Capped Swap PowerPoint PPT Presentations

A capped swap is an interest rate swap with an interest rate cap option where the floating rate of the swap is capped at a certain level while a floored swap is an interest rate swap with a floor option where the floating rate of the swap is floored at a certain level. Capped swaps or floored swaps limit the risk of the floating rate payer or receiver to adverse movements in interest rates. A capped swap can be decomposed into a swap and a cap whereas a floored swap can be decomposed into a swap and a floor. This presentation gives an overview of capped/floored swap product and valuation. You find more presentations at http://www.finpricing.com/productList.html

Title: Author: Lin Shih-Jung Last modified by: Toshiba Created Date: 12/11/2006 3:44:54 AM Document presentation format

Title: Author: Lin Shih-Jung Last modified by: Toshiba Created Date: 12/11/2006 3:44:54 AM Document presentation format

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... Rate Options Secondary Market for Swaps Conclusion Q&A History of Swaps The world s monetary leaders suspended the Bretton Woods agreement in 1971 The ...

Motivation for a currency swap ... Legally circumvent taxes on cross-border currency transactions ... (floating-to-fixed conversion) ...

Value and cash flows 'derived' from reference to underlying asset or index ... Issuer downgrade triggers an automatic termination on ...

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Bank of America: 5.594% UBS: 5.590% High-low diff: 9.3 bps. Example 4: Ultra-long cap ... Bank of America. 293 bps. Merrill Lynch. 291 bps. Bank of New York ...

Available on both domestic and international stocks. Advantages over direct ... Spoilage is a concern. Where; F0 = futures price P0 = cash price of the asset ...

Arbitrage-free price for the two products at any time 0. where . Contracts. Numerical ... The approximation formulas of CMS spread options are sufficient accurate by ...

5-year Treasury yield - 90 basis points (negative index yield) ... e.g. price of a commodity or inflation index (in 1997, US government begin issuing such bonds) ...

Understanding the 1992 ISDA Master Agreements Hotel Inter-Continental Sao Paulo Brazil August 6, 2002 Thomas J. Werlen Partner Allen & Overy Rui Fernando Ramos Alves

Bank of America. Emilio Jimenez. Vice President and. Assistant General Counsel. JPMorgan Chase & Co. ... Party B (Paris Branch) Party B (London. Head ...

. (equity swap) . ...

Credit default swaps. Equity-linked swaps. 2. Asset swaps ... Many investors use Asset Swaps to 'arbitrage' the credit markets, as in many ...

Credit default swap spreads. Bond price anomalies ... Credit Default Swap Spreads/Bond Price Anomalies ... Credit Default Swap Spreads. Last Week's Worst ...

Opening the Black Box of Swaps. Hedging Debt Issuance with Swaps. Swaptions ... VRDBs, ARS, or ... VRDBs, ARS, or BMA. Swaps-to-Floating. Total: $155 million ...

Techniques of asset/liability management: Futures, options, and swaps Outline Financial futures Options Interest rate swaps Futures contract: Standardized agreement ...

Com 4FJ3 Fixed Income Analysis Week 11 Options, Swaps, & Credit Derivatives * Interpreting a Swap There are 2 ways of looking at a swap A package of forward contracts ...

Interest Rate Derivatives Interest Rate Derivatives Swaps Forward Rate Agreements (FRAs): A one-period, future swap EuroDollar Futures Bond Options (Black-76) Caps ...

Interest Rate Derivatives Interest Rate Derivatives Swaps Forward Rate Agreements (FRAs): A one-period, future swap EuroDollar Futures Bond Options (Black-76) Caps ...

But what triggers payment or settlement under a credit default swap? ... Credit Protection Payment on Credit Default ... Structure of a Credit Default Swap ...

Credit Default Swap. Most widely used credit derivative (typical term is five years) ... ISDA: Website of International Swaps and Derivatives Association ...

the into-forward annuity observed at time 1(-1)for pay/receive swaps ... Upon default, the settlement is MTM of underlying swap, which may have to ...

... not the option holder Convertibles Bond is convertible at ... basis Hedge the risk Convertible Hedge Requires an asset swap to maintain investment structure ...

Sell a 1-year DEM Cap D. Purchase a 1-year Certificate of Deposit Global Derivatives Markets 1999 IR contracts 60,091 FRAs 6,775 Swaps ... (sometimes novation) ...

Notional principal contracts (swaps, caps and floors) Collars. Structured Transactions. Physical Contracts. Power plant, utility company, trading company, etc. ...

Currency Exchange Rates Have Become More Volatile ... Exchange-listed currency options. 1982. Captions. 1993. Currency swaps. 1981 ... Foreign Exchange Risk: ...

1 Size of the Market. Size of the market can be an indicator ... Interest Rate Swaps and Options. Credit Derivatives. Asset Securitization. Emerging Markets ...

An agreement between 2 parties to exchange periodic payments calculated on the ... A. Pay fixed in an interest rate swap for 1 year ...

Goldman Sachs used credit default swaps (CDS) on assets it did not own to bet against the mortgage market through single name and index CDS transactions, ...

http://pluto.huji.ac.il/~mswiener/zvi.html. 972-2-588-3049. FRM. Zvi Wiener. Following. P. Jorion, ... A. Pay fixed in an interest rate swap for 1 year ...

Ads. In Free. E-zine. The Agora Model. 7/16/09. Creating Succesful E-Zines. 30. E-Zine Swaps ... Post an archive of all back issues. 7/16/09. Creating ...

Role dates one week forward and in next ... Basics of Options ... Basics of Swaps. Succession of forward contracts on interest rates arranged by two parties ...

Business F723 Fixed Income Analysis Week 11 Options and Swaps Option Basics Options are based on buying or selling an asset in the future at a fixed price This ...

1999 Interest Rates and Index Futures Contracts Listing. 2000 Electronic Trading. ... 10 year Interest Rate Swap Futures based on the 28 day TIIE. 91 days Cetes ...

By types of contracts (e.g. spot, forward, options, swaps) ... Structure of contract (e.g. spot vs. forward, upfront vs. payment on delivery) ER Vintage ...

Analyze the value of interest rate swaps and how they effect the duration of a FI's net worth. ... Consider how interest rate options such as bond options, ...

If rates increase by 1% bonds decline in value by 10.87 ... swap is the 3-month LIBOR rate, but the cash market cost is the 6-month CD rate. ...

A Photo. 24 Yecto, 21 zepto, 18 atto, 15 femto, 12 pico, 9 nano, 6 micro, 3 milli. Trends: ... Hot Swap Drives for Archive or Data Interchange. 35 MBps write ...

The holder can exercise parts of the notional at any time during the ... This swap may be visualized as an auto knock-out equity forward with terminal payoff ...

Money Talks, 04/18/02 ... Don't let them lounge around to earn their money ... when CEO's are capped on how much money they are able to make through salary and ...

Credit Derivatives. Credit risk of a swap contract ... Credit Default Swap ... buyer (A) enters a 1-year credit default swap on a notional of $100M worth of ...

A swap agreement between two parties commits each counterparty to exchange an ... Suppose we have two companies: Air Canada (AC) and American Airlines (AA) ...

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... since the appropriate portfolio of forward deals is an exact hedge of the swap. ... used by energy buyers who wish to hedge against price increases and wish to use ...

Single-wide tires. Diesel Exhaust Retrofit. Engine Heat Recovery. ECM Reprogram. Differential Swap ... Automatic tire inflation. Aluminum wheels. Fleet Case ...

Financial Risk Management of Insurance Enterprises Valuing Interest Rate Options and Swaps Interest Rate Options We will take a more detailed look at interest rate ...

What happens to the shopping center if the swap is enacted? ... At a 10% Cap Rate the shopping center's value increased $450,000 ...

Setup. Booking Trades. Reports & Scenarios. Using Calypso in a debugger (e.g. Eclipse) 4 Philip Symes, 2006. 4. IRD Trades Covered ...

Where, as in the ARMA model, is the unconditional mean of yt ... Kurtosis -0.01. 0.42. Skewness. 119.26. 128.52. St Dev. 1704.54. 1700.79. Average. Sim. Histo ...

... a minimum or floor rate. When floating BBSW or BBSY sets between the cap and floor strike they pay ... One factor models only have once source of uncertainty ...

Fixing inflation: dealing with publication lag. Inflation linked bonds ... B) Periodical Swaption ... Forwards are artificially high because of liquidity lag ...

attractive to mobilize long term limited / non recourse financing' ... Is the amount of financing required prevent proper competition between ...

Number of futures contracts depends on interest rate exposure and risk ... If spot and futures prices are not perfectly correlated, then basis risk remains. ...