
10.908
11.161
11.414
11.667
11.919
12.175
12.425
12.681
12.936
13.192
13.439
13.694
13.950
14.206
14.453
14.708
14.964
15.225
15.467
15.722
15.983
16.236
16.489
16.742
16.994
17.250
17.500
17.753
18.008
1.366%
1.392%
1.418%
1.445%
1.473%
1.502%
1.532%
1.561%
1.588%
1.615%
1.642%
1.667%
1.691%
1.714%
1.737%
1.758%
1.779%
1.799%
1.820%
1.840%
1.859%
1.879%
1.899%
1.919%
1.937%
1.956%
1.975%
1.993%
2.010%
2.027%
2.044%
2.061%
2.076%
2.092%
2.107%
2.122%
2.136%
2.150%
2.163%
2.176%
2.189%
2.202%
2.214%
0.0010
0.0010
0.0011
0.0011
0.0011
0.0011
0.0011
0.0011
0.0011
0.0010
0.0010
0.0009
0.0009
0.0009
0.0008
0.0008
0.0008
0.0008
0.0008
0.0008
0.0008
0.0008
0.0008
0.0008
0.0007
0.0007
0.0007
0.0007
0.0007
0.0007
0.0006
0.0006
0.0006
0.0006
0.0006
0.0006
0.0005
0.0005
0.0005
0.0005
0.0005
0.0005
0.0005
7.350
7.606
7.861
8.122
8.367
8.628
8.881
9.133
9.386
9.639
9.892
10.147
10.397
10.650
10.906
11.161
11.408
11.664
11.919
12.175
12.425
12.681
12.936
13.197
13.439
13.694
13.956
14.208
14.453
14.714
14.967
15.219
15.472
15.725
15.978
16.233
16.483
16.739
16.994
17.250
17.497
17.753
18.008
1.422%
1.448%
1.475%
1.504%
1.532%
1.562%
1.592%
1.621%
1.650%
1.678%
1.704%
1.730%
1.755%
1.778%
1.801%
1.823%
1.843%
1.864%
1.885%
1.905%
1.924%
1.944%
1.963%
1.983%
2.001%
2.019%
2.038%
2.055%
2.072%
2.089%
2.105%
2.121%
2.136%
2.151%
2.165%
2.179%
2.193%
2.206%
2.220%
2.232%
2.245%
2.257%
2.269%
18.264
18.511
18.767
19.022
19.278
19.525
19.781
20.036
20.292
20.542
20.797
21.058
21.311
21.556
21.817
22.069
22.322
22.575
22.828
23.081
23.336
23.586
23.839
24.094
24.350
24.600
24.856
25.111
25.367
25.614
25.869
26.125
26.386
26.628
26.883
27.144
27.397
27.642
27.903
28.156
28.408
28.661
28.914
2.226%
2.237%
2.249%
2.260%
2.271%
2.282%
2.293%
2.303%
2.313%
2.323%
2.333%
2.343%
2.352%
2.361%
2.371%
2.379%
2.388%
2.397%
2.405%
2.413%
2.422%
2.429%
2.437%
2.445%
2.452%
2.459%
2.467%
2.474%
2.481%
2.487%
2.494%
2.500%
2.507%
2.513%
2.519%
2.525%
2.530%
2.536%
2.542%
2.547%
2.552%
2.557%
2.563%
0.0005
0.0005
0.0004
0.0004
0.0004
0.0004
0.0004
0.0004
0.0004
0.0004
0.0004
0.0004
0.0004
0.0004
0.0004
0.0003
0.0003
0.0003
0.0003
0.0003
0.0003
0.0003
0.0003
0.0003
0.0003
0.0003
0.0003
0.0003
0.0003
0.0003
0.0003
0.0002
0.0002
0.0002
0.0002
0.0002
0.0002
0.0002
0.0002
0.0002
0.0002
0.0002
0.0002
18.264
18.511
18.767
19.022
19.283
19.525
19.781
20.042
20.294
20.547
20.800
21.053
21.308
21.558
21.811
22.067
22.322
22.569
22.825
23.081
23.336
23.583
23.839
24.094
24.350
24.600
24.856
25.117
25.369
25.614
25.875
26.128
26.381
26.633
26.886
27.139
27.394
27.644
27.897
28.153
28.408
28.658
28.914
2.281%
2.292%
2.303%
2.315%
2.326%
2.336%
2.346%
2.357%
2.367%
2.377%
2.387%
2.396%
2.405%
2.414%
2.423%
2.432%
2.441%
2.449%
2.458%
2.466%
2.474%
2.481%
2.489%
2.497%
2.504%
2.511%
2.518%
2.525%
2.532%
2.538%
2.545%
2.551%
2.557%
2.563%
2.569%
2.574%
2.580%
2.585%
2.590%
2.596%
2.601%
2.606%
2.611%
29.169
29.425
29.672
29.928
30.183
30.439
2.568%
2.573%
2.577%
2.582%
2.587%
2.592%
0.0002
0.0002
0.0002
0.0002
0.0002
29.169
29.425
29.672
29.928
30.183
30.444
2.616%
2.620%
2.625%
2.630%
2.634%
2.638%
Acc
day count
4-Feb-08
6-Feb-08
6-Aug-08
6-Feb-09
6-Aug-09
8-Feb-10
6-Aug-10
7-Feb-11
8-Aug-11
6-Feb-12
6-Aug-12
6-Feb-13
0.006
0.511
1.022
1.525
2.042
2.539
3.053
3.558
4.064
4.569
5.081
Interpolated
Z-C rates
0.585%
0.919%
0.990%
0.907%
0.853%
0.879%
0.934%
0.987%
1.034%
1.078%
1.126%
Day count
Act/365
0.005
0.499
0.504
0.496
0.510
0.490
0.507
0.499
0.499
0.499
0.504
DFs
0.999968
0.995313
0.989927
0.986261
0.982738
0.977929
0.971886
0.965500
0.958840
0.951932
0.944387
0
0.00547927
0.50177246
1.00080403
1.48988131
1.99067379
2.47026111
2.96286091
3.44428846
3.92239484
4.39705691
4.87313146
Forward
swaps
0.938%
1.009%
0.923%
0.868%
0.894%
0.950%
1.002%
1.050%
1.094%
1.142%
9.3: Worksheet to estimate Yen-USD forward rates

Today's date:
Settlement
Spot rate:
3
6
12
6-Feb-08
6-May-08
6-Aug-08
6-Feb-09
Act/360
0.250
0.506
1.017
4-Feb-08
2
106.601
Offer-JPY
Bid-JPY
mid-JPY
0.872%
0.921%
0.995%
0.747%
0.796%
0.870%
0.809%
0.858%
0.933%
Offer-USD
Bid-USD
mid-USD
theoretical
forwards
3.145%
3.098%
2.896%
3.020%
2.973%
2.771%
3.083%
3.035%
2.834%
105.9998
105.4457
104.5986
% change
in rate
quoted
forwards
0.56%
1.08%
1.88%
105.99
105.46
104.55
implied
Yen rate
Skew
(bp)
0.7608%
0.8816%
0.8906%
-4.85
2.33
-4.24
9.4: Example of pricing a cross-currency basis swap

Today's date:
4-Feb-08
Current spot rate =
106.601
FX volatility =
Probability
Envelope multiplier =
Spread on CCBS
3mo. Forward skew
borrowing margin
depositing margin
25% pa.
75%
1.150
Assume a principal of
Yen principal
0
2
3
-5
bp
bp
bp
bp
75% FX envelope
assuming 25% pa. volatility
1.00 m USD
106.601 m Yen
180
Period
Day
count
USD
df's
Yen
df's
excess
(Yen)
Estimated
forward FX envelope ---------------->
rates
0.75 up
0.75 down
cost of
excess
per
period
Day
count
shortfall
(Yen)
cost of
shortfall
per
period
6-Feb-08
6-May-08
6-Aug-08
6-Nov-08
6-Feb-09
6-May-09
6-Aug-09
6-Nov-09
8-Feb-10
6-May-10
6-Aug-10
8-Nov-10
7-Feb-11
0
0.250
0.506
0.761
1.017
1.264
1.519
1.775
2.036
2.278
2.533
2.794
3.047
[1]
[2]
1
0.992199
0.984582
0.977757
0.971397
0.965383
0.959112
0.952586
0.945458
0.938249
0.930114
0.921421
0.912764
1
0.997836
0.995370
0.992601
0.989973
0.988002
0.986298
0.984664
0.982787
0.980632
0.977991
0.975014
0.971954
[3]
106.601
105.999
105.446
105.007
104.601
104.161
103.663
103.128
102.552
101.994
101.382
100.741
100.109
[4]
[5]
106.601
122.391
129.370
134.952
139.788
143.918
147.767
151.279
154.584
157.425
160.234
162.928
165.386
106.601
91.802
85.946
81.706
78.271
75.386
72.722
70.304
68.034
66.081
64.146
62.291
60.597
[6]
|
|
|
|
|
|
|
|
|
|
|
|
|
[7]
[8]
140
120
Spot
100
rate
[9]
80
15,790,063
22,769,008
28,351,373
33,186,647
37,317,452
41,166,303
44,677,567
47,982,509
50,823,561
53,633,209
56,326,562
0.250
0.256
0.256
0.256
0.247
0.256
0.256
0.261
0.242
0.256
0.261
0.253
Total =
(5,319)
(8,235)
(9,451)
(10,415)
(10,882)
(11,958)
(12,616)
(13,497)
(13,012)
(14,220)
(14,986)
(14,925)
(137,214)
Estimated PV of 1 bp in Yen (Q)

Equivalent margin =
160
14,799,007
20,655,498
24,894,803
28,330,056
31,215,174
33,878,896
36,297,419
38,567,237
40,520,415
42,454,937
44,310,455
(5,319)
(4,294)
(3,836)
(3,504)
(3,132)
(3,013)
(2,807)
(2,677)
(2,311)
(2,290)
(2,185)
(1,972)
(36,873)
32,004
4.29
1.15 bp's
60
40
20
0
0
0.5
1.5
Time2.5
(years)
Market data
9.5: Deriving DF's from a generic

Note: these dates are 2 days forwa
Today's date:
Settlement
4-Feb-08
0
Swap rates (mid)

CCBS
Years
1
2
3
4
5
6
7
8
9
10
12
15
20
25
30
4-Feb-08
4-Feb-09
4-Feb-10
4-Feb-11
6-Feb-12
4-Feb-13
4-Feb-14
4-Feb-15
4-Feb-16
6-Feb-17
5-Feb-18
4-Feb-20
6-Feb-23
4-Feb-28
4-Feb-33
4-Feb-38
against
0.500
1.625
2.500
3.500
4.500
5.500
6.250
6.000
5.500
5.000
3mo. USD Libor
Unadjusted
Z-C rates
0.000
0.019
0.081
0.253
0.506
0.761
1.017
1.264
1.519
1.775
2.031
2.278
2.533
2.789
3.044
3.292
3.547
3.803
4.064
4.308
4.569
4.822
5.075
5.328
5.581
5.833
6.089
6.339
6.592
6.847
7.103
7.350
7.606
7.861
8.117
8.367
8.622
0.585%
0.585%
0.642%
0.870%
0.918%
0.976%
0.991%
0.955%
0.908%
0.871%
0.853%
0.859%
0.878%
0.905%
0.933%
0.960%
0.986%
1.010%
1.034%
1.055%
1.078%
1.101%
1.126%
1.153%
1.181%
1.210%
1.238%
1.265%
1.290%
1.316%
1.341%
1.366%
1.392%
1.418%
1.445%
1.473%
1.502%
8.878
9.139
9.381
9.636
9.897
10.150
10.394
10.656
10.908
11.161
11.414
11.667
11.919
12.175
12.425
12.681
12.936
13.192
13.439
13.694
13.950
14.206
14.453
14.708
14.964
15.225
15.467
15.722
15.983
16.236
16.489
16.742
16.994
17.250
17.500
17.753
18.008
18.264
18.511
18.767
19.022
19.278
19.525
19.781
1.532%
1.561%
1.588%
1.615%
1.642%
1.667%
1.691%
1.714%
1.737%
1.758%
1.779%
1.799%
1.820%
1.840%
1.859%
1.879%
1.899%
1.919%
1.937%
1.956%
1.975%
1.993%
2.010%
2.027%
2.044%
2.061%
2.076%
2.092%
2.107%
2.122%
2.136%
2.150%
2.163%
2.176%
2.189%
2.202%
2.214%
2.226%
2.237%
2.249%
2.260%
2.271%
2.282%
2.293%
20.036
20.292
20.542
20.797
21.058
21.311
21.556
21.817
22.069
22.322
22.575
22.828
23.081
23.336
23.586
23.839
24.094
24.350
24.600
24.856
25.111
25.367
25.614
25.869
26.125
26.386
26.628
26.883
27.144
27.397
27.642
27.903
28.156
28.408
28.661
28.914
29.169
29.425
29.672
29.928
30.183
30.439
2.303%
2.313%
2.323%
2.333%
2.343%
2.352%
2.361%
2.371%
2.379%
2.388%
2.397%
2.405%
2.413%
2.422%
2.429%
2.437%
2.445%
2.452%
2.459%
2.467%
2.474%
2.481%
2.487%
2.494%
2.500%
2.507%
2.513%
2.519%
2.525%
2.530%
2.536%
2.542%
2.547%
2.552%
2.557%
2.563%
2.568%
2.573%
2.577%
2.582%
2.587%
2.592%
: Deriving DF's from a generic swap curve plus a CCBS curve

te: these dates are 2 days forward, following the convention in the CCS market
Gradient
0.000
0.009
0.013
0.002
0.002
0.001
-0.001
-0.002
-0.001
-0.001
0.000
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
CCBS
0
1
2
3
4
5
7
10
15
20
30
0.500
1.625
2.500
3.500
4.500
5.500
6.250
6.000
5.500
5.000
Valuation
[1]
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
Spread over
3mo. Forwards
[2]
0
0.798
3.909
4.510
7.822
9.104
7.388
8.861
2.118
4.857
1.918
Gradient
[3]
0.7984
3.1109
0.6004
3.3125
1.2815
-0.8579
0.4909
-1.3485
0.5478
-0.2939
0
0.25
0.50
0.75
1.00
1.25
1.50
1.75
2.00
2.25
2.50
2.75
3.00
3.25
3.50
3.75
4.00
4.25
4.50
4.75
5.00
5.25
5.50
5.75
6.00
6.25
6.50
6.75
7.00
7.25
7.50
7.75
8.00
8.25
8.50
8.75
9.00
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
9.25
9.50
9.75
10.00
10.25
10.50
10.75
11.00
11.25
11.50
11.75
12.00
12.25
12.50
12.75
13.00
13.25
13.50
13.75
14.00
14.25
14.50
14.75
15.00
15.25
15.50
15.75
16.00
16.25
16.50
16.75
17.00
17.25
17.50
17.75
18.00
18.25
18.50
18.75
19.00
19.25
19.50
19.75
20.00
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
20.25
20.50
20.75
21.00
21.25
21.50
21.75
22.00
22.25
22.50
22.75
23.00
23.25
23.50
23.75
24.00
24.25
24.50
24.75
25.00
25.25
25.50
25.75
26.00
26.25
26.50
26.75
27.00
27.25
27.50
27.75
28.00
28.25
28.50
28.75
29.00
29.25
29.50
29.75
30.00
Forward
dates
[4]
6-Feb-08
6-May-08
6-Aug-08
6-Nov-08
6-Feb-09
6-May-09
6-Aug-09
6-Nov-09
8-Feb-10
6-May-10
6-Aug-10
8-Nov-10
7-Feb-11
6-May-11
8-Aug-11
7-Nov-11
6-Feb-12
7-May-12
6-Aug-12
6-Nov-12
6-Feb-13
6-May-13
6-Aug-13
6-Nov-13
6-Feb-14
6-May-14
6-Aug-14
6-Nov-14
6-Feb-15
6-May-15
6-Aug-15
6-Nov-15
8-Feb-16
6-May-16
8-Aug-16
7-Nov-16
6-Feb-17
days
Act/360
0.250
0.506
0.761
1.017
1.264
1.519
1.775
2.036
2.278
2.533
2.794
3.047
3.292
3.553
3.806
4.058
4.311
4.564
4.819
5.075
5.322
5.578
5.833
6.089
6.336
6.592
6.847
7.103
7.350
7.606
7.861
8.122
8.367
8.628
8.881
9.133
Interpolated
Z-C rates
[5]
0.867%
0.918%
0.976%
0.991%
0.955%
0.908%
0.871%
0.853%
0.859%
0.878%
0.905%
0.934%
0.960%
0.986%
1.011%
1.034%
1.056%
1.078%
1.101%
1.126%
1.152%
1.181%
1.210%
1.238%
1.264%
1.290%
1.316%
1.341%
1.366%
1.392%
1.418%
1.446%
1.473%
1.503%
1.532%
1.560%
Unadjusted
days
DFs Act/360
1
0.997836
0.995370
0.992601
0.989973
0.988002
0.986298
0.984664
0.982787
0.980632
0.977991
0.975014
0.971954
0.968908
0.965572
0.962272
0.958915
0.955508
0.952010
0.948335
0.944475
0.940519
0.936253
0.931856
0.927378
0.923015
0.918456
0.913833
0.909130
0.904488
0.899573
0.894521
0.889194
0.884038
0.878385
0.872809
0.867167
0.250
0.256
0.256
0.256
0.247
0.256
0.256
0.261
0.242
0.256
0.261
0.253
0.244
0.261
0.253
0.253
0.253
0.253
0.256
0.256
0.247
0.256
0.256
0.256
0.247
0.256
0.256
0.256
0.247
0.256
0.256
0.261
0.244
0.261
0.253
0.253
3mo. Forwards
unadjusted
[6]
0.8676%
0.9692%
1.0919%
1.0386%
0.8068%
0.6760%
0.6497%
0.7312%
0.9094%
1.0566%
1.1695%
1.2455%
1.2861%
1.3233%
1.3567%
1.3849%
1.4105%
1.4535%
1.5162%
1.5995%
1.7014%
1.7828%
1.8463%
1.8894%
1.9120%
1.9424%
1.9797%
2.0242%
2.0760%
2.1378%
2.2101%
2.2942%
2.3860%
2.4646%
2.5273%
2.5739%
CCBS
spreads
0.500
1.625
2.500
3.500
4.500
5.500
8-May-17
7-Aug-17
6-Nov-17
6-Feb-18
7-May-18
6-Aug-18
6-Nov-18
6-Feb-19
6-May-19
6-Aug-19
6-Nov-19
6-Feb-20
6-May-20
6-Aug-20
6-Nov-20
8-Feb-21
6-May-21
6-Aug-21
8-Nov-21
7-Feb-22
6-May-22
8-Aug-22
7-Nov-22
6-Feb-23
8-May-23
7-Aug-23
6-Nov-23
6-Feb-24
6-May-24
6-Aug-24
6-Nov-24
6-Feb-25
6-May-25
6-Aug-25
6-Nov-25
6-Feb-26
6-May-26
6-Aug-26
6-Nov-26
8-Feb-27
6-May-27
6-Aug-27
8-Nov-27
7-Feb-28
9.386
9.639
9.892
10.147
10.397
10.650
10.906
11.161
11.408
11.664
11.919
12.175
12.425
12.681
12.936
13.197
13.439
13.694
13.956
14.208
14.453
14.714
14.967
15.219
15.472
15.725
15.978
16.233
16.483
16.739
16.994
17.250
17.497
17.753
18.008
18.264
18.511
18.767
19.022
19.283
19.525
19.781
20.042
20.294
1.588%
1.616%
1.642%
1.667%
1.691%
1.714%
1.736%
1.758%
1.778%
1.799%
1.820%
1.840%
1.859%
1.879%
1.899%
1.919%
1.937%
1.956%
1.975%
1.993%
2.010%
2.028%
2.044%
2.061%
2.077%
2.092%
2.107%
2.122%
2.136%
2.150%
2.163%
2.176%
2.189%
2.202%
2.214%
2.226%
2.237%
2.249%
2.260%
2.272%
2.282%
2.293%
2.303%
2.313%
0.861490
0.855794
0.850101
0.844362
0.838780
0.833162
0.827497
0.821841
0.816370
0.810705
0.805025
0.799322
0.793714
0.787957
0.782183
0.776274
0.770798
0.765009
0.759102
0.753395
0.747891
0.742035
0.736393
0.730783
0.725207
0.719667
0.714163
0.708634
0.703259
0.697799
0.692374
0.686984
0.681802
0.676479
0.671190
0.665935
0.660882
0.655692
0.650534
0.645298
0.640481
0.635418
0.630278
0.625333
0.253
0.253
0.253
0.256
0.250
0.253
0.256
0.256
0.247
0.256
0.256
0.256
0.250
0.256
0.256
0.261
0.242
0.256
0.261
0.253
0.244
0.261
0.253
0.253
0.253
0.253
0.253
0.256
0.250
0.256
0.256
0.256
0.247
0.256
0.256
0.256
0.247
0.256
0.256
0.261
0.242
0.256
0.261
0.253
2.6073%
2.6327%
2.6493%
2.6598%
2.6621%
2.6675%
2.6786%
2.6932%
2.7109%
2.7341%
2.7610%
2.7917%
2.8266%
2.8588%
2.8883%
2.9155%
2.9396%
2.9611%
2.9803%
2.9969%
3.0106%
3.0221%
3.0311%
3.0369%
3.0418%
3.0453%
3.0486%
3.0535%
3.0571%
3.0618%
3.0660%
3.0701%
3.0742%
3.0791%
3.0834%
3.0880%
3.0927%
3.0974%
3.1023%
3.1075%
3.1124%
3.1177%
3.1233%
3.1286%
6.250
6.000
5.500
8-May-28
7-Aug-28
6-Nov-28
6-Feb-29
7-May-29
6-Aug-29
6-Nov-29
6-Feb-30
6-May-30
6-Aug-30
6-Nov-30
6-Feb-31
6-May-31
6-Aug-31
6-Nov-31
6-Feb-32
6-May-32
6-Aug-32
8-Nov-32
7-Feb-33
6-May-33
8-Aug-33
7-Nov-33
6-Feb-34
8-May-34
7-Aug-34
6-Nov-34
6-Feb-35
7-May-35
6-Aug-35
6-Nov-35
6-Feb-36
6-May-36
6-Aug-36
6-Nov-36
6-Feb-37
6-May-37
6-Aug-37
6-Nov-37
8-Feb-38
20.547
20.800
21.053
21.308
21.558
21.811
22.067
22.322
22.569
22.825
23.081
23.336
23.583
23.839
24.094
24.350
24.600
24.856
25.117
25.369
25.614
25.875
26.128
26.381
26.633
26.886
27.139
27.394
27.644
27.897
28.153
28.408
28.658
28.914
29.169
29.425
29.672
29.928
30.183
30.444
2.323%
2.333%
2.343%
2.352%
2.361%
2.370%
2.379%
2.388%
2.397%
2.405%
2.413%
2.422%
2.429%
2.437%
2.445%
2.452%
2.459%
2.467%
2.474%
2.481%
2.487%
2.494%
2.500%
2.507%
2.513%
2.519%
2.524%
2.530%
2.536%
2.541%
2.547%
2.552%
2.557%
2.563%
2.568%
2.573%
2.577%
2.582%
2.587%
2.592%
0.620417
0.615532
0.610679
0.605804
0.601065
0.596308
0.591530
0.586787
0.582231
0.577555
0.572914
0.568308
0.563886
0.559350
0.554850
0.550387
0.546055
0.541663
0.537214
0.532943
0.528846
0.524508
0.520343
0.516214
0.512118
0.508057
0.504030
0.499992
0.496074
0.492146
0.488206
0.484299
0.480508
0.476664
0.472852
0.469070
0.465441
0.461719
0.458028
0.454300
0.253
0.253
0.253
0.256
0.250
0.253
0.256
0.256
0.247
0.256
0.256
0.256
0.247
0.256
0.256
0.256
0.250
0.256
0.261
0.253
0.244
0.261
0.253
0.253
0.253
0.253
0.253
0.256
0.250
0.253
0.256
0.256
0.250
0.256
0.256
0.256
0.247
0.256
0.256
0.261
3.1344%
3.1396%
3.1439%
3.1491%
3.1533%
3.1563%
3.1603%
3.1633%
3.1652%
3.1681%
3.1699%
3.1712%
3.1720%
3.1732%
3.1734%
3.1735%
3.1732%
3.1726%
3.1719%
3.1705%
3.1690%
3.1676%
3.1661%
3.1643%
3.1640%
3.1622%
3.1607%
3.1603%
3.1593%
3.1577%
3.1576%
3.1568%
3.1558%
3.1556%
3.1550%
3.1546%
3.1543%
3.1540%
3.1539%
3.1423%
5.000
Spread to
3mo. Forward
curve
[7]
New
3mo. Forward
curve
[8]
0.200
0.399
0.599
0.798
1.576
2.354
3.132
3.909
4.059
4.210
4.360
4.510
5.338
6.166
6.994
7.822
8.143
8.463
8.783
9.104
8.889
8.675
8.460
8.246
8.031
7.817
7.602
7.388
7.511
7.633
7.756
7.879
8.002
8.124
8.247
8.370
0.8696%
0.9732%
1.0979%
1.0466%
0.8226%
0.6996%
0.6810%
0.7703%
0.9499%
1.0987%
1.2130%
1.2906%
1.3395%
1.3849%
1.4267%
1.4631%
1.4919%
1.5381%
1.6041%
1.6905%
1.7903%
1.8695%
1.9309%
1.9719%
1.9923%
2.0206%
2.0557%
2.0981%
2.1511%
2.2142%
2.2877%
2.3730%
2.4661%
2.5458%
2.6098%
2.6576%
Yen
DF's
adjusted
[9]
1
0.997831
0.995355
0.992571
0.989923
0.987914
0.986151
0.984437
0.982462
0.980211
0.977467
0.974380
0.971212
0.968042
0.964554
0.961088
0.957547
0.953949
0.950255
0.946375
0.942304
0.938152
0.933691
0.929106
0.924448
0.919917
0.915191
0.910408
0.905553
0.900762
0.895694
0.890488
0.885004
0.879701
0.873892
0.868165
0.862372
valuation of
CCBS
[10]
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
smoothing
constraint
27.51
[11]
0.000001
0.000002
0.000000
0.000005
0.000002
0.000000
0.000001
0.000003
0.000002
0.000001
0.000001
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000001
0.000001
0.000001
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000001
0.000001
0.000001
0.000001
0.000000
0.000000
8.492
8.615
8.738
8.861
8.523
8.186
7.849
7.512
7.175
6.838
6.501
6.164
5.826
5.489
5.152
4.815
4.478
4.141
3.804
3.466
3.129
2.792
2.455
2.118
2.255
2.392
2.529
2.666
2.803
2.940
3.077
3.214
3.351
3.487
3.624
3.761
3.898
4.035
4.172
4.309
4.446
4.583
4.720
4.857
2.6922%
2.7189%
2.7367%
2.7484%
2.7473%
2.7493%
2.7571%
2.7683%
2.7827%
2.8025%
2.8260%
2.8534%
2.8848%
2.9137%
2.9398%
2.9637%
2.9843%
3.0025%
3.0184%
3.0315%
3.0419%
3.0501%
3.0557%
3.0580%
3.0644%
3.0692%
3.0739%
3.0801%
3.0851%
3.0912%
3.0968%
3.1022%
3.1077%
3.1140%
3.1196%
3.1256%
3.1317%
3.1378%
3.1440%
3.1506%
3.1569%
3.1635%
3.1705%
3.1772%
0.856543
0.850696
0.844852
0.838959 0.833236
0.827485
0.821696
0.815924
0.810349
0.804587
0.798817
0.793035
0.787356
0.781537
0.775709
0.769752
0.764240
0.758421
0.752490
0.746768
0.741256
0.735399
0.729763
0.724165 0.718598
0.713066
0.707568
0.702042
0.696669
0.691209
0.685781
0.680387
0.675200
0.669869
0.664571
0.659305
0.654239
0.649035
0.643862
0.638608
0.633773
0.628690
0.623528
0.618561 -
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
4.784
4.710
4.637
4.563
4.490
4.416
4.343
4.269
4.196
4.122
4.049
3.975
3.902
3.828
3.755
3.681
3.608
3.534
3.461
3.387
3.314
3.240
3.167
3.093
3.020
2.946
2.873
2.799
2.726
2.653
2.579
2.506
2.432
2.359
2.285
2.212
2.138
2.065
1.991
1.918
3.1822%
3.1867%
3.1903%
3.1947%
3.1982%
3.2005%
3.2038%
3.2060%
3.2072%
3.2093%
3.2104%
3.2109%
3.2111%
3.2115%
3.2109%
3.2103%
3.2093%
3.2080%
3.2065%
3.2043%
3.2021%
3.2000%
3.1977%
3.1952%
3.1942%
3.1917%
3.1894%
3.1883%
3.1866%
3.1842%
3.1834%
3.1819%
3.1801%
3.1792%
3.1778%
3.1767%
3.1756%
3.1747%
3.1738%
3.1615%
0.613625
0.608721
0.603852
0.598962
0.594210
0.589442
0.584655
0.579904
0.575342
0.570662
0.566018
0.561411
0.556989
0.552455
0.547959
0.543500
0.539174
0.534790
0.530349
0.526088
0.522002
0.517677
0.513526
0.509411
0.505331
0.501287
0.497278
0.493259
0.489360
0.485453
0.481535
0.477651
0.473884
0.470065
0.466278
0.462523
0.458920
0.455227
0.451564
0.447867 -
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
Z-C rates
Adjusted
3.5000%
0.0000
0.250
0.506
0.761
1.017
1.264
1.519
1.775
2.036
2.278
2.533
2.794
3.047
3.292
3.553
3.806
4.058
4.311
4.564
4.819
5.075
5.322
5.578
5.833
6.089
6.336
6.592
6.847
7.103
7.350
7.606
7.861
8.122
8.367
8.628
Forward curves a
0.869%
0.921%
0.980%
0.996%
0.962%
0.918%
0.884%
0.869%
0.877%
0.900%
0.929%
0.959%
0.987%
1.016%
1.043%
1.069%
1.094%
1.118%
1.144%
1.171%
1.200%
1.230%
1.261%
1.290%
1.317%
1.344%
1.371%
1.397%
1.422%
1.448%
1.475%
1.504%
1.532%
1.562%
3.0000%
2.5000%
2.0000%
1.5000%
1.0000%
0.5000%
0.0000%
0.000
5.000
10.000
15.0
8.881
9.133
9.386
9.639
9.892
10.147
10.397
10.650
10.906
11.161
11.408
11.664
11.919
12.175
12.425
12.681
12.936
13.197
13.439
13.694
13.956
14.208
14.453
14.714
14.967
15.219
15.472
15.725
15.978
16.233
16.483
16.739
16.994
17.250
17.497
17.753
18.008
18.264
18.511
18.767
19.022
19.283
19.525
19.781
1.592%
1.621%
1.650%
1.678%
1.704%
1.730%
1.755%
1.778%
1.801%
1.823%
1.843%
1.864%
1.885%
1.905%
1.924%
1.944%
1.963%
1.983%
2.001%
2.019%
2.038%
2.055%
2.072%
2.089%
2.105%
2.121%
2.136%
2.151%
2.165%
2.179%
2.193%
2.206%
2.220%
2.232%
2.245%
2.257%
2.269%
2.281%
2.292%
2.303%
2.315%
2.326%
2.336%
2.346%
20.042
20.294
20.547
20.800
21.053
21.308
21.558
21.811
22.067
22.322
22.569
22.825
23.081
23.336
23.583
23.839
24.094
24.350
24.600
24.856
25.117
25.369
25.614
25.875
26.128
26.381
26.633
26.886
27.139
27.394
27.644
27.897
28.153
28.408
28.658
28.914
29.169
29.425
29.672
29.928
30.183
30.444
2.357%
2.367%
2.377%
2.387%
2.396%
2.405%
2.414%
2.423%
2.432%
2.441%
2.449%
2.458%
2.466%
2.474%
2.481%
2.489%
2.497%
2.504%
2.511%
2.518%
2.525%
2.532%
2.538%
2.545%
2.551%
2.557%
2.563%
2.569%
2.574%
2.580%
2.585%
2.590%
2.596%
2.601%
2.606%
2.611%
2.616%
2.620%
2.625%
2.630%
2.634%
2.638%
Forward curves adjusted for the CCBS
Unadjusted Forward curve

Adjusted Forward curve
10.000
15.000
20.000
25.000
30.000
9.6: Creating a synthetic foreign asset: Swapping a USD bond into floating Yen
Today's date =
Current spot rate =
106.601
1. USD Bond details:
2. USD swap details
Maturity =
coupon =
redemption =
15-Sep-13
3.75% SA
100
clean price =
Fraction of year =
accrued interest =
dirty price =
96.0000
0.110 to next coupon
3.3390
99.3390
USD
IBOR
DFs
Bond
dates
-66
-60
-54
-48
-42
-36
-30
-24
-18
-12
-6
0
6-Feb-08
17-Mar-08
15-Sep-08
16-Mar-09
15-Sep-09
15-Mar-10
15-Sep-10
15-Mar-11
15-Sep-11
15-Mar-12
17-Sep-12
15-Mar-13
15-Sep-13
6.3 Creating a synthetic foreign asset: Swapping a USD bond into floating Yen
4-Feb-08
0.111
0.617
1.122
1.631
2.133
2.644
3.147
3.658
4.164
4.681
5.178
5.689
3.169%
3.022%
2.826%
2.743%
2.772%
2.889%
3.021%
3.145%
3.264%
3.384%
3.499%
3.612%
1
0.996485
0.981536
0.968786
0.956263
0.942575
0.926446
0.909315
0.891324
0.872937
0.853503
0.834310
0.814265
PV (m $) on 100m nominal =
PV (m Yen) =
Maturity
Principal
3 mo. Libor +
Swap
cashflows
pay side
99,339,041 |
|
-3,750,000 |
|
-3,750,000 |
|
-3,750,000 |
|
-3,750,000 |
|
-3,750,000 |
|
-103,750,000 |
-2,425,016
-258,509,127
Swap
dates
6-Feb-08
6-May-08
6-Aug-08
6-Nov-08
6-Feb-09
6-May-09
6-Aug-09
6-Nov-09
8-Feb-10
6-May-10
6-Aug-10
8-Nov-10
7-Feb-11
6-May-11
8-Aug-11
7-Nov-11
6-Feb-12
7-May-12
6-Aug-12
6-Nov-12
6-Feb-13
6-May-13
6-Aug-13
4. Yen swap details
Uses unadjusted Yen IRS curve
Uses Yen IRS curve adjusted for CCBS
5 years
100 m USD
47.65 bp margin
Maturity
Principal
3 mo. Libor +
CCBS margin
Less CCBS =
day
count
USD
IBOR
DFs
margin
cashflows
0.250
0.256
0.256
0.256
0.247
0.256
0.256
0.261
0.242
0.256
0.261
0.253
0.244
0.261
0.253
0.253
0.253
0.253
0.256
0.256
0.247
0.256
1
0.992199
0.984582
0.977757
0.971397
0.965383
0.959112
0.952586
0.945458
0.938249
0.930114
0.921421
0.912764
0.904277
0.895080
0.886033
0.876830
0.867460
0.857939
0.848181
0.838308
0.828657
0.818623
119,126
121,773
121,773
121,773
117,802
121,773
121,773
124,420
115,155
121,773
124,420
120,449
116,479
124,420
120,449
120,449
120,449
120,449
121,773
121,773
117,802
121,773
PV (m $) on 100m nominal =
Net PV =
3. Yen swap details
2,425,016
0
Unadjusted
Z-C rates
0.006
0.256
0.511
0.767
1.022
1.269
1.525
1.781
2.042
2.283
2.539
2.800
3.053
3.297
3.558
3.811
4.064
4.317
4.569
4.825
5.081
5.328
5.583
0.585%
0.871%
0.919%
0.976%
0.990%
0.954%
0.907%
0.870%
0.853%
0.859%
0.879%
0.906%
0.934%
0.960%
0.987%
1.011%
1.034%
1.056%
1.078%
1.101%
1.126%
1.153%
1.182%
Yen
IBOR
DFs
[1]
0.999968
0.997777
0.995313
0.992544
0.989927
0.987963
0.986261
0.984623
0.982738
0.980576
0.977929
0.974948
0.971886
0.968838
0.965500
0.962199
0.958840
0.955432
0.951932
0.948254
0.944387
0.940429
0.936159
PV (Yen) =
Net PV =
5.5
10
47.75
4.75
52.50
Implied
forwards
[2]
0.878%
0.969%
1.092%
1.035%
0.804%
0.675%
0.651%
0.735%
0.912%
1.059%
1.171%
1.246%
1.287%
1.324%
1.357%
1.386%
1.411%
1.454%
1.518%
1.602%
1.703%
1.785%
years
bn Yen
bp margin
Maturity
Principal
3 mo. Libor +
5.5 years
10 bn Yen
52.54 bp margin
bp margin
Libor
cashflows
margin
cashflows
-10,000,000,000
21,953,237
24,753,993
27,897,295
26,442,238
19,879,599
17,256,027
16,635,919
19,179,765
22,050,123
27,060,433
30,577,777
31,507,535
31,458,595
34,572,175
34,311,718
35,033,303
35,667,236
36,765,082
38,794,075
40,941,687
42,092,381
10,045,608,417
11,936,718
12,201,979
12,201,979
12,201,979
11,804,088
12,201,979
12,201,979
12,467,239
11,538,828
12,201,979
12,467,239
12,069,349
11,671,458
12,467,239
12,069,349
12,069,349
12,069,349
12,069,349
12,201,979
12,201,979
11,804,088
12,201,979
0.00000
258,509,127
0
Adjusted
Z-C rates
0
0.250
0.506
0.761
1.017
1.264
1.519
1.775
2.036
2.278
2.533
2.794
3.047
3.292
3.553
3.806
4.058
4.311
4.564
4.819
5.075
5.322
5.578
0.869%
0.921%
0.980%
0.996%
0.962%
0.918%
0.884%
0.869%
0.877%
0.900%
0.929%
0.959%
0.987%
1.016%
1.043%
1.069%
1.094%
1.118%
1.144%
1.171%
1.200%
1.230%
Adjusted
Yen IBOR
DFs
[3]
1
0.997831
0.995355
0.992571
0.989923
0.987914
0.986151
0.984437
0.982462
0.980211
0.977467
0.974380
0.971212
0.968042
0.964554
0.961088
0.957547
0.953949
0.950255
0.946375
0.942304
0.938152
0.933691
PV (Yen) =
Net PV =
Implied
forwards
[4]
0.878%
0.969%
1.092%
1.035%
0.804%
0.675%
0.651%
0.735%
0.912%
1.059%
1.171%
1.246%
1.287%
1.324%
1.357%
1.386%
1.411%
1.454%
1.518%
1.602%
1.703%
1.785%
Floating
cashflows
-10,000,000,000
35,087,829
38,180,464
41,323,766
39,868,709
32,868,251
30,682,498
30,062,390
32,898,116
34,746,895
40,486,905
44,296,128
44,788,066
44,301,307
48,290,527
47,592,250
48,313,835
48,947,768
50,045,613
52,220,547
54,368,159
55,081,033
10,059,034,889
258,509,127
0
9.7: Swapping a SA bond into USD Libor

Today's date:
5-Jun-99
Details of the bond issue:

Principal
250
5
Maturity
13.75%
Coupon
101.25
Issue price
2.25
F&E
4
Payment date
Current spot
m ZAR
years
ann 30/360
weeks after issue
6.108 Z/$
1. Swapping a par SA bond into USD Libor
2. Calculating the equivalent

5 year annual rate
Principal (m USD)
Sub-Libor margin (bp's)
7-Jun-99
5-Jul-99
7-Dec-99
7-Jun-00
7-Dec-00
7-Jun-01
7-Dec-01
7-Jun-02
9-Dec-02
9-Jun-03
8-Dec-03
7-Jun-04
ZAR DF
USD DF
1
0.989420
0.935543
0.878715
0.823830
0.768071
0.715501
0.668267
0.622026
0.578469
0.538197
0.501009
1
0.996228
0.974001
0.945924
0.917124
0.887436
0.859069
0.830912
0.803921
0.777832
0.752196
0.727009
ZAR Bond
cashflows
250,000,000
-34,375,000
-34,375,000
-34,375,000
-34,375,000
-284,375,000
PV (ZAR) =
8,060,748
PV (USD) =
1,319,703
Net PV
|
|
|
|
|
|
|
|
|
|
|
|
40.93
74.95
day
count
Implied USD
Libor
0.508
0.508
0.508
0.506
0.508
0.506
0.514
0.506
0.506
0.506
5.251%
5.839%
6.178%
6.617%
6.496%
6.703%
6.533%
6.635%
6.741%
6.853%
USD swap
cashflows
Annual Coupon
14.700%
-40,929,928
-1,000,000
3. Late payment of principals
4. Raising only USD 40m
5. USD principal paid upfront
Details of USD leg of swap

Principal
6 mo. Libor - margin (bp)

Principal

Principal
40.93
59.13
Reduction in sub-Libor margin (bp)

ZAR Bond
Implied USD
cashflows
Libor
-1,319,703
0
1.17
USD Swap
cashflows
40
51.53
8.77
USD Swap
cashflows

Principal
6 mo. Libor Reduction in sub-Libor margin
ZAR Bond
cashflows
-40,000,000
250,000,000
936,596
1,058,920
1,129,385
1,214,156
1,195,589
1,231,870
1,216,546
1,217,746
1,239,828
42,192,858
15.83
USD Swap
cashflows
40
60.30
6. Bond not issued at par
146,999
-34,375,000
146,999
-34,375,000
146,999
-34,375,000
146,999
-34,375,000
1,146,999
-284,375,000
5,415,732
886,662
5.251%
5.839%
6.178%
6.617%
6.496%
6.703%
6.533%
6.635%
6.741%
6.853%
-40,929,928
969,524
1,091,848
1,162,312
1,246,904
1,228,516
1,264,618
1,249,834
1,250,494
1,272,575
42,225,606
-40,000,000
945,115
1,064,660
1,133,524
1,216,207
1,198,224
1,233,518
1,219,031
1,219,715
1,241,295
41,263,873
962,945
1,082,490
1,151,354
1,233,939
1,216,054
1,251,250
1,237,056
1,237,447
1,259,027
41,281,605
-886,662
-886,662
-886,662
40
27.99
23.54
USD Swap
cashflows
-40,000,000
247,500,000
-34,375,000
-34,375,000
-34,375,000
-34,375,000
-284,375,000
1,010,800
1,130,345
1,199,209
1,281,532
1,263,908
1,298,843
1,285,433
1,285,041
1,306,620
41,329,198
2,942,183
481,693
-481,693
0
9.8: Pricing a 5 year Yen-USD diff swap

Today's date =
4-Feb-08
Current spot rate =

Principal amount
Principal amount
Maturity
To pay
To receive
106.601
10
93.81
5
6
6
bn Yen
m USD
years
mo. Yen Libor
mo. USD Libor +
-228.09 bp's
1. Yen pay side
2. USD receive side

Unadjusted
Z-C rates
0
0.5
1
1.5
2
2.5
3
3.5
4
4.5
5
6-Feb-08
6-Aug-08
6-Feb-09
6-Aug-09
8-Feb-10
6-Aug-10
7-Feb-11
8-Aug-11
6-Feb-12
6-Aug-12
6-Feb-13
0.006
0.511
1.022
1.525
2.042
2.539
3.053
3.558
4.064
4.569
5.081
0.585%
0.919%
0.990%
0.907%
0.853%
0.879%
0.934%
0.987%
1.034%
1.078%
1.126%
day
count
Yen
IBOR
unadjusted DFs
0.506
0.511
0.503
0.517
0.497
0.514
0.506
0.506
0.506
0.511
0.999968
0.995313
0.989927
0.986261
0.982738
0.977929
0.971886
0.965500
0.958840
0.951932
0.944387
Implied
forwards
[1]
0.925%
1.065%
0.739%
0.694%
0.989%
1.210%
1.308%
1.374%
1.435%
1.563%
day
count
0.506
1.017
1.519
2.036
2.533
3.047
3.553
4.058
4.564
5.075
Adjusted
Z-C rates
0.921%
0.996%
0.918%
0.869%
0.900%
0.959%
1.016%
1.069%
1.118%
1.171%
Yen
IBOR
adjusted DFs
[2]
1
0.995355
0.989923
0.986151
0.982462
0.977467
0.971212
0.964554
0.957547
0.950255
0.942304
Yen
Libor
cashflows
-46,761,573
-54,413,299
-37,169,930
-35,847,591
-49,170,225
-62,181,654
-66,139,530
-69,465,227
-72,563,449
-79,894,592
PV (Yen) =
-555,287,331
PV (Yen) on 10 bn nominal =
-555,287,331
Net PV =
Z-C rates
USD
IBOR
DFs
3.073%
2.854%
2.748%
2.755%
2.860%
2.995%
3.120%
3.239%
3.357%
3.475%
1
0.984582
0.971397
0.959112
0.945458
0.930114
0.912764
0.895080
0.876830
0.857939
0.838308
PV(USD) =
5.000%
Implied
forwards
[3]
Libor
cashflows
Spread
3.097%
2.656%
2.548%
2.795%
3.318%
3.699%
3.908%
4.117%
4.355%
4.582%
387,282
179,665
125,770
249,326
483,571
683,628
771,601
870,774
983,849
1,103,194
2.173%
1.591%
1.808%
2.101%
2.329%
2.489%
2.600%
2.743%
2.920%
3.019%
USD Libor
- margin
Yen & USD Libor curves
4.500%
4.000%
3.500%
5,209,026
555,287,331
0
0.817%
0.375%
0.267%
0.514%
1.037%
1.418%
1.627%
1.836%
2.075%
2.301%
3.000%
2.500%
Yen Libor
2.000%
USD Libor
1.500%
1.000%
0.500%
0.000%
0.000
1.000
2.000
3.000
4.000
5.000
9.9: Pricing a 5 year Yen-USD quanto diff swap

Today's date =
4-Feb-08
Current spot rate =

Principal amount
Maturity
To pay
To receive
106.601
10
5
6
6
bn Yen
years
mo. Yen Libor
mo. USD Libor +
-237.00 bp's
1. Yen pay side
0
0.5
1
1.5
2
2.5
3
3.5
4
4.5
6-Feb-08
6-Aug-08
6-Feb-09
6-Aug-09
8-Feb-10
6-Aug-10
7-Feb-11
8-Aug-11
6-Feb-12
6-Aug-12
6-Feb-13
2. USD-related receive side
day
count
Implied
forwards
Yen
IBOR
adjusted df's
Yen
Libor
cashflows
Implied
forwards
USD-related
Libor
cashflows
USD Libor
- margin
0.506
0.511
0.503
0.517
0.497
0.514
0.506
0.506
0.506
0.511
0.925%
1.065%
0.739%
0.694%
0.989%
1.210%
1.308%
1.374%
1.435%
1.563%
1
0.995355
0.989923
0.986151
0.982462
0.977467
0.971212
0.964554
0.957547
0.950255
0.942304
-46,761,573
-54,413,299
-37,169,930
-35,847,591
-49,170,225
-62,181,654
-66,139,530
-69,465,227
-72,563,449
-79,894,592
3.097%
2.656%
2.548%
2.795%
3.318%
3.699%
3.908%
4.117%
4.355%
4.582%
36,777,537
14,595,778
8,924,874
21,972,206
47,116,336
68,294,018
77,746,337
88,318,230
100,372,170
113,044,888
0.727%
0.286%
0.178%
0.425%
0.948%
1.329%
1.538%
1.747%
1.985%
2.212%
Net PV =
-555,287,331
555,287,331
0
9.10: Pricing a USD-Yen LTFX: analysing the USD leg (1)
Today's date:
4-Feb-08
Current spot
day count
act/360
6-Feb-08
6-Feb-09
8-Feb-10
7-Feb-11
6-Feb-12
6-Feb-13
0
1.017
1.019
1.011
1.011
1.017
106.601
USD
mid-market
rates
USD
cashflow
[1]
[2]
2.89625%
2.7950%
3.0350%
3.2750%
3.5050%
0
0
0
0
1,000,000
Up-front
transaction
5-year
[3]
965,592
-34,408
-34,502
-34,220
-34,220
-1,000,000
Net CF
[4]
965,592
-34,408
-34,502
-34,220
-34,220
0
Up-front
transaction
4-year
[5]
-33,123
1,103
1,106
1,097
34,220
Net CF
[6]
932,469
-33,305
-33,396
-33,123
0
Up-front
transaction
3-year
[7]
-32,137
992
994
33,123
Net CF
[8]
900,332
-32,314
-32,402
0
Up-front
transaction
2-year
[9]
-31,504
895
32,402
Net CF
[10]
868,828
-31,418
0
Up-front
transaction
1-year
[11]
-30,520
31,418
Net CF
[12]
838,308
0
Swap transactions
[13]
-30,520
-31,504
-32,137
-33,123
965,592
to receive fixed
to receive fixed
to receive fixed
to receive fixed
to pay fixed
Note: the forwards may be randomly simulated by pressing F2 and Enter
9.11: Pricing a USD-Yen LTFX: analysing the USD leg (2)
Today's date:
4-Feb-08
Current spot
106.601
1. Money account transactions
day count
act/360
USD
mid-market
rates
USD DF's
volatility =>
6-Feb-08
6-Feb-09
8-Feb-10
7-Feb-11
6-Feb-12
6-Feb-13
0
1.017
1.019
1.011
1.011
1.017
2.89625%
2.7950%
3.0350%
3.2750%
3.5050%
1
0.971397
0.945458
0.912764
0.876830
0.838308
USD
forwards
10%
[1]
2.89625%
2.33328%
3.98014%
4.89399%
4.05765%
USD
cashflow
[2]
0
0
0
0
1,000,000
Swap
transactions
[3]
-30,520
-31,504
-32,137
-33,123
965,592
838,308
1
2
3
4
5
Matrix A for calculating the hedging swaps

1
2
2.8963%
2.7950%
1.017
1.029
0.028
1.019
0.000
1.028
1.011
0.000
0.000
1.011
0.000
0.000
1.017
0.000
0.000
3
3.0350%
0.031
0.031
1.031
0.000
0.000
4
3.2750%
0.033
0.033
0.033
1.033
0.000
5
3.5050%
0.036
0.036
0.035
0.035
1.036
Initial money
account
[4]
to receive fixed
to receive fixed
to receive fixed
to receive fixed
to pay fixed
838,308
-24,684
-19,940
-33,737
-41,483
-872,890
Surplus from
swaps
[5]
Money account
reinvested
[6]
-5,836
-10,838
4,096
13,019
5,425
-30,520
-62,024
-94,161
-127,284
-1,000,000
9.12: Pricing a USD-Yen LTFX

Note: margin may be adjusted
Today's date:
4-Feb-08
Current spot
Libor Margin
(bp)
4.5
106.601
1. USD Money account transactions

day count
act/360
USD
mid-market
rates
USD DF's
volatility =>
USD
forwards
USD
cashflow
Swap
transactions
Initial money
account
0
1.017
1.019
1.011
1.011
1.017
2.89625%
2.7950%
3.0350%
3.2750%
3.5050%
1
0.971397
0.945458
0.912764
0.876830
0.838308
day count
act/360
Money account
reinvested
day count
act/365
unadjusted
market
rates
Yen IRS
sa. Act/365
1%
[1]
6-Feb-08
6-Feb-09
8-Feb-10
7-Feb-11
6-Feb-12
6-Feb-13
Surplus from
swaps
2.89625%
2.70217%
3.59332%
4.10615%
4.62015%
0
0
0
0
1,000,000
-30,520
-31,504
-32,137
-33,123
965,592
838,308
to receive fixed
to receive fixed
to receive fixed
to receive fixed
to pay fixed
838,308
-24,684
-23,093
-30,458
-34,805
-877,684
[2]
[3]
-5,836
-7,571
574
5,591
10,947
-30,520
-62,024
-94,161
-127,284
-1,000,000
[4]
6-Feb-08
6-Aug-08
6-Feb-09
6-Aug-09
8-Feb-10
6-Aug-10
7-Feb-11
8-Aug-11
6-Feb-12
6-Aug-12
6-Feb-13
0.506
0.511
0.503
0.517
0.497
0.514
0.506
0.506
0.506
0.511
1
2
3
4
5
6
7
8
9
10
0
0.499
0.504
0.496
0.510
0.490
0.507
0.499
0.499
0.499
0.504
0.938%
1.009%
0.923%
0.868%
0.894%
0.950%
1.002%
1.050%
1.094%
1.142%
2. Yen Money account transactions

Yen DF's
volatility =>
[5]
1
0.995346
0.989959
0.986293
0.982770
0.977961
0.971918
0.965532
0.958871
0.951963
0.944418
Yen
forwards
10%
[6]
0.92495%
1.13700%
0.79506%
0.58535%
1.02768%
1.19433%
1.10979%
1.06147%
1.45471%
1.88012%
Yen
cashflow
[7]
0
0
0
0
0
0
0
0
0
94,765,153
94.765
Actual forward off adjusted curve
94.836
Theoretical forward off unadjusted curve
94.624
3
0.9234%
0.005
0.005
1.005
0.000
0.000
0.000
0.000
0.000
0.000
0.000
Initial money
account
[8]
Estimated forward
Matrix B for calculating the Yen hedging swaps

1
2
0.9378%
1.0088%
0.499
1.005
0.005
0.504
0.000
1.005
0.496
0.000
0.000
0.510
0.000
0.000
0.490
0.000
0.000
0.507
0.000
0.000
0.499
0.000
0.000
0.499
0.000
0.000
0.499
0.000
0.000
0.504
0.000
0.000
Swap
transactions
4
0.8679%
0.004
0.004
0.004
1.004
0.000
0.000
0.000
0.000
0.000
0.000
[9]
-513,602
-521,675
-515,779
-532,454
-514,681
-534,266
-528,131
-530,771
-533,550
94,222,798
to receive fixed
to receive fixed
to receive fixed
to receive fixed
to receive fixed
to receive fixed
to receive fixed
to receive fixed
to receive fixed
to pay fixed
89,364,451
-438,213
-539,878
-377,444
-291,044
-476,637
-569,142
-521,717
-499,889
-677,552
-90,243,751
5
0.8941%
0.004
0.005
0.004
0.005
1.004
0.000
0.000
0.000
0.000
0.000
6
0.9495%
0.005
0.005
0.005
0.005
0.005
1.005
0.000
0.000
0.000
0.000
7
1.0023%
0.005
0.005
0.005
0.005
0.005
0.005
1.005
0.000
0.000
0.000
Surplus from
swaps
[10]
Money account
reinvested
[11]
-95,096
1,410
-153,882
-257,092
-46,712
30,976
-8,421
-30,852
155,478
363,078
-533,309
-1,074,999
-1,610,865
-2,164,248
-2,699,139
-3,254,495
-3,803,633
-4,355,652
-4,910,750
-94,839,742
8
1.0500%
0.005
0.005
0.005
0.005
0.005
0.005
0.005
1.005
0.000
0.000
9
1.0938%
0.005
0.006
0.005
0.006
0.005
0.006
0.005
0.005
1.005
0.000
10
1.1418%
0.006
0.006
0.006
0.006
0.006
0.006
0.006
0.006
0.006
1.006
9.13: Valuation of a CCBS - simulation removed
Original data
Today's date:
4-Feb-08
Current spot rate
106.601
USD principal
JPY principal
CCBS margin
6-Feb-08
6-May-08
6-Aug-08
6-Nov-08
6-Feb-09
6-May-09
6-Aug-09
6-Nov-09
8-Feb-10
6-May-10
6-Aug-10
8-Nov-10
7-Feb-11
6-May-11
8-Aug-11
7-Nov-11
6-Feb-12
7-May-12
6-Aug-12
6-Nov-12
6-Feb-13
100 m
10,660.10 m
4.50 bp
USD
DF's
Day
count
USD
3 mo.
forwards
JPY
3 mo.
forwards
unadjusted
1
0.992199
0.984582
0.977757
0.971397
0.965383
0.959112
0.952586
0.945458
0.938249
0.930114
0.921421
0.912764
0.904277
0.895080
0.886033
0.876830
0.867460
0.857939
0.848181
0.838308
0.250
0.256
0.256
0.256
0.247
0.256
0.256
0.261
0.242
0.256
0.261
0.253
0.244
0.261
0.253
0.253
0.253
0.253
0.256
0.256
3.1450%
3.0272%
2.7312%
2.5621%
2.5198%
2.5585%
2.6810%
2.8874%
3.1792%
3.4222%
3.6134%
3.7520%
3.8394%
3.9350%
4.0394%
4.1522%
4.2734%
4.3900%
4.5018%
4.6088%
0.86755%
0.96920%
1.09189%
1.03864%
0.80682%
0.67602%
0.64969%
0.73117%
0.90935%
1.05660%
1.16945%
1.24552%
1.28611%
1.32329%
1.35674%
1.38491%
1.41050%
1.45348%
1.51625%
1.59951%
Historic data for

simulation
FX vol =>
See 9.15 Correlation sheet

for further data
Original Valuation
JPY
DF's
adjusted
USD
cashflows
[1]
1
0.997831
0.995355
0.992571
0.989923
0.987914
0.986151
0.984437
0.982462
0.980211
0.977467
0.974380
0.971212
0.968042
0.964554
0.961088
0.957547
0.953949
0.950255
0.946375
0.942304
Value =
JPY
cashflows
USD
forward
volatilities
[2]
100,000,000
-786,250
-773,626
-697,983
-654,754
-622,938
-653,837
-685,153
-753,921
-768,315
-874,561
-943,512
-948,413
-938,520
-1,027,484
-1,021,068
-1,049,580
-1,080,229
-1,109,689
-1,150,453
-101,177,795
-10,660,100,000
24,319,812
27,629,404
30,971,573
29,520,906
22,448,997
19,642,262
18,925,050
21,604,560
24,585,885
30,010,234
33,803,950
34,774,758
34,685,978
38,085,843
37,771,906
38,530,905
39,220,402
40,378,515
42,532,271
10,704,900,534
0.0000
0.0000
9.715%
10.086%
10.975%
12.493%
13.695%
14.552%
15.038%
15.126%
15.359%
15.734%
16.260%
16.942%
17.288%
17.294%
16.955%
16.261%
15.729%
15.356%
15.145%
15.101%
oric data for
New market data
20%
New spot FX rate =
.15 Correlation sheet

new
USD
3 mo.
forwards
JPY
forward
volatilities
new
USD
DF's
1.02
14.572%
15.128%
16.462%
18.740%
20.543%
21.828%
22.556%
22.689%
23.038%
23.601%
24.390%
25.414%
25.932%
25.941%
25.432%
24.392%
23.593%
23.034%
22.718%
22.651%
6-Feb-09
6-May-09
6-Aug-09
6-Nov-09
8-Feb-10
6-May-10
6-Aug-10
8-Nov-10
7-Feb-11
6-May-11
8-Aug-11
7-Nov-11
6-Feb-12
7-May-12
6-Aug-12
6-Nov-12
6-Feb-13
1.9752%
2.6256%
2.5400%
3.0849%
3.2323%
3.5041%
4.0856%
4.4838%
5.0082%
4.6522%
5.1952%
4.6255%
5.0124%
4.0298%
4.4246%
5.1686%
1
0.995141
0.988508
0.982133
0.974285
0.966733
0.958153
0.948040
0.937415
0.926078
0.914963
0.903103
0.892666
0.881498
0.872609
0.862852
0.851604
new
JPY
3 mo.
forwards
unadjusted
1.02
0.87232%
0.57584%
0.65189%
0.63562%
0.79406%
0.90350%
1.25006%
0.81603%
1.01875%
1.57687%
1.52701%
1.03405%
1.73017%
1.62037%
1.70655%
1.24397%
spot FX rate =
115.01
old
JPY
3 mo.
forwards
adjusted
new
JPY
3 mo.
forwards
adjusted
New Valuation
new
JPY
DF's
USD
cashflows
adjusted
[3]
0.82258%
0.69955%
0.68100%
0.77027%
0.94994%
1.09869%
1.21305%
1.29062%
1.33948%
1.38495%
1.42669%
1.46313%
1.49193%
1.53811%
1.60408%
1.69055%
0.88936%
0.59589%
0.68332%
0.66961%
0.82951%
0.93950%
1.29666%
0.84558%
1.06103%
1.65034%
1.60573%
1.09246%
1.83005%
1.71472%
1.80541%
1.31477%
1
0.997806
0.996289
0.994552
0.992816
0.990830
0.988457
0.985122
0.983020
0.980477
0.976270
0.972324
0.969646
0.965181
0.961016
0.956602
0.953399
-488,302
-670,974
-649,112
-805,508
-781,141
-895,497
-1,066,793
-1,133,416
-1,224,217
-1,214,735
-1,313,219
-1,169,213
-1,267,022
-1,018,649
-1,130,744
-101,320,859
Value (Yen) =
Value (USD) =
JPY
cashflows
[4]
22,989,286
15,687,199
17,759,180
17,692,434
20,456,511
24,613,615
34,795,120
21,988,997
26,546,525
43,891,619
41,147,421
27,864,013
46,621,695
43,663,197
46,490,781
10,693,988,826
10,637,260,947
-100,000,000
92,489,430
Net Value (USD) =
-7,510,570
9.14: Valuation of a CCBS with simulation
Original data
Today's date:
4-Feb-08
Current spot rate
106.601
USD principal
JPY principal
CCBS margin
6-Feb-08
6-May-08
6-Aug-08
6-Nov-08
6-Feb-09
6-May-09
6-Aug-09
6-Nov-09
8-Feb-10
6-May-10
6-Aug-10
8-Nov-10
7-Feb-11
6-May-11
8-Aug-11
7-Nov-11
6-Feb-12
7-May-12
6-Aug-12
6-Nov-12
6-Feb-13
100 m
10,660.10 m
4.50 bp
USD
DF's
Day
count
USD
3 mo.
forwards
JPY
3 mo.
forwards
unadjusted
1
0.992199
0.984582
0.977757
0.971397
0.965383
0.959112
0.952586
0.945458
0.938249
0.930114
0.921421
0.912764
0.904277
0.895080
0.886033
0.876830
0.867460
0.857939
0.848181
0.838308
0.250
0.256
0.256
0.256
0.247
0.256
0.256
0.261
0.242
0.256
0.261
0.253
0.244
0.261
0.253
0.253
0.253
0.253
0.256
0.256
3.1450%
3.0272%
2.7312%
2.5621%
2.5198%
2.5585%
2.6810%
2.8874%
3.1792%
3.4222%
3.6134%
3.7520%
3.8394%
3.9350%
4.0394%
4.1522%
4.2734%
4.3900%
4.5018%
4.6088%
0.86755%
0.96920%
1.09189%
1.03864%
0.80682%
0.67602%
0.64969%
0.73117%
0.90935%
1.05660%
1.16945%
1.24552%
1.28611%
1.32329%
1.35674%
1.38491%
1.41050%
1.45348%
1.51625%
1.59951%
Historic data for

simulation
FX vol =>
See 9.15 Correlation sheet

for further data
Original Valuation
JPY
DF's
adjusted
USD
cashflows
[1]
1
0.997831
0.995355
0.992571
0.989923
0.987914
0.986151
0.984437
0.982462
0.980211
0.977467
0.974380
0.971212
0.968042
0.964554
0.961088
0.957547
0.953949
0.950255
0.946375
0.942304
Value =
JPY
cashflows
USD
forward
volatilities
[2]
100,000,000
-786,250
-773,626
-697,983
-654,754
-622,938
-653,837
-685,153
-753,921
-768,315
-874,561
-943,512
-948,413
-938,520
-1,027,484
-1,021,068
-1,049,580
-1,080,229
-1,109,689
-1,150,453
-101,177,795
-10,660,100,000
24,319,812
27,629,404
30,971,573
29,520,906
22,448,997
19,642,262
18,925,050
21,604,560
24,585,885
30,010,234
33,803,950
34,774,758
34,685,978
38,085,843
37,771,906
38,530,905
39,220,402
40,378,515
42,532,271
10,704,900,534
0.0000
0.0000
9.715%
10.086%
10.975%
12.493%
13.695%
14.552%
15.038%
15.126%
15.359%
15.734%
16.260%
16.942%
17.288%
17.294%
16.955%
16.261%
15.729%
15.356%
15.145%
15.101%
oric data for
New market data

Note: the valuation can be simulated by pressing F9 key
20%
.15 Correlation sheet
JPY
forward
volatilities
14.572%
15.128%
16.462%
18.740%
20.543%
21.828%
22.556%
22.689%
23.038%
23.601%
24.390%
25.414%
25.932%
25.941%
25.432%
24.392%
23.593%
23.034%
22.718%
22.651%
Correlated
normal rv's
new
USD
3 mo.
forwards
Length of time =>
1.02
Uncorrelated
normal rv's
6-Feb-09
6-May-09
6-Aug-09
6-Nov-09
8-Feb-10
6-May-10
6-Aug-10
8-Nov-10
7-Feb-11
6-May-11
8-Aug-11
7-Nov-11
6-Feb-12
7-May-12
6-Aug-12
6-Nov-12
6-Feb-13
0.56
0.01
2.04
1.84
-0.83
-1.03
-0.51
0.65
1.37
1.08
0.01
-0.09
0.06
0.14
-1.80
0.26
-0.20
-0.96
-0.01
0.11
0.56
0.23
1.97
2.46
0.19
-0.88
-0.81
0.29
1.37
1.53
0.60
0.15
0.11
0.18
-1.59
-0.38
-0.33
-1.01
-0.40
-0.05
2.5865%
2.2499%
2.3714%
3.0161%
3.9321%
4.3632%
3.9882%
3.8497%
3.9138%
4.0579%
3.0776%
3.9019%
4.0554%
3.7522%
4.2348%
4.5745%
by pressing F9 key
New spot FX rate =
new
USD
DF's
Uncorrelated
normal rv's
Correlated
normal rv's
1
0.993646
0.987966
0.982015
0.974341
0.965170
0.954526
0.944688
0.935584
0.926718
0.917002
0.909923
0.901036
0.891893
0.883513
0.874054
0.863954
0.09
0.30
-0.20
-2.11
-0.52
0.69
-0.02
-0.89
0.48
-1.32
0.21
0.51
0.38
-1.02
1.32
-2.10
-0.81
-1.68
-0.68
-0.81
0.09
0.31
-0.05
-1.93
-1.29
0.08
0.01
-0.81
0.10
-1.16
-0.29
0.34
0.48
-0.72
0.89
-1.53
-1.38
-2.11
-1.51
-1.38
new
JPY
3 mo.
forwards
unadjusted
1.02
old
JPY
3 mo.
forwards
adjusted
0.61716%
0.68767%
0.65092%
0.60787%
0.93029%
0.80213%
1.08844%
1.35722%
1.45924%
1.09486%
1.70612%
0.95134%
1.01626%
0.89075%
1.07383%
1.16821%
0.82258%
0.69955%
0.68100%
0.77027%
0.94994%
1.09869%
1.21305%
1.29062%
1.33948%
1.38495%
1.42669%
1.46313%
1.49193%
1.53811%
1.60408%
1.69055%
89.67
new
JPY
3 mo.
forwards
adjusted
New Valuation
new
JPY
DF's
USD
cashflows
adjusted
[3]
0.62922%
0.71161%
0.68230%
0.64038%
0.97182%
0.83409%
1.12902%
1.40637%
1.51980%
1.14588%
1.79408%
1.00508%
1.07492%
0.94262%
1.13603%
1.23470%
1
0.998447
0.996634
0.994900
0.993239
0.990912
0.988804
0.985898
0.982405
0.978769
0.975849
0.971444
0.968982
0.966356
0.964059
0.961268
0.958245
-639,447
-574,965
-606,016
-787,542
-950,262
-1,115,044
-1,041,372
-973,130
-956,715
-1,059,562
-777,943
-986,304
-1,025,102
-948,468
-1,082,221
-101,169,033
Value (Yen) =
Value (USD) =
JPY
cashflows
[4]
16,264,778
18,733,795
17,732,758
16,920,013
23,965,949
21,852,046
30,296,492
36,572,231
38,024,905
30,475,186
45,973,809
25,635,192
27,384,398
24,002,496
29,253,722
10,691,924,964
10,640,172,830
-100,000,000
118,653,069
Net Value (USD) =
18,653,069
9.15 Correlation
9.15: Correlation matrix - used in the Simulation
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Correlation matrix
USD forward rate correlation matrix
Lamda
0.95
1
2
3
4
1
0.3867
0.1496
0.0578
0.3867
1
0.3867
0.1496
0.1496
0.3867
1
0.3867
0.0578
0.1496
0.3867
1
0.0224
0.0578
0.1496
0.3867
0.0087
0.0224
0.0578
0.1496
0.0033
0.0087
0.0224
0.0578
0.0013
0.0033
0.0087
0.0224
0.0005
0.0013
0.0033
0.0087
0.0002
0.0005
0.0013
0.0033
0.0001
0.0002
0.0005
0.0013
0.0000
0.0001
0.0002
0.0005
0.0000
0.0000
0.0001
0.0002
0.0000
0.0000
0.0000
0.0001
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
5
0.0224
0.0578
0.1496
0.3867
1
0.3867
0.1496
0.0578
0.0224
0.0087
0.0033
0.0013
0.0005
0.0002
0.0001
0.0000
0.0000
0.0000
0.0000
0.0000
6
0.0087
0.0224
0.0578
0.1496
0.3867
1
0.3867
0.1496
0.0578
0.0224
0.0087
0.0033
0.0013
0.0005
0.0002
0.0001
0.0000
0.0000
0.0000
0.0000
7
0.0033
0.0087
0.0224
0.0578
0.1496
0.3867
1
0.3867
0.1496
0.0578
0.0224
0.0087
0.0033
0.0013
0.0005
0.0002
0.0001
0.0000
0.0000
0.0000
8
0.0013
0.0033
0.0087
0.0224
0.0578
0.1496
0.3867
1
0.3867
0.1496
0.0578
0.0224
0.0087
0.0033
0.0013
0.0005
0.0002
0.0001
0.0000
0.0000
9
0.0005
0.0013
0.0033
0.0087
0.0224
0.0578
0.1496
0.3867
1
0.3867
0.1496
0.0578
0.0224
0.0087
0.0033
0.0013
0.0005
0.0002
0.0001
0.0000
10
0.0002
0.0005
0.0013
0.0033
0.0087
0.0224
0.0578
0.1496
0.3867
1
0.3867
0.1496
0.0578
0.0224
0.0087
0.0033
0.0013
0.0005
0.0002
0.0001
11
0.0001
0.0002
0.0005
0.0013
0.0033
0.0087
0.0224
0.0578
0.1496
0.3867
1
0.3867
0.1496
0.0578
0.0224
0.0087
0.0033
0.0013
0.0005
0.0002
12
0.0000
0.0001
0.0002
0.0005
0.0013
0.0033
0.0087
0.0224
0.0578
0.1496
0.3867
1
0.3867
0.1496
0.0578
0.0224
0.0087
0.0033
0.0013
0.0005
13
0.0000
0.0000
0.0001
0.0002
0.0005
0.0013
0.0033
0.0087
0.0224
0.0578
0.1496
0.3867
1
0.3867
0.1496
0.0578
0.0224
0.0087
0.0033
0.0013
14
0.0000
0.0000
0.0000
0.0001
0.0002
0.0005
0.0013
0.0033
0.0087
0.0224
0.0578
0.1496
0.3867
1
0.3867
0.1496
0.0578
0.0224
0.0087
0.0033
15
0.0000
0.0000
0.0000
0.0000
0.0001
0.0002
0.0005
0.0013
0.0033
0.0087
0.0224
0.0578
0.1496
0.3867
1
0.3867
0.1496
0.0578
0.0224
0.0087
16
0.0000
0.0000
0.0000
0.0000
0.0000
0.0001
0.0002
0.0005
0.0013
0.0033
0.0087
0.0224
0.0578
0.1496
0.3867
1
0.3867
0.1496
0.0578
0.0224
17
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0001
0.0002
0.0005
0.0013
0.0033
0.0087
0.0224
0.0578
0.1496
0.3867
1
0.3867
0.1496
0.0578
18
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0001
0.0002
0.0005
0.0013
0.0033
0.0087
0.0224
0.0578
0.1496
0.3867
1
0.3867
0.1496
19
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0001
0.0002
0.0005
0.0013
0.0033
0.0087
0.0224
0.0578
0.1496
0.3867
1
0.3867
20
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0001
0.0002
0.0005
0.0013
0.0033
0.0087
0.0224
0.0578
0.1496
0.3867
1
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
JPY forward rate correlation matrix

Lamda
0.85
1
2
3
4
1
0.4274 0.1827 0.0781
0.4274
1 0.4274 0.1827
0.1827
0.4274
1 0.4274
0.0781
0.1827 0.4274
1
0.0334
0.0781 0.1827 0.4274
0.0143
0.0334 0.0781 0.1827
0.0061
0.0143 0.0334 0.0781
0.0026
0.0061 0.0143 0.0334
0.0011
0.0026 0.0061 0.0143
0.0005
0.0011 0.0026 0.0061
0.0002
0.0005 0.0011 0.0026
0.0001
0.0002 0.0005 0.0011
0.0000
0.0001 0.0002 0.0005
0.0000
0.0000 0.0001 0.0002
0.0000
0.0000 0.0000 0.0001
0.0000
0.0000 0.0000 0.0000
0.0000
0.0000 0.0000 0.0000
0.0000
0.0000 0.0000 0.0000
0.0000
0.0000 0.0000 0.0000
0.0000
0.0000 0.0000 0.0000
5
0.0334
0.0781
0.1827
0.4274
1
0.4274
0.1827
0.0781
0.0334
0.0143
0.0061
0.0026
0.0011
0.0005
0.0002
0.0001
0.0000
0.0000
0.0000
0.0000
6
0.0143
0.0334
0.0781
0.1827
0.4274
1
0.4274
0.1827
0.0781
0.0334
0.0143
0.0061
0.0026
0.0011
0.0005
0.0002
0.0001
0.0000
0.0000
0.0000
7
0.0061
0.0143
0.0334
0.0781
0.1827
0.4274
1
0.4274
0.1827
0.0781
0.0334
0.0143
0.0061
0.0026
0.0011
0.0005
0.0002
0.0001
0.0000
0.0000
8
0.0026
0.0061
0.0143
0.0334
0.0781
0.1827
0.4274
1
0.4274
0.1827
0.0781
0.0334
0.0143
0.0061
0.0026
0.0011
0.0005
0.0002
0.0001
0.0000
9
0.0011
0.0026
0.0061
0.0143
0.0334
0.0781
0.1827
0.4274
1
0.4274
0.1827
0.0781
0.0334
0.0143
0.0061
0.0026
0.0011
0.0005
0.0002
0.0001
10
0.0005
0.0011
0.0026
0.0061
0.0143
0.0334
0.0781
0.1827
0.4274
1
0.4274
0.1827
0.0781
0.0334
0.0143
0.0061
0.0026
0.0011
0.0005
0.0002
11
0.0002
0.0005
0.0011
0.0026
0.0061
0.0143
0.0334
0.0781
0.1827
0.4274
1
0.4274
0.1827
0.0781
0.0334
0.0143
0.0061
0.0026
0.0011
0.0005
12
0.0001
0.0002
0.0005
0.0011
0.0026
0.0061
0.0143
0.0334
0.0781
0.1827
0.4274
1
0.4274
0.1827
0.0781
0.0334
0.0143
0.0061
0.0026
0.0011
13
0.0000
0.0001
0.0002
0.0005
0.0011
0.0026
0.0061
0.0143
0.0334
0.0781
0.1827
0.4274
1
0.4274
0.1827
0.0781
0.0334
0.0143
0.0061
0.0026
14
0.0000
0.0000
0.0001
0.0002
0.0005
0.0011
0.0026
0.0061
0.0143
0.0334
0.0781
0.1827
0.4274
1
0.4274
0.1827
0.0781
0.0334
0.0143
0.0061
15
0.0000
0.0000
0.0000
0.0001
0.0002
0.0005
0.0011
0.0026
0.0061
0.0143
0.0334
0.0781
0.1827
0.4274
1
0.4274
0.1827
0.0781
0.0334
0.0143
16
0.0000
0.0000
0.0000
0.0000
0.0001
0.0002
0.0005
0.0011
0.0026
0.0061
0.0143
0.0334
0.0781
0.1827
0.4274
1
0.4274
0.1827
0.0781
0.0334
17
0.0000
0.0000
0.0000
0.0000
0.0000
0.0001
0.0002
0.0005
0.0011
0.0026
0.0061
0.0143
0.0334
0.0781
0.1827
0.4274
1
0.4274
0.1827
0.0781
18
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0001
0.0002
0.0005
0.0011
0.0026
0.0061
0.0143
0.0334
0.0781
0.1827
0.4274
1
0.4274
0.1827
19
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0001
0.0002
0.0005
0.0011
0.0026
0.0061
0.0143
0.0334
0.0781
0.1827
0.4274
1
0.4274
20
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0001
0.0002
0.0005
0.0011
0.0026
0.0061
0.0143
0.0334
0.0781
0.1827
0.4274
1
0
0
0
0
0.9041
0.3788
0.1619
0.0692
0.0296
0.0126
0.0054
0.0023
0.0010
0.0004
0.0002
0.0001
0.0000
0.0000
0.0000
0.0000
0
0
0
0
0
0.9073
0.3815
0.1631
0.0697
0.0298
0.0127
0.0054
0.0023
0.0010
0.0004
0.0002
0.0001
0.0000
0.0000
0.0000
0
0
0
0
0
0
0.9067
0.3810
0.1629
0.0696
0.0298
0.0127
0.0054
0.0023
0.0010
0.0004
0.0002
0.0001
0.0000
0.0000
0
0
0
0
0
0
0
0.9068
0.3811
0.1629
0.0696
0.0298
0.0127
0.0054
0.0023
0.0010
0.0004
0.0002
0.0001
0.0000
0
0
0
0
0
0
0
0
0.9068
0.3811
0.1629
0.0696
0.0298
0.0127
0.0054
0.0023
0.0010
0.0004
0.0002
0.0001
0
0
0
0
0
0
0
0
0
0.9068
0.3811
0.1629
0.0696
0.0298
0.0127
0.0054
0.0023
0.0010
0.0004
0.0002
0
0
0
0
0
0
0
0
0
0
0.9068
0.3811
0.1629
0.0696
0.0298
0.0127
0.0054
0.0023
0.0010
0.0004
0
0
0
0
0
0
0
0
0
0
0
0.9068
0.3811
0.1629
0.0696
0.0298
0.0127
0.0054
0.0023
0.0010
0
0
0
0
0
0
0
0
0
0
0
0
0.9068
0.3811
0.1629
0.0696
0.0298
0.0127
0.0054
0.0023
0
0
0
0
0
0
0
0
0
0
0
0
0
0.9068
0.3811
0.1629
0.0696
0.0298
0.0127
0.0054
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0.9068
0.3811
0.1629
0.0696
0.0298
0.0127
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0.9068
0.3811
0.1629
0.0696
0.0298
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0.9068
0.3811
0.1629
0.0696
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0.9068
0.3811
0.1629
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0.9068
0.3811
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0.9068
Cholesky decomposition result

1
0.3867
0.1496
0.0578
0.0224
0.0087
0.0033
0.0013
0.0005
0.0002
0.0001
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0
0.9222
0.3566
0.1379
0.0533
0.0206
0.0080
0.0031
0.0012
0.0005
0.0002
0.0001
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0
0
0.9222
0.3566
0.1379
0.0533
0.0206
0.0080
0.0031
0.0012
0.0005
0.0002
0.0001
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0
0
0
0.9222
0.3566
0.1379
0.0533
0.0206
0.0080
0.0031
0.0012
0.0005
0.0002
0.0001
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0
0
0
0
0.9222
0.3566
0.1379
0.0533
0.0206
0.0080
0.0031
0.0012
0.0005
0.0002
0.0001
0.0000
0.0000
0.0000
0.0000
0.0000
0
0
0
0
0
0.9222
0.3566
0.1379
0.0533
0.0206
0.0080
0.0031
0.0012
0.0005
0.0002
0.0001
0.0000
0.0000
0.0000
0.0000
0
0
0
0
0
0
0.9222
0.3566
0.1379
0.0533
0.0206
0.0080
0.0031
0.0012
0.0005
0.0002
0.0001
0.0000
0.0000
0.0000
0
0
0
0
0
0
0
0.9222
0.3566
0.1379
0.0533
0.0206
0.0080
0.0031
0.0012
0.0005
0.0002
0.0001
0.0000
0.0000
0
0
0
0
0
0
0
0
0.9222
0.3566
0.1379
0.0533
0.0206
0.0080
0.0031
0.0012
0.0005
0.0002
0.0001
0.0000
0
0
0
0
0
0
0
0
0
0.9222
0.3566
0.1379
0.0533
0.0206
0.0080
0.0031
0.0012
0.0005
0.0002
0.0001
0
0
0
0
0
0
0
0
0
0
0.9222
0.3566
0.1379
0.0533
0.0206
0.0080
0.0031
0.0012
0.0005
0.0002
0
0
0
0
0
0
0
0
0
0
0
0.9222
0.3566
0.1379
0.0533
0.0206
0.0080
0.0031
0.0012
0.0005
0
0
0
0
0
0
0
0
0
0
0
0
0.9222
0.3566
0.1379
0.0533
0.0206
0.0080
0.0031
0.0012
0
0
0
0
0
0
0
0
0
0
0
0
0
0.9222
0.3566
0.1379
0.0533
0.0206
0.0080
0.0031
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0.9222
0.3566
0.1379
0.0533
0.0206
0.0080
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0.9222
0.3566
0.1379
0.0533
0.0206
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0.9222
0.3566
0.1379
0.0533
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0.9222
0.3566
0.1379
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0.9222
0.3566
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0.9222
Check matrix
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
1
0.4274
0.1827
0.0781
0.0334
0.0143
0.0061
0.0026
0.0011
0.0005
0.0002
0.0001
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
Page 63
0
0.9041
0.3864
0.1652
0.0706
0.0302
0.0129
0.0055
0.0024
0.0010
0.0004
0.0002
0.0001
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0
0
0.9041
0.3864
0.1652
0.0706
0.0302
0.0129
0.0055
0.0024
0.0010
0.0004
0.0002
0.0001
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0
0
0
0.9041
0.3864
0.1652
0.0706
0.0302
0.0129
0.0055
0.0024
0.0010
0.0004
0.0002
0.0001
0.0000
0.0000
0.0000
0.0000
0.0000
9.16: Rebalancing the Valuation of a CCBS with zero margin off unadjusted curves - simulation
Historic data for

simulation
New market data
FX vol =>
20%
USD principal
JPY principal
100
10,660.10
Day
count
new
USD
3 mo.
forwards
Length of time =>

6-Feb-08
1.02
See Correlation sheet for

further data
USD
forward
volatilities
9.715%
10.086%
10.975%
12.493%
13.695%
14.552%
15.038%
15.126%
15.359%
15.734%
16.260%
16.942%
17.288%
17.294%
16.955%
16.261%
15.729%
15.356%
15.145%
15.101%
JPY
forward
volatilities
14.572%
15.128%
16.462%
18.740%
20.543%
21.828%
22.556%
22.689%
23.038%
23.601%
24.390%
25.414%
25.932%
25.941%
25.432%
24.392%
23.593%
23.034%
22.718%
22.651%
6-Feb-09
6-May-09
6-Aug-09
6-Nov-09
8-Feb-10
6-May-10
6-Aug-10
8-Nov-10
7-Feb-11
6-May-11
8-Aug-11
7-Nov-11
6-Feb-12
7-May-12
6-Aug-12
6-Nov-12
6-Feb-13
0.247
0.256
0.256
0.261
0.242
0.256
0.261
0.253
0.244
0.261
0.253
0.253
0.253
0.253
0.256
0.256
2.18087%
2.74385%
3.59642%
3.79739%
3.56089%
3.45687%
3.43389%
3.38098%
4.04585%
5.47108%
5.69585%
4.86437%
4.99584%
5.85255%
4.78891%
3.55254%
f unadjusted curves - simulation removed
m
m
Old spot FX rate =

New spot FX rate =
106.601
94.97
New Valuation
1. The original principals
new
USD
DF's
1
0.994637
0.987711
0.978716
0.969107
0.960839
0.952425
0.943961
0.935962
0.926796
0.913743
0.900773
0.889832
0.878735
0.865925
0.855455
0.847759
new
JPY
3 mo.
forwards
unadjusted
1.02
0.91907%
0.64981%
1.07338%
0.78611%
1.02218%
1.45818%
1.20338%
2.22108%
1.29826%
1.43882%
1.57640%
1.54766%
1.86357%
1.23976%
1.28267%
1.13047%
new
JPY
DF's
USD
cashflows
unadjusted
1
0.997733
0.996079
0.993354
0.991319
0.988876
0.985205
0.982119
0.976636
0.973546
0.969903
0.966053
0.962288
0.957777
0.954784
0.951665
0.948924
-539,158
-701,206
-919,085
-991,541
-860,549
-883,421
-896,627
-854,636
-988,985
-1,428,561
-1,439,785
-1,229,605
-1,262,838
-1,479,395
-1,223,831
-100,907,872
Value (Yen) =
Value (USD) =
-100,000,000
Net Value (USD) =
original principals
2. Rebalanced
JPY
cashflows
[1]
JPY
cashflows
[2]
24,221,226
17,702,452
29,241,476
21,881,249
26,333,388
39,724,329
33,495,749
59,850,079
33,830,133
40,049,052
42,478,351
41,703,898
50,216,333
33,407,080
34,942,981
10,690,896,702
1,163,233,604
21,578,198
15,770,754
26,050,636
19,493,560
23,459,880
35,389,598
29,840,682
53,319,219
30,138,578
35,678,886
37,843,099
37,153,155
44,736,711
29,761,688
31,129,991
9,524,302,552
10,660,100,000
10,660,100,000
112,248,604
112,248,604
12,248,604
12,248,604
9.17: Rebalancing the Valuation of a CCBS with zero margin off unadjusted curves - using simu
Historic data for

simulation
New market data
Note: the valuation can be simulated by pressing

FX vol =>
20%
USD principal
JPY principal
100
10,660.10
Day
count
new
USD
3 mo.
forwards
Length of time =>

6-Feb-08
1.02

further data
USD
forward
volatilities
9.715%
10.086%
10.975%
12.493%
13.695%
14.552%
15.038%
15.126%
15.359%
15.734%
16.260%
16.942%
17.288%
17.294%
16.955%
16.261%
15.729%
15.356%
15.145%
15.101%
JPY
forward
volatilities
14.572%
15.128%
16.462%
18.740%
20.543%
21.828%
22.556%
22.689%
23.038%
23.601%
24.390%
25.414%
25.932%
25.941%
25.432%
24.392%
23.593%
23.034%
22.718%
22.651%
6-Feb-09
6-May-09
6-Aug-09
6-Nov-09
8-Feb-10
6-May-10
6-Aug-10
8-Nov-10
7-Feb-11
6-May-11
8-Aug-11
7-Nov-11
6-Feb-12
7-May-12
6-Aug-12
6-Nov-12
6-Feb-13
0.247
0.256
0.256
0.261
0.242
0.256
0.261
0.253
0.244
0.261
0.253
0.253
0.253
0.253
0.256
0.256
2.24804%
2.29103%
2.35272%
3.18908%
3.46528%
3.09810%
2.98720%
3.54407%
4.48445%
4.68962%
3.63327%
5.05845%
3.91595%
4.84319%
4.98577%
4.50962%
f unadjusted curves - using simulation
ation can be simulated by pressing F9 key

m
m
Old spot FX rate =

New spot FX rate =
106.601
135.89
new
JPY
3 mo.
forwards
unadjusted
1.02
new
JPY
DF's
New Valuation
new
USD
DF's
1
0.994473
0.988684
0.982776
0.974660
0.966565
0.958973
0.951551
0.943102
0.932875
0.921590
0.913204
0.901674
0.892836
0.882038
0.870941
0.861018
0.87967%
0.90908%
0.86022%
0.87405%
1.01454%
1.00703%
1.23805%
1.23613%
0.93466%
1.09129%
1.23869%
1.94965%
1.54517%
1.73788%
1.95713%
1.42413%
Value (Yen) =
USD
cashflows
unadjusted
1
0.997830
0.995517
0.993333
0.991072
0.988648
0.986110
0.982932
0.979871
0.977637
0.974859
0.971816
0.967050
0.963288
0.959075
0.954302
0.950841
-555,764
-585,486
-601,250
-832,703
-837,444
-791,738
-779,990
-895,862
-1,096,198
-1,224,513
-918,410
-1,278,665
-989,866
-1,224,250
-1,274,140
-101,152,458
Value (USD) =
Net Value (USD) =
-100,000,000
original principals
2. Rebalanced
JPY
cashflows
[1]
JPY
cashflows
[2]
23,183,071
24,765,467
23,434,600
24,328,798
26,136,541
27,433,932
34,460,652
33,309,162
24,355,300
30,375,790
33,378,073
52,535,867
41,636,757
46,829,555
53,317,170
10,698,896,794
-2,929,122,399
29,553,185
31,570,383
29,873,828
31,013,728
33,318,193
34,972,074
43,929,556
42,461,666
31,047,513
38,722,279
42,549,513
66,971,377
53,077,471
59,697,117
67,967,362
13,638,679,558
10,660,100,000
10,660,100,000
78,445,254
78,445,254
-21,554,746
-21,554,746
9.18: Rebalancing the Valuation of a CCBS with margin off unadjusted curves - simulation rem
Historic data for

simulation
New market data
FX vol =>
20%

further data
USD
forward
volatilities
9.715%
10.086%
10.975%
12.493%
13.695%
14.552%
15.038%
15.126%
15.359%
15.734%
16.260%
16.942%
17.288%
17.294%
16.955%
16.261%
15.729%
15.356%
15.145%
15.101%
USD principal
JPY principal
CCBS margin
100
10,660.10
4.50
Day
count
new
USD
3 mo.
forwards
Length of time =>

6-Feb-08
1.02
JPY
forward
volatilities
14.572%
15.128%
16.462%
18.740%
20.543%
21.828%
22.556%
22.689%
23.038%
23.601%
24.390%
25.414%
25.932%
25.941%
25.432%
24.392%
23.593%
23.034%
22.718%
22.651%
6-Feb-09
6-May-09
6-Aug-09
6-Nov-09
8-Feb-10
6-May-10
6-Aug-10
8-Nov-10
7-Feb-11
6-May-11
8-Aug-11
7-Nov-11
6-Feb-12
7-May-12
6-Aug-12
6-Nov-12
6-Feb-13
0.247
0.256
0.256
0.261
0.242
0.256
0.261
0.253
0.244
0.261
0.253
0.253
0.253
0.253
0.256
0.256
2.78750%
2.97881%
3.06915%
2.85563%
3.27460%
3.19382%
3.88121%
4.42404%
4.14429%
4.37429%
4.36994%
4.97791%
3.93869%
4.28197%
4.90927%
4.03573%
djusted curves - simulation removed
m
m
bp
Old spot FX rate =

New spot FX rate =
new
USD
DF's
1
0.993156
0.985653
0.977982
0.970744
0.963122
0.955325
0.945740
0.935281
0.925901
0.915445
0.905443
0.894192
0.885377
0.875896
0.865043
0.856213
new
JPY
3 mo.
forwards
unadjusted
1.02
0.95166%
0.57285%
0.57189%
0.75345%
1.13433%
0.88484%
1.11556%
1.01961%
1.28393%
0.96957%
1.12999%
1.26085%
1.37453%
1.22814%
1.42758%
1.55782%
106.601
96.14
new
JPY
DF's
New Valuation
101.1010264617
USD
cashflows
unadjusted
1
0.997653
0.996194
0.994741
0.992787
0.990073
0.987840
0.984971
0.982438
0.979365
0.976892
0.974109
0.971014
0.967652
0.964658
0.961151
0.957340
-689,132
-761,250
-784,339
-745,637
-791,362
-816,198
-1,013,426
-1,118,300
-1,013,050
-1,142,177
-1,104,625
-1,258,305
-995,613
-1,082,388
-1,254,590
-101,031,354
Value (Yen) off Unadjusted curve =

Value (USD) =
-100,000,000
Net Value (USD) =
original principals
2. Rebalanced
JPY cashflows
JPY
cashflows
[1]
CCBS
[2]
margin CF's
on delta-FX
[3]
26,266,181
16,831,764
16,805,686
22,224,746
30,381,687
25,331,076
32,303,883
28,687,401
34,629,339
28,240,360
31,661,842
35,187,975
38,251,159
34,306,433
40,116,610
10,703,764,824
1,047,774,658
23,689,106
15,180,336
15,156,816
20,044,192
27,400,824
22,845,748
29,134,426
25,872,771
31,231,723
25,469,591
28,555,378
31,735,549
34,498,192
30,940,498
36,180,616
9,653,577,746
116,357
120,279
120,279
122,894
113,742
120,279
122,894
118,971
115,049
122,894
118,971
118,971
118,971
118,971
120,279
120,279
10,679,176,853
10,679,176,853
1,871,703
111,077,158
111,077,158
11,077,158
11,077,158
9.19: Rebalancing the Valuation of a CCBS with margin off unadjusted curves - using simulatio
Historic data for

simulation
New market data

FX vol =>
20%

further data
USD
forward
volatilities
9.715%
10.086%
10.975%
12.493%
13.695%
14.552%
15.038%
15.126%
15.359%
15.734%
16.260%
16.942%
17.288%
17.294%
16.955%
16.261%
15.729%
15.356%
15.145%
15.101%
USD principal
JPY principal
CCBS margin
100
10,660.10
4.50
Day
count
new
USD
3 mo.
forwards
Length of time =>

6-Feb-08
1.02
JPY
forward
volatilities
14.572%
15.128%
16.462%
18.740%
20.543%
21.828%
22.556%
22.689%
23.038%
23.601%
24.390%
25.414%
25.932%
25.941%
25.432%
24.392%
23.593%
23.034%
22.718%
22.651%
6-Feb-09
6-May-09
6-Aug-09
6-Nov-09
8-Feb-10
6-May-10
6-Aug-10
8-Nov-10
7-Feb-11
6-May-11
8-Aug-11
7-Nov-11
6-Feb-12
7-May-12
6-Aug-12
6-Nov-12
6-Feb-13
0.247
0.256
0.256
0.261
0.242
0.256
0.261
0.253
0.244
0.261
0.253
0.253
0.253
0.253
0.256
0.256
2.99977%
2.51682%
2.13366%
2.19517%
3.11637%
3.13530%
3.40563%
3.15183%
3.64060%
3.38410%
3.84156%
3.65305%
3.56976%
4.45762%
3.22748%
3.78190%
djusted curves - using simulation

m
m
bp
Old spot FX rate =

New spot FX rate =
106.601
104.24
New Valuation
new
USD
DF's
1
0.992638
0.986295
0.980946
0.975355
0.968065
0.960370
0.951905
0.944381
0.936051
0.927852
0.918929
0.910521
0.902378
0.892324
0.885024
0.876552
new
JPY
3 mo.
forwards
unadjusted
1.02
0.76241%
0.55257%
0.53267%
0.78809%
1.12274%
1.08092%
1.07361%
1.26540%
0.97041%
1.01393%
0.82992%
1.02333%
1.96845%
2.12429%
1.70135%
1.75129%
new
JPY
DF's
USD
cashflows
unadjusted
1
0.998119
0.996711
0.995356
0.993312
0.990624
0.987895
0.985134
0.981993
0.979669
0.977082
0.975037
0.972521
0.967706
0.962537
0.958370
0.954100
-741,610
-643,188
-545,267
-573,182
-753,122
-801,244
-889,248
-796,711
-889,925
-883,626
-971,062
-923,409
-902,357
-1,126,788
-824,800
-100,966,485

Value (USD) =
-100,000,000
Net Value (USD) =
original principals
2. Rebalanced
JPY cashflows
JPY
cashflows
[1]
CCBS
[2]
margin CF's
on delta-FX
[3]
21,278,575
16,279,396
15,737,116
23,188,812
30,083,306
30,672,907
31,136,093
35,310,554
26,459,543
29,474,989
23,575,984
28,787,620
54,255,185
58,454,346
47,575,025
10,709,035,448
236,223,675
20,807,892
15,919,296
15,389,010
22,675,874
29,417,862
29,994,421
30,447,362
34,529,483
25,874,257
28,823,001
23,054,482
28,150,837
53,055,058
57,161,334
46,522,664
10,472,151,226
26,233
27,117
27,117
27,707
25,643
27,117
27,707
26,822
25,938
27,707
26,822
26,822
26,822
26,822
27,117
27,117
10,679,173,484
10,679,173,484
421,906
102,445,011
102,445,011
2,445,011
2,445,011
9.20: Rebalancing the Valuation of a CCBS with margin off adjusted curves - simulation remov
Historic data for

simulation
New market data
FX vol =>
20%

further data
USD
forward
volatilities
9.715%
10.086%
10.975%
12.493%
13.695%
14.552%
15.038%
15.126%
15.359%
15.734%
16.260%
16.942%
17.288%
17.294%
16.955%
16.261%
15.729%
15.356%
15.145%
15.101%
USD principal
JPY principal
CCBS margin
100
10,660.10
4.50
Day
count
new
USD
3 mo.
forwards
Length of time =>

6-Feb-08
1.02
JPY
forward
volatilities
14.572%
15.128%
16.462%
18.740%
20.543%
21.828%
22.556%
22.689%
23.038%
23.601%
24.390%
25.414%
25.932%
25.941%
25.432%
24.392%
23.593%
23.034%
22.718%
22.651%
6-Feb-09
6-May-09
6-Aug-09
6-Nov-09
8-Feb-10
6-May-10
6-Aug-10
8-Nov-10
7-Feb-11
6-May-11
8-Aug-11
7-Nov-11
6-Feb-12
7-May-12
6-Aug-12
6-Nov-12
6-Feb-13
0.247
0.256
0.256
0.261
0.242
0.256
0.261
0.253
0.244
0.261
0.253
0.253
0.253
0.253
0.256
0.256
1.84461%
2.90310%
2.65256%
2.63753%
2.77993%
2.53356%
3.06040%
2.76765%
2.99548%
3.64650%
4.03018%
5.16610%
5.37506%
4.01600%
4.37397%
3.30030%
usted curves - simulation removed
m
m
bp
Old spot FX rate =

New spot FX rate =
new
USD
DF's
1
0.995460
0.988129
0.981476
0.974763
0.968258
0.962029
0.954403
0.947772
0.940883
0.932009
0.922610
0.910717
0.898509
0.889479
0.879647
0.872290
new
JPY
3 mo.
forwards
unadjusted
1.02
0.69943%
1.00095%
0.76959%
0.84407%
1.00051%
1.13211%
0.95823%
0.92601%
1.27430%
1.49238%
1.10855%
1.55923%
1.56852%
1.69163%
2.38243%
1.81316%
106.601
112.37
new
JPY
3 mo.
forwards
adjusted
new
JPY
DF's
new
JPY
DF's
unadjusted
adjusted
0.71309%
1.03580%
0.80668%
0.88920%
1.04518%
1.17721%
0.99395%
0.95954%
1.32719%
1.56192%
1.16570%
1.64729%
1.65907%
1.79013%
2.52044%
1.91636%
1
0.998274
0.995727
0.993772
0.991587
0.989195
0.986341
0.983880
0.981582
0.978534
0.974736
0.972012
0.968196
0.964372
0.960266
0.954455
0.950053
1
0.998240
0.995605
0.993557
0.991255
0.988758
0.985792
0.983240
0.980861
0.977689
0.973718
0.970857
0.966831
0.962794
0.958457
0.952323
0.947681
Value (Yen) off Adjusted curve =

Value (USD) =
Net Value (USD) =

Change in valuation off the curves

Total change in valuation off the curves
New Valuation
2. Rebalanced
JPY cashflows
USD
cashflows
JPY
cashflows
[1]
-456,028
-741,904
-677,876
-688,687
-671,816
-647,466
-799,104
-699,600
-732,227
-952,143
-1,018,740
-1,305,876
-1,358,696
-1,015,156
-1,117,793
-100,843,411
-100,000,000
CCBS
[2]
margin CF's
on delta-FX
[3]
19,618,841
28,494,317
22,191,397
24,746,946
26,934,412
32,067,361
27,924,474
26,165,091
34,378,320
42,792,465
31,084,107
43,228,033
43,478,440
46,795,934
66,129,072
10,710,720,844
-577,344,835
20,681,386
30,037,552
23,393,270
26,087,226
28,393,164
33,804,110
29,436,847
27,582,177
36,240,230
45,110,080
32,767,604
45,569,239
45,833,207
49,330,374
69,710,584
11,290,807,274
-64,230
-66,395
-66,395
-67,838
-62,786
-66,395
-67,838
-65,673
-63,508
-67,838
-65,673
-65,673
-65,673
-65,673
-66,395
-66,395
10,653,188,080
10,652,813,734
-1,029,804
94,800,804
94,788,309
-5,199,196
-5,211,691
10,679,132,988
10,680,163,804
-1,030,816
(a)
-25,944,908
(b)
-27,350,069
(c)
1,012
-1,404,150
Net JPY
cashflows
[4]
-576,970,489
20,681,386
30,037,552
23,393,270
26,087,226
28,393,164
33,804,110
29,436,847
27,582,177
36,240,230
45,110,080
32,767,604
45,569,239
45,833,207
49,330,374
69,710,584
11,290,807,274
10,653,188,080
94,800,804
-5,199,196
9.21: Rebalancing the Valuation of a CCBS with margin off adjusted curves - using simulation
Historic data for

simulation
New market data

FX vol =>
20%

further data
USD
forward
volatilities
9.715%
10.086%
10.975%
12.493%
13.695%
14.552%
15.038%
15.126%
15.359%
15.734%
16.260%
16.942%
17.288%
17.294%
16.955%
16.261%
15.729%
15.356%
15.145%
15.101%
USD principal
JPY principal
CCBS margin
100
10,660.10
4.50
Day
count
new
USD
3 mo.
forwards
Length of time =>

6-Feb-08
1.02
JPY
forward
volatilities
14.572%
15.128%
16.462%
18.740%
20.543%
21.828%
22.556%
22.689%
23.038%
23.601%
24.390%
25.414%
25.932%
25.941%
25.432%
24.392%
23.593%
23.034%
22.718%
22.651%
6-Feb-09
6-May-09
6-Aug-09
6-Nov-09
8-Feb-10
6-May-10
6-Aug-10
8-Nov-10
7-Feb-11
6-May-11
8-Aug-11
7-Nov-11
6-Feb-12
7-May-12
6-Aug-12
6-Nov-12
6-Feb-13
0.247
0.256
0.256
0.261
0.242
0.256
0.261
0.253
0.244
0.261
0.253
0.253
0.253
0.253
0.256
0.256
2.17340%
2.29573%
2.23450%
3.06873%
2.36936%
3.34887%
4.17954%
2.87758%
3.68234%
4.61982%
4.80242%
4.80880%
2.76773%
3.71389%
4.40295%
4.50734%
usted curves - using simulation

m
m
bp
Old spot FX rate =

New spot FX rate =
new
USD
DF's
1
0.994656
0.988854
0.983239
0.975424
0.969870
0.961640
0.951259
0.944390
0.935965
0.924809
0.913717
0.902743
0.896472
0.888134
0.878252
0.868251
new
JPY
3 mo.
forwards
unadjusted
1.02
0.70679%
0.85096%
0.72917%
0.76338%
0.98854%
0.81342%
0.86666%
0.99802%
1.06004%
1.36314%
1.33887%
1.63713%
1.05646%
1.52538%
1.77124%
1.39830%
106.601
160.05
new
JPY
3 mo.
forwards
adjusted
new
JPY
DF's
new
JPY
DF's
unadjusted
adjusted
0.72060%
0.88059%
0.76432%
0.80419%
1.03267%
0.84582%
0.89897%
1.03416%
1.10403%
1.42666%
1.40789%
1.72960%
1.11745%
1.61419%
1.87385%
1.47789%
1
0.998256
0.996090
0.994237
0.992259
0.989894
0.987841
0.985610
0.983130
0.980589
0.977111
0.973816
0.969802
0.967219
0.963504
0.959163
0.955747
1
0.998222
0.995980
0.994039
0.991956
0.989486
0.987352
0.985040
0.982472
0.979827
0.976191
0.972729
0.968495
0.965767
0.961842
0.957258
0.953656
Value (Yen) off Adjusted curve =

Value (USD) =
Net Value (USD) =

Change in valuation off the curves

Total change in valuation off the curves
New Valuation
2. Rebalanced
JPY cashflows
USD
cashflows
JPY
cashflows
[1]
-537,313
-586,686
-571,038
-801,281
-572,595
-855,822
-1,091,325
-727,387
-900,128
-1,206,286
-1,213,944
-1,215,557
-699,620
-938,788
-1,125,198
-101,151,876
-100,000,000
CCBS
[2]
margin CF's
on delta-FX
[3]
19,812,885
24,408,286
21,090,321
22,500,886
26,626,002
23,385,406
25,375,754
28,105,571
28,795,038
39,195,233
37,290,211
45,327,373
29,680,353
42,315,922
49,478,997
10,699,419,145
-5,344,686,593
29,746,531
36,645,942
31,664,440
33,782,223
39,975,561
35,110,217
38,098,473
42,196,946
43,232,094
58,846,666
55,986,517
68,053,295
44,561,282
63,531,984
74,286,431
16,063,819,296
-594,596
-614,639
-614,639
-628,001
-581,235
-614,639
-628,001
-607,958
-587,916
-628,001
-607,958
-607,958
-607,958
-607,958
-614,639
-614,639
10,656,365,102
10,654,492,525
-9,553,243
66,582,363
66,510,973
-33,417,637
-33,489,027
10,679,171,166
10,688,732,935
-9,561,768
-22,806,064
-34,240,410
8,526
-11,425,820
Net JPY
cashflows
-5,342,814,015
29,746,531
36,645,942
31,664,440
33,782,223
39,975,561
35,110,217
38,098,473
42,196,946
43,232,094
58,846,666
55,986,517
68,053,295
44,561,282
63,531,984
74,286,431
16,063,819,296
10,656,365,102
66,582,363
-33,417,637
9.22: Swapping a reverse dual currency A$-Yen bond into floating USD
Today's date =
26-Jun-96
Current Yen/$ spot rate =

Current $/A$ spot rate =
109.085
1.429
Current Yen/A$ spot rate =

Theoretical Yen/A$ forward rate =
3-year
zero's
2.09%
10.58%
76.360
58.990
Yen Principal =
USD principal =
10 bn
100 m
Maturity =
coupon (Yen) =
redemption (AUD) =
3.00 years
5.65% ANN
100
USD
data
USD df's
Yen
data
Yen
df's
AUD
data
AUD
df's
Bond
dates
Bond cashflows
Yen
AUD
[1]
26-Jun-96
26-Dec-96
26-Jun-97
5.750%
6.156%
1
0.971601
0.941250
1
1.156%
0.988413
10.41%
26-Jun-98
6.550%
0.879110
1.419%
0.967182
10.87%
26-Jun-99
6.760%
0.819095
1.670%
0.938283
11.25%
1 |
|
0.905501 |
|
0.812930 |
|
0.724857 |
|
PV of bond cashflows
PV USD) =
Net PV (USD)
26-Jun-96
Swap
dates
USD
IBOR
df's
USD
Libor
USD
cashflows
margin ->
-375.89
[2]
10,000,000,000
[3]
|
|
|
|
26-Jun-96
26-Dec-96
26-Jun-97
26-Dec-97
26-Jun-98
26-Dec-98
26-Jun-99
0.508
0.506
0.508
0.506
0.508
0.506
1
0.971601
0.941250
0.910446
0.879110
0.848935
0.819095
5.75%
6.38%
6.66%
7.05%
6.99%
7.21%
100,000,000
-1,012,143
-1,324,252
-1,472,563
-1,664,142
-1,643,763
-101,742,712
26-Jun-97
-565,000,000
26-Jun-98
-565,000,000
26-Jun-99
-565,000,000
-130,959,475
8,364,959,233
-94,926,879
76,682,947
-66,448,815
10,234,131
10,234,131
9.23: Swapping a dual currency A$-Yen bond into floating USD: calculating the breakeven coupon rate
Today's date =
26-Jun-96
Current Yen/$ spot rate =

Current A$/$ spot rate =
Yen Principal =
USD principal =
109.085
1.429
10 bn
100 m
Maturity =
coupon (AUD) =
redemption (Yen) =
3.00 years
2.53% ANN
100
USD
data
USD df's
Yen
data
Yen
df's
AUD
data
AUD
df's
Bond
dates
Bond cashflows
Yen
AUD
[1]
26-Jun-96
26-Dec-96
26-Jun-97
5.750%
6.156%
1
0.971601
0.941250
1
1.156%
0.988413
10.41%
26-Jun-98
6.550%
0.879110
1.419%
0.967182
10.87%
26-Jun-99
6.760%
0.819095
1.670%
0.938283
11.25%
1 |
|
0.905501 |
|
0.812930 |
|
0.724857 |
PV of bond cashflows
PV USD) =
Net PV (USD)
26-Jun-96
10,000,000,000
26-Jun-97
26-Jun-98
26-Jun-99
-10,000,000,000
Swap
dates
USD
IBOR
df's
USD
Libor
USD
cashflows
margin ->
0.00
[2]
[3]
|
|
-3,308,011 |
|
-3,308,011 |
|
-3,308,011 |
26-Jun-96
26-Dec-96
26-Jun-97
26-Dec-97
26-Jun-98
26-Dec-98
26-Jun-99
0.508
0.506
0.508
0.506
0.508
0.506
1
0.971601
0.941250
0.910446
0.879110
0.848935
0.819095
5.75%
6.38%
6.66%
7.05%
6.99%
7.21%
100,000,000
-2,922,917
-3,224,585
-3,383,337
-3,564,474
-3,554,538
-103,643,045
617,169,961
-8,082,425
5,657,698
-5,657,698
9.24: Pricing a 5 year Yen-USD quanto diff swap with Convexity - Approach 1
Today's date =
Sensitivity of a Quanto Diff Swap to changes in the Parameters of the Convexity Adjustment
4-Feb-08
Current spot rate =
Convexity data
106.601
Principal amount
Principal amount
Maturity
To pay
To receive
10
93.81
5
6
6
bn Yen
m USD
years
mo. Yen Libor
mo. USD Libor +
Domestic:
Foreign:
FX rate:
Correlations
rate vol.
15%
15%
20%
lamda1
0%
0%
lamda2
d-f
50%
d-FX
30%
f-FX
-30%
Foreign
bond
price
volatility
sigma(f,1)
sigma(f,2)
Impact of changing term structure volatility

-240.95
0.0%
-241.09
0.5%
-241.08
1.0%
-241.08
1.5%
-241.07
2.0%
-241.07
2.5%
-241.07
3.0%
-241.06
3.5%
-241.06
4.0%
-241.05
4.5%
-241.05
5.0%
-241.04
0%
-240.95 bp's
1. Yen pay side
Impact of changing FX volatility

-240.95
0.0%
-236.92
2.0%
-237.32
4.0%
-237.72
6.0%
-238.13
8.0%
-238.53
10.0%
-238.93
12.0%
-239.34
14.0%
-239.74
16.0%
-240.14
18.0%
-240.55
20.0%
-240.95
Impact of changing IR correlation

-240.95
-1.0
-241.36
-0.8
-241.31
-0.6
-241.25
-0.4
-241.20
-0.2
-241.14
0
-241.09
0.2
-241.03
0.4
-240.98
0.6
-240.92
0.8
-240.87
1
-232.75
Impact of changing FX/foreign IR correlation

-240.95
-1.0
-250.37
-0.8
-247.68
-0.6
-244.99
-0.4
-242.30
-0.2
-239.61
0
-236.92
0.2
-234.23
0.4
-231.54
0.6
-228.85
0.8
-226.17
1
-223.48

Sensitivity of a Quanto Diff Swap to changes in the Parameters of the Convexity Adjustment
Dates
Days
count
(domestic)
Accumulative
domestic time
Implied
forwards
Domestic
bond
price
volatility
[2]
Yen
IBOR
adjusted df's
[3]
Yen
Libor
cashflows
Day
count
(foreign)
Accumulative
foreign time
Implied
forwards
set if lamda's > 0

delta(1)
delta(2)
set if lamda's = 0
delta(3)
[4]
a(f,1)
a(f,2)
a(f,d)
a(f,FX)
a(f,1)
a(f,2)
a(f,d)
a(f,FX)
phi
adjustment
factor
exp(phi)
USD-related
Libor
cashflows
USD-related
margin
cashflows
PV01
QDS : Impact of changing IR Volatility
-200.00
-230.00
-235.00
1
6-Feb-08
6-Aug-08
6-Feb-09
6-Aug-09
8-Feb-10
6-Aug-10
7-Feb-11
8-Aug-11
6-Feb-12
6-Aug-12
6-Feb-13
0.506
0.511
0.503
0.517
0.497
0.514
0.506
0.506
0.506
0.511
Net PV =
0.506
1.017
1.519
2.036
2.533
3.047
3.553
4.058
4.564
5.075
0.925%
1.065%
0.739%
0.694%
0.989%
1.210%
1.308%
1.374%
1.435%
1.563%
0.070%
0.081%
0.056%
0.054%
0.073%
0.093%
0.099%
0.103%
0.108%
0.119%
1
0.995355
0.989923
0.986151
0.982462
0.977467
0.971212
0.964554
0.957547
0.950255
0.942304
-46,761,573
-54,413,299
-37,169,930
-35,847,591
-49,170,225
-62,181,654
-66,139,530
-69,465,227
-72,563,449
-79,894,592
-555,287,331
0.506
0.511
0.503
0.517
0.497
0.514
0.506
0.506
0.506
0.511
0.506
1.017
1.519
2.036
2.533
3.047
3.553
4.058
4.564
5.075
3.097%
2.656%
2.548%
2.795%
3.318%
3.699%
3.908%
4.117%
4.355%
4.582%
0.23%
0.20%
0.19%
0.21%
0.24%
0.28%
0.29%
0.31%
0.32%
0.34%
0.0012
0.0010
0.0009
0.0011
0.0012
0.0014
0.0015
0.0015
0.0016
0.0017
0.0020
0.0017
0.0016
0.0018
0.0021
0.0024
0.0025
0.0026
0.0028
0.0030
0.0600
0.0600
0.0600
0.0600
0.0600
0.0600
0.0600
0.0600
0.0600
0.0600
-0.1039
-0.1039
-0.1039
-0.1039
-0.1039
-0.1039
-0.1039
-0.1039
-0.1039
-0.1039
0.1600
0.1600
0.1600
0.1600
0.1600
0.1600
0.1600
0.1600
0.1600
0.1600
#DIV/0!
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#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0001
0.0001
0.0001
0.0002
0.0003
0.0003
0.0004
0.0005
0.0000
0.0000
0.0001
0.0001
0.0001
0.0002
0.0003
0.0003
0.0004
0.0005
1
1.0000
1.0001
1.0001
1.0001
1.0002
1.0003
1.0003
1.0004
1.0005
156,595,833
136,046,942
128,674,627
145,444,443
166,454,631
192,289,031
200,257,803
211,427,218
224,145,395
238,921,985
-121,814,532
-123,153,153
-121,145,222
-124,491,775
-119,806,600
-123,822,464
-121,814,532
-121,814,532
-121,814,532
-123,153,153
505,556
511,111
502,778
516,667
497,222
513,889
505,556
505,556
505,556
511,111
1,743,531,230
-1,188,243,899
4,931,458
QDS: Impact of changing FX Volatility
-240.95
-240.00
-250.00
0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0% 3.5% 4.0% 4.5% 5.0%
-245.00
0.0%
4.0%
8.0%
12.0%
16.0%
20.0%
QDS: Impact of changing FX/foreign IR Correlation
QDS: Impact of changing IR Correlation

-225.00
-210.00
-220.00
-230.00
-230.00
-240.00
-235.00
-250.00
-240.00
-260.00
-245.00
-1.0
-0.6
-0.2
0.2
0.6
1.0
-270.00
-1.0
-0.6
-0.2
0.2
0.6
1.0
9.25: Pricing a 5 year Yen-USD quanto diff swap with Convexity - Approach 2
Today's date =
4-Feb-08
Principal amount
Maturity
To pay
To receive
10
5
6
6
Current spot rate =
bn Yen
years
mo. Yen Libor
mo. USD Libor +
Convexity adjustment data

Vol of foreign interest rates
Vol of FX spot rate
Correlation
-244.96 bp's
1. Yen pay side
0
0.5
1
1.5
2
2.5
3
3.5
4
4.5
6-Feb-08
6-Aug-08
6-Feb-09
6-Aug-09
8-Feb-10
6-Aug-10
7-Feb-11
8-Aug-11
6-Feb-12
6-Aug-12
6-Feb-13
106.601
15%
20%
30%
Correlation
Margin
-100%
-90%
-80%
-70%
-60%
-50%
-40%
-30%
-20%
-10%
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
-244.96
-212.14
-214.52
-216.92
-219.34
-221.79
-224.26
-226.76
-229.28
-231.83
-234.40
-237.00
-239.63
-242.28
-244.96
-247.66
-250.39
-253.15
-255.94
-258.76
-261.60
-264.47
day
count
Implied
forwards
Yen
IBOR
adjusted df's
Yen
Libor
cashflows
USD
IBOR
df's
Convexity
Adjustment
Adjusted
Implied
forwards
USD-related
Libor
cashflows
0.506
0.511
0.503
0.517
0.497
0.514
0.506
0.506
0.506
0.511
0.925%
1.065%
0.739%
0.694%
0.989%
1.210%
1.308%
1.374%
1.435%
1.563%
1
0.995355
0.989923
0.986151
0.982462
0.977467
0.971212
0.964554
0.957547
0.950255
0.942304
-46,761,573
-54,413,299
-37,169,930
-35,847,591
-49,170,225
-62,181,654
-66,139,530
-69,465,227
-72,563,449
-79,894,592
3.097%
2.656%
2.548%
2.795%
3.318%
3.699%
3.908%
4.117%
4.355%
4.582%
1.0000
1.0045
1.0091
1.0136
1.0182
1.0227
1.0274
1.0320
1.0367
1.0413
3.097%
2.668%
2.571%
2.833%
3.378%
3.783%
4.015%
4.249%
4.515%
4.771%
32,756,391
11,140,927
6,086,975
19,823,820
46,170,054
68,529,636
79,142,111
90,965,684
104,427,920
118,661,520
156,595,833
136,341,242
129,245,981
146,385,008
167,968,187
194,410,388
202,981,553
214,805,126
228,267,362
243,861,835
555,287,331
1,763,283,281
-555,287,331
Net PV =
Pricing a quanto diff swap with varying correlation

0.00
-50.00
-100.00
-150.00
-200.00
-250.00
-300.00
-100%
-80%
-60%
-40%
-20%
0%
20%
40%
60%
80%
100%
Correlation

CH 9 Cross Currency

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Worksheet Title

9.1 USD market data

the USD leg (1)

with zero margin off unadjusted curves - simulation removed

9.1: USD market data

9.2: Yen market data

9.3: Worksheet to estimate Yen-USD forward rates

9.4: Example of pricing a cross-currency basis swap

Current spot rate =

Estimated PV of 1 bp in Yen (Q)

9.5: Deriving DF's from a generic

Swap rates (mid)

: Deriving DF's from a generic swap curve plus a CCBS curve

Forward curves adjusted for the CCBS

Unadjusted Forward curve

1. USD Bond details:

2. USD swap details

4. Yen swap details

Uses unadjusted Yen IRS curve

Uses Yen IRS curve adjusted for CCBS

3. Yen swap details

9.7: Swapping a SA bond into USD Libor

Details of the bond issue:

weeks after issue

2. Calculating the equivalent

3. Late payment of principals

4. Raising only USD 40m

5. USD principal paid upfront

Details of USD leg of swap

Details of USD leg of swap

Details of USD leg of swap

Reduction in sub-Libor margin (bp)

Reduction in sub-Libor margin (bp)

Reduction in sub-Libor margin (bp)

Details of USD leg of swap

6. Bond not issued at par

9.8: Pricing a 5 year Yen-USD diff swap

Current spot rate =

1. Yen pay side

2. USD receive side

Yen & USD Libor curves

9.9: Pricing a 5 year Yen-USD quanto diff swap

Current spot rate =

1. Yen pay side

2. USD-related receive side

9.10: Pricing a USD-Yen LTFX: analysing the USD leg (1)

Note: the forwards may be randomly simulated by pressing F2 and Enter

9.11: Pricing a USD-Yen LTFX: analysing the USD leg (2)

Matrix A for calculating the hedging swaps

9.12: Pricing a USD-Yen LTFX

1. USD Money account transactions

2. Yen Money account transactions

Actual forward off adjusted curve

Theoretical forward off unadjusted curve

Matrix B for calculating the Yen hedging swaps

9.13: Valuation of a CCBS - simulation removed

Current spot rate

Historic data for

See 9.15 Correlation sheet

oric data for

New market data

.15 Correlation sheet

Net Value (USD) =