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["Warning:  This file is best viewed in Excel software rather than in a web browser.  "]
["Bob Jensen's web site is at http://www.trinity.edu/rjensen"]
["Working Paper 287 Case on Foreign Currency Swap Valuation and Accounting"]
["Foreign Currency Hedge of Fixed-Rate Interest-Bearing Foreign Debt at 12% Loan Rate"]
[]
["Statement on derivatives is available as Publication Number 186-B, June 1998, Product Code S133"]
["                   FASB Statement No. 133, Accounting for Derivative  Instruments and Hedging Activities"]
["                   FASB Statement No. 138, an amendment of FASB Statement No. 133, Document No. 210-B"]
["                   Call (800) 748-0659 or go to web site http://www.rutgers.edu/Accounting/raw/fasb/home2.html"]
["                   Copies are subject to academic discounting."]
[null," "]
[]
[]
[]
[]
[]
[]
["Questions","This is Bob Jensen's answer file."]
[]
["Foreign Currency Hedge of Fixed-Rate Interest-Bearing Foreign Debt"]
[]
["XYZ Company's existing DM obligation"]
["On July 1, 20X1, XYZ Company has an obligation to make eight remaining interest payments"]
["in German marks at DM600,000 per quarter on a DM20 million outstanding note payable.  The"]
["fixed-interest rate is 12.00% per annum or 3.00% per quarter.  David Burns, the "]
[" the CFO of XYZ,  worries that the the German mark will grow stronger against the U.S. dollar,"]
["leading to foreign currency losses in both the DM600,000 payments and the $20 million pay off."]
[]
["XYZ enters into a currency swap with ABC Bank"]
["On July 1, 20X1, ABC Bank enters into a two-year pay-fixed German DM 10.25%, receive-fixed "]
["US$ 10.22%.  The swap dealer that negotiates the swap and guarantees payments"]
["takes 5 basis points (0.05%) such that the ABC receives US$ 10.22% of 10.27% owed by XYZ, and "]
["XYZ receives only DM 10.20% from the 10.25% owed by ABC.  Hence, XYZ owes $256,750"]
["on the swap each quarter and receives DM510,000 in return.  The swap is actually"]
["net settled using the spot currency exchange rate at the end of each quarter."]
[]
["One of the purposes of this case is to analyze underhedging versus overhedging of swaps"]
["that are not perfect matches for hedging.  This case is does not have a matched hedge,"]
["because the 8% hedged item note rate is not equal to the 10.2% swap receivable leg of "]
["the hedging swap.  To be a matched hedge, both interest rates would have to be equal."]
[]
["Suppose we define the swap receivable rate as (R+U), where R is the rate of the hedged"]
["item and U is the underhedged or overhedged rate.  For example, when (R+U)=.1020, then"]
["a note rate of R=0.1020 implies that this is a \"matched hedge\" with U=0.  However, if R=0.0800, "]
["there is an overhedging of U=0.022 or 2.20%.  Conversely, if R=0.1200, there the hedged item"]
["the hedged item is underhedged by 0.1020-0.1200 = -0.0180 or -1.80%."]
[]
["When the hedged item is underhedged, some FX risk remains, because not all of the "]
["hedged item is protected from fluctuations in foreign currency rates.  When the hedged"]
["item is overhedged, then there is also foreign exchange risk of receiving too many"]
["German marks relative to the note's interest rate.  Under FAS 133, all changes in the"]
["swap value can be charged to Other Comprehensive Income (OCI) only if there is no"]
["overhedging.  If there is overhedging the proportion of the changes in value of the swap"]
["must be charged to current earnings rather than OCI.  When u>0, that proportion "]
["is U/(R+U)."]
[]
["At the beginning of the swap, notional amounts are exchanged such that ABC receives "]
["DM20 million and pays XYZ $10 million in US dollars.  When the swap is terminated, "]
["ABC receives its $10 million back and returns the DM20 million to the XYZ Company.  XYZ"]
["in turn, uses this DM20 million to pay off its existing debt in German marks on June 30, 2003."]
[]
["In summary, XYZ company declares the swap with ABC Bank as a foreign currency hedge "]
["against its existing obligation.  Since only DM510,000 is received each quarter under the swap, the swap"]
["leaves XYZ DM90,000 short of a matched hedge needed for DM600,000 payments"]
[]
["Assume the following ex post outcomes with respect to XYZ Company's books:"]
[]
[null,"Ex Post","Loan","XZY Net","Swap's","XYZ"]
[null,"Spot DM/$","Payment","Swap","Estimated","Accrued"]
["Quarter","Rate","in DM","Cash Flow","Value","Interest"]
["2001-07-01",{"v":2,"d":"2.0000"}," ",{"v":0,"d":"$0"},{"v":0,"d":"$0"},{"v":0,"d":"$0"}]
["2001-09-30",2.0225,600000,{"v":-4586.835599505575,"d":"($4,587)"},{"v":-3890.9935734162277,"d":"($3,891)"},{"v":0,"d":"$0"}]
["2001-12-31",{"v":2.015,"d":"2.0150"},600000,{"v":-3648.2630272953247,"d":"($3,648)"},{"v":4995.533161208478,"d":"$4,996"},{"v":-99.90125999746165,"d":"($100)"}]
["2002-03-31",1.9875,600000,{"v":-146.22641509436653,"d":"($146)"},{"v":5971.667987070307,"d":"$5,972"},{"v":128.26031391402768,"d":"$128"}]
["2002-06-30",{"v":1.975,"d":"1.9750"},600000,{"v":1477.8481012657867,"d":"$1,478"},{"v":9770.285343373751,"d":"$9,770"},{"v":153.32257556803015,"d":"$153"}]
["2002-09-30",1.9685,600000,{"v":2330.518161036307,"d":"$2,331"},{"v":16781.9307619084,"d":"$16,782"},{"v":250.85207619112106,"d":"$251"}]
["2002-12-31",{"v":1.948,"d":"1.9480"},600000,{"v":5056.981519507157,"d":"$5,057"},{"v":11736.5929898051,"d":"$11,737"},{"v":430.87607231199814,"d":"$431"}]
["2003-03-31",1.9325,600000,{"v":7156.856403622194,"d":"$7,157"},{"v":7646.45508407207,"d":"$7,646"},{"v":301.3370250132459,"d":"$301"}]
["2003-06-30",{"v":1.93,"d":"1.9300"},600000,{"v":7498.704663212411,"d":"$7,499"},{"v":0,"d":"$0"},{"v":0,"d":"$0"}]
[{"$nulls":3}," "]
["Assume that the FX hedge is perfectly effective for whatever portion "]
["of the loan is being hedged."]
[]
[1,"= Question Number"]
[1,"If XYZ Company does not enter into the swap with ABC Bank, what "]
[1,"interest rate risk and foreign currency risks are faced by XYZ?"]
[1]
[1,"There is no interest rate risk, because its DM20 million outstanding loan has a"]
[1,"fixed 12.00% rate of interest.   However, since the interest is payable in German"]
[1,"marks, there is a foreign currency risk in that the amount of dollars needed to"]
[1,"acquire the German marks for each payment may vary with the DM/$ FX rate."]
[1,"Also there is a huge foreign exchange risk on the DM20 million that must be"]
[1,"repaid at maturity of the loan."]
[1]
[1,"Since the DM20 million note is at a fixed rate, there is a fair value risk in that"]
[1,"the value of the note will vary inversely with movements in interest rates.  XYZ"]
[1,"did not hedge fair value with this swap since all legs of the swap are at fixed "]
[1,"interest rates."]
[2]
[2,"= Question Number"]
[2]
[2,"If XYZ Company swaps with ABC Bank, is this a cross-currency hedge for XYZ Company?"]
[2]
[2,"No!  Both legs of the hedge have a fixed rate of interest.  For a cross-currency"]
[2,"hedge, one of the legs must have a variable (floating) rate.  You can read"]
[2,"about cross-currency hedges under \"Foreign Currency Hedges\" in Bob Jensen's"]
[2,"FAS 133 and IAS 39 Glossary at the website shown below:"]
[2,"http://www.trinity.edu/ACCT5341/speakers/133glosf.htm#F-Terms"]
[2," "]
[3]
[3,"= Question Number"]
[3,"ABC Bank is taking on a FX risk by by agreeing to send an uncertain amount of"]
[3,"German marks to XYZ Company each quarter.  Why might ABC Bank want to "]
[3,"enter into such a swap?"]
[3]
[3,"ABC Bank might be hedging an investment that returns quarterly cash flows"]
[3,"in German marks.  The swap, thereby, hedges some or all of the FX risk of"]
[3,"investment."]
[3]
[3,"ABC Bank may have better credit standing in Germany than in the U.S.  As a "]
[3,"result of the swap, ABC Bank may have obtained its best possible "]
[3,"loan in U.S. dollars."]
[3]
[3,"Of course ABC Bank might also be speculating that the German mark is"]
[3,"going to weaken against the dollar.  It is more likely, however, that ABC"]
[3,"Bank has one of the other reasons mentioned above."]
[4]
[4,"= Question Number"]
[4,"If the DM20 million debt has a fixed rate of 12.00%, has XYZ Company underhedged"]
[4,"or overhedged its FX risk with the specified swap with ABC Bank?  How much"]
[4,"was lost or gained by not having a matched hedge (assuming no added speculation)?"]
[4]
[4,"Make a table showing the extent of underhedging or overhedging each quarter"]
[4,"ex post after the incurred DM/$ foreign exchange rates are know for certain."]
[4," "]
[4,"Recall that there are two types of FX risk involved.  The huge FX risk of having"]
[4,"DM20 million marks available at the debt's maturity date is perfectly hedged by"]
[4,"the swap.  The quarterly interest payments of DM600,000 under the 12.00% loan"]
[4,"rate, however, are underhedged since the swap only returns DM510,000 to XYZ."]
[4,"That leaves DM90,000 German marks in the payment that are subject to FX "]
[4,"risk."]
[4]
[4,"The amount of underhedging is DM90,000 = DM600,000-DM510,000.  This translates"]
[4,"into a$19,142 opportunity loss from not having a matched hedge of $34,282."]
[4]
[4]
[4,{"$nulls":6},"Actual","Interest Expense"," "," "]
[4,{"$nulls":6},{"v":0.12,"d":"0.1200"},{"v":0.12,"d":"0.1200"},{"v":0.12,"d":"12.00%"},{"v":0.12,"d":"12.00%"},"Under or"]
[4,null,"Ex Post","Unhedged","Hedged","Note","Swap Hedge","Received","Matched","Overhedged","Underhedged","(Over)"]
[4,null,"Spot DM/$","Interest","Interest","Interest","Rec. Leg",0.1027,"Swap","Due to","Due to","Hedged"]
[4,"Quarter","Rate","in DM","in DM","in DM","Fixed Rate","Swap Rec. Leg","Swap Rec. Leg","Swap in $","Swap in $","Amount"]
[4,"2001-07-01",{"v":2,"d":"2.0000"}," "," "," "," "," "," "," "," "," "]
[4,"2001-09-30",2.0225,90000,510000,{"v":600000,"d":"600,000 "},{"v":0.102,"d":"0.1020"},{"v":252163.16440049442,"d":"$252,163"},{"v":252163.16440049445,"d":"$252,163"},{"v":0,"d":"$0"},{"v":44499.38195302844,"d":"$44,499"},{"v":44499.38195302844,"d":"$44,499"}]
[4,"2001-12-31",{"v":2.015,"d":"2.0150"},90000,510000,{"v":600000,"d":"600,000 "},{"v":0.102,"d":"0.1020"},{"v":253101.73697270468,"d":"$253,102"},{"v":253101.7369727047,"d":"$253,102"},{"v":0,"d":"$0"},{"v":44665.012406947935,"d":"$44,665"},{"v":44665.012406947935,"d":"$44,665"}]
[4,"2002-03-31",1.9875,90000,510000,{"v":600000,"d":"600,000 "},{"v":0.102,"d":"0.1020"},{"v":256603.77358490563,"d":"$256,604"},{"v":256603.77358490566,"d":"$256,604"},{"v":0,"d":"$0"},{"v":45283.01886792455,"d":"$45,283"},{"v":45283.01886792455,"d":"$45,283"}]
[4,"2002-06-30",{"v":1.975,"d":"1.9750"},90000,510000,{"v":600000,"d":"600,000 "},{"v":0.102,"d":"0.1020"},{"v":258227.8481012658,"d":"$258,228"},{"v":258227.84810126582,"d":"$258,228"},{"v":0,"d":"$0"},{"v":45569.620253164554,"d":"$45,570"},{"v":45569.620253164554,"d":"$45,570"}]
[4,"2002-09-30",1.9685,90000,510000,{"v":600000,"d":"600,000 "},{"v":0.102,"d":"0.1020"},{"v":259080.5181610363,"d":"$259,081"},{"v":259080.51816103634,"d":"$259,081"},{"v":0,"d":"$0"},{"v":45720.091440182936,"d":"$45,720"},{"v":45720.091440182936,"d":"$45,720"}]
[4,"2002-12-31",{"v":1.948,"d":"1.9480"},90000,510000,{"v":600000,"d":"600,000 "},{"v":0.102,"d":"0.1020"},{"v":261806.98151950716,"d":"$261,807"},{"v":261806.9815195072,"d":"$261,807"},{"v":0,"d":"$0"},{"v":46201.232032854256,"d":"$46,201"},{"v":46201.232032854256,"d":"$46,201"}]
[4,"2003-03-31",1.9325,90000,510000,{"v":600000,"d":"600,000 "},{"v":0.102,"d":"0.1020"},{"v":263906.8564036222,"d":"$263,907"},{"v":263906.85640362225,"d":"$263,907"},{"v":0,"d":"$0"},{"v":46571.798188874556,"d":"$46,572"},{"v":46571.798188874556,"d":"$46,572"}]
[4,"2003-06-30",{"v":1.93,"d":"1.9300"},90000,510000,{"v":600000,"d":"600,000 "},{"v":0.102,"d":"0.1020"},{"v":264248.7046632124,"d":"$264,249"},{"v":264248.70466321247,"d":"$264,249"},{"v":0,"d":"$0"},{"v":46632.12435233162,"d":"$46,632"},{"v":46632.12435233162,"d":"$46,632"}]
[4,null,null," ",null," "," ",{"v":2069139.5838067485,"d":"$2,069,140"},{"v":2069139.583806749,"d":"$2,069,140"},{"v":0,"d":"$0"},{"v":365142.2794953088,"d":"$365,142"},{"v":365142.2794953088,"d":"$365,142"}]
[4,{"$nulls":6}," ",null," ",null," "]
[4,null,null,"Case Hedge","Hypothetical","Overhedging",{"v":0.12,"d":"0.1200"},null,{"v":0.12,"d":"12.00%"},"Interest Expense"]
[4,null,null,{"v":0.12,"d":"12.00%"},"Matched Hedge","of","Proportion","Change in","Swap Value",{"v":0.12,"d":"12.00%"},{"v":0,"d":"0.00%"},{"v":0.102,"d":"10.20%"},{"v":0.12,"d":"12.00%"},"Under or"]
[4,null,"Ex Post","With a","With a",{"v":0.102,"d":"10.20%"},"Overhedged","Swap's","(Overhedged)","With a","Without","Amount","Amount","(Over)"]
[4,null,"Spot DM/$",{"v":0.102,"d":"10.20%"},{"v":0.12,"d":"12.00%"},"Versus","Due to","Estimated","Due to",{"v":0.102,"d":"10.20%"},"The","Saved by","Saved by","Hedged"]
[4,"Quarter","Rate","Swap Rec. Leg","Swap Rec. Leg",{"v":0.12,"d":"0.1200"},"Swap in %","Value","Swap in $","Swap Rec. Leg","Swap","Swap","Matched Swap","Amount"]
[4,"2001-07-01",{"v":2,"d":"2.0000"}," "," "," "," ",{"v":0,"d":"$0"}," "," "," "," "," "]
[4,"2001-09-30",2.0225,{"v":0.102,"d":"10.20%"},{"v":0.12,"d":"12.00%"},{"v":0,"d":"0.00%"},{"v":0,"d":"0.0000"},{"v":-3890.9935734162277,"d":"($3,891)"},{"v":0,"d":"$0"},{"v":296662.54635352286,"d":"$296,663"},{"v":296662.54635352286,"d":"$296,663"},{"v":-4586.835599505575,"d":"($4,587)"},{"v":39912.54635352286,"d":"$39,913"},{"v":44499.38195302844,"d":"$44,499"}]
[4,"2001-12-31",{"v":2.015,"d":"2.0150"},{"v":0.102,"d":"10.20%"},{"v":0.12,"d":"12.00%"},{"v":0,"d":"0.00%"},{"v":0,"d":"0.0000"},{"v":8886.526734624706,"d":"$8,887"},{"v":0,"d":"$0"},{"v":297766.7493796526,"d":"$297,767"},{"v":297766.7493796526,"d":"$297,767"},{"v":-3648.2630272953247,"d":"($3,648)"},{"v":41016.74937965261,"d":"$41,017"},{"v":44665.012406947935,"d":"$44,665"}]
[4,"2002-03-31",1.9875,{"v":0.102,"d":"10.20%"},{"v":0.12,"d":"12.00%"},{"v":0,"d":"0.00%"},{"v":0,"d":"0.0000"},{"v":976.1348258618291,"d":"$976"},{"v":0,"d":"$0"},{"v":301886.7924528302,"d":"$301,887"},{"v":301886.7924528302,"d":"$301,887"},{"v":-146.22641509436653,"d":"($146)"},{"v":45136.79245283018,"d":"$45,137"},{"v":45283.01886792455,"d":"$45,283"}]
[4,"2002-06-30",{"v":1.975,"d":"1.9750"},{"v":0.102,"d":"10.20%"},{"v":0.12,"d":"12.00%"},{"v":0,"d":"0.00%"},{"v":0,"d":"0.0000"},{"v":3798.6173563034436,"d":"$3,799"},{"v":0,"d":"$0"},{"v":303797.46835443034,"d":"$303,797"},{"v":303797.46835443034,"d":"$303,797"},{"v":1477.8481012657867,"d":"$1,478"},{"v":47047.46835443034,"d":"$47,047"},{"v":45569.620253164554,"d":"$45,570"}]
[4,"2002-09-30",1.9685,{"v":0.102,"d":"10.20%"},{"v":0.12,"d":"12.00%"},{"v":0,"d":"0.00%"},{"v":0,"d":"0.0000"},{"v":4020.410275173408,"d":"$4,020"},{"v":0,"d":"$0"},{"v":304800.60960121924,"d":"$304,801"},{"v":304800.60960121924,"d":"$304,801"},{"v":2330.518161036307,"d":"$2,331"},{"v":48050.60960121924,"d":"$48,051"},{"v":45720.091440182936,"d":"$45,720"}]
[4,"2002-12-31",{"v":1.948,"d":"1.9480"},{"v":0.102,"d":"10.20%"},{"v":0.12,"d":"12.00%"},{"v":0,"d":"0.00%"},{"v":0,"d":"0.0000"},{"v":-2054.102628742059,"d":"($2,054)"},{"v":0,"d":"$0"},{"v":308008.2135523614,"d":"$308,008"},{"v":308008.2135523614,"d":"$308,008"},{"v":5056.981519507157,"d":"$5,057"},{"v":51258.21355236141,"d":"$51,258"},{"v":46201.232032854256,"d":"$46,201"}]
[4,"2003-03-31",1.9325,{"v":0.102,"d":"10.20%"},{"v":0.12,"d":"12.00%"},{"v":0,"d":"0.00%"},{"v":0,"d":"0.0000"},{"v":-4090.1379057330296,"d":"($4,090)"},{"v":0,"d":"$0"},{"v":310478.65459249675,"d":"$310,479"},{"v":310478.65459249675,"d":"$310,479"},{"v":7156.856403622194,"d":"$7,157"},{"v":53728.65459249675,"d":"$53,729"},{"v":46571.798188874556,"d":"$46,572"}]
[4,"2003-06-30",{"v":1.93,"d":"1.9300"},{"v":0.102,"d":"10.20%"},{"v":0.12,"d":"12.00%"},{"v":0,"d":"0.00%"},{"v":0,"d":"0.0000"},{"v":-7646.45508407207,"d":"($7,646)"},{"v":0,"d":"$0"},{"v":310880.82901554403,"d":"$310,881"},{"v":310880.82901554403,"d":"$310,881"},{"v":7498.704663212411,"d":"$7,499"},{"v":54130.82901554403,"d":"$54,131"},{"v":46632.12435233162,"d":"$46,632"}]
[4,{"$nulls":7},"Interest on note =",{"v":2434281.863302057,"d":"$2,434,282"},{"v":2434281.863302057,"d":"$2,434,282"},{"v":15139.58380674859,"d":"$15,140"},{"v":380281.86330205743,"d":"$380,282"},{"v":365142.2794953088,"d":"$365,142"}]
[4," ",{"$nulls":6},"Swap loss (gain) =",{"v":-15139.58380674859,"d":"($15,140)"},{"v":-380281.8633020574,"d":"($380,282)"},{"v":365142.2794953088,"d":"$365,142"}," "]
[4,{"$nulls":7},"Change in RE =",{"v":2419142.2794953086,"d":"$2,419,142"},{"v":2054000,"d":"$2,054,000"},{"v":380281.8633020574,"d":"$380,282"}]
[4,{"$nulls":7},"Deviation of  the actual hedge from matched hedge =",{"v":-365142.2794953088,"d":"($365,142)"}]
[4,{"$nulls":7},"Matched hedge outcome =",{"v":2054000,"d":"$2,054,000"},null,"if the hedged note rate =",{"v":0.102,"d":"10.20%"},"instead of",{"v":0.12,"d":"12.00%"}]
[4,{"$nulls":5},"(Note that just because the hedge is not matched, does not make it ineffective under FAS 133 definitions of ineffectiveness.)"]
[4]
[4]
[4,"Thus, in hind sight the German mark strengthened against the dollar, and "]
[4,"the hedge saved XYZ Company $15,140.  A matched swap would have"]
[4,"generated another $19,142 to fully hedge all DM600,000 per quarter."]
[4]
[4,"Of course, if the German mark had weakened, XYZ Company would have"]
[4,"lost on the swap.  "]
[5]
[5,"= Question Number"]
[5,"Since this is not a matched hedge of each DM600,000 interest payment, what"]
[5,"paragraphs in FAS 133 allow for the hedged portion to receive cash flow "]
[5,"accounting treatment and use OCI for changes in fair value of the swap?"]
[5,"Is FAS 133 Paragraph 461 a problem in this respect?"]
[5]
[5,"Paragraph 18(d)(3) is the key paragraph that dictates use of OCI in this case.  "]
[5,"However, FAS 133 is silent with respect to hedging a portion of a single item"]
[5,"(as opposed to a portfolio of items) can be hedged in part rather than in whole."]
[5,"Paragraph 461 does not appear to be a problem in this case since every part"]
[5,"of the DM20 million debt shares the same rate and maturity.  Paragraph 461"]
[5,"is more concerned with a bundling of instruments having different maturity"]
[5,"dates or or other terms that impact upon risk and return."]
[5]
[5,"If would seem that the wording of Paragraph 462 extends by analogy to the"]
[5,"case at hand in which the swap and the original note have the same maturity"]
[5,"dates and all proportions of the DM20 million loan have the same terms."]
[6]
[6,"= Question Number"]
[6,"Record the DM 20 million loan as if it commenced on July 1, 20X1, and then"]
[6,"record all interest payments, swap payments, interest accruals, and the adjustment"]
[6,"of the swap to fair value each quarter.  For the interest accruals, simply multiply"]
[6,"the swap balance (value) at the end of the previous period by 2.55% = 10.2%/4."]
[6," "]
[6,"Hint:  If the loan interest payments are underhedged, assume all the change in "]
[6,"the swap's value can be charged to Other Comprehensive Income (OCI).  However, "]
[6,"if there is an overhedge, the overhedged proportion of changed swap value must "]
[6,"be charged to current earnings (Interest Expense and Revenue) rather than OCI."]
[6,"Be able to reason why this is the case."]
[6]
[7]
[7,"= Question Number"]
[7,"Is this swap eligible for the short-cut method that eliminates the need for quarterly"]
[7,"hedge effectiveness testing?"]
[7]
[7,"No!.  The short-cut method can only be applied to some interest rate swaps.  See "]
[7,"Paragraph 114 in FAS 133 and Paragraph 22 in FAS 138.  "]
[7]
[" "]
[" "]
[" "]
[" "]
[" "]

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["2003-03-31",{"v":310880.82901554403,"d":"310,881 "},{"v":7498.704663212411,"d":"7,499 "},{"v":303382.1243523316,"d":"303,382 "},{"$nulls":10},"2003-06-30",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255000000000003,"d":"2.550%"},1.9725,{"v":258555.1330798479,"d":"$258,555"},{"v":256750,"d":"$256,750"},{"v":258555.13307985096,"d":"$258,555"},{"v":260360.26615969886,"d":"$260,360"},{"v":1805.133079847903,"d":"$1,805"},{"v":1552.0125783464207,"d":"$1,552"},{"$nulls":6},{"v":6,"d":"6.00"},{"v":1.1630917848431148,"d":"1.1631"}]
["Total =",{"v":2434281.863302057,"d":"$2,434,282"},{"v":15139.58380674859,"d":"$15,140"},{"v":2419142.2794953086,"d":"$2,419,142"}," ",{"$nulls":9},"Totals",{"$nulls":8},{"v":2306.2423072250385,"d":"$2,306"},{"v":4995.533161208478,"d":"$4,996"},null,{"v":0.001164894722190242,"d":"0.001165"},null,"= Dec 31 Swap Value"]
[{"$nulls":3}," ",{"$nulls":23},"2002-03-31"]
[{"$nulls":15},"2002-03-31",null,"Quarterly","FX","Swap",null,"Hedged",null,"Estimated","2002-03-31"]
[{"$nulls":15},"Yield","Quarterly","forward","Forward","Receive","Pay","Cash ",null,"Swap","Swap"]
["Question:  Why does the hedged note rate of interest vary when the original note rate ",{"$nulls":13},"Maturity","Curve","yields","rates","Rate","Variable","Fixed","Flow","Net Effect","cash flow","Value",{"$nulls":6},"t","FVIF"]
["                   of interest is 12.00% on a principal of DM 20 million?",{"$nulls":13},"2001-07-01"]
[{"$nulls":14},"2001-09-30",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},{"v":2,"d":"2.0000"},{"v":254999.99999999997,"d":"$255,000"},{"v":256750,"d":"$256,750"},{"v":254999.99999999997,"d":"$255,000"},{"v":253249.99999999994,"d":"$253,250"},{"v":-1750.000000000029,"d":"$(1,750)"},0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
["Answer:",{"$nulls":13},"2001-12-31",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},1.9985,{"v":255191.39354515885,"d":"$255,191"},{"v":256750,"d":"$256,750"},{"v":255191.39354515885,"d":"$255,191"},{"v":253632.7870903177,"d":"$253,633"},{"v":-1558.6064548411523,"d":"$(1,559)"},0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
["The hedged interest expense is not constant each quarter, because not all of the 12.00% ",{"$nulls":13},"2002-03-31",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},1.9875,{"v":256603.77358490563,"d":"$256,604"},{"v":256750,"d":"$256,750"},{"v":256603.77358490563,"d":"$256,604"},{"v":256457.54716981127,"d":"$256,458"},{"v":-146.22641509436653,"d":"$(146)"},0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
["interest is hedged.  Only 10.20% is hedged.  In other words, the 12.00% rate gives rise ",{"$nulls":13},"2002-06-30",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},1.9825,{"v":257250.94577553592,"d":"$257,251"},{"v":256750,"d":"$256,750"},{"v":257250.94577553592,"d":"$257,251"},{"v":257751.89155107184,"d":"$257,752"},{"v":500.9457755359181,"d":"$501"},{"v":488.48929842605367,"d":"$488"},{"$nulls":6},{"v":1,"d":"1.00"},1.0255]
["to a DM600,000 quarterly payments on the note.  However, only 10.20% is received",{"$nulls":13},"2002-09-30",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.025500000000000078,"d":"2.550%"},1.9815,{"v":257380.7721423164,"d":"$257,381"},{"v":256750,"d":"$256,750"},{"v":257380.7721423172,"d":"$257,381"},{"v":258011.5442846336,"d":"$258,012"},{"v":630.7721423163894,"d":"$631"},{"v":599.7926994420334,"d":"$600"},{"$nulls":6},{"v":2,"d":"2.00"},{"v":1.0516502500000002,"d":"1.0517"}]
["under the swap giving rise to an inflow of DM510,000 to XYZ each quarter.  This leaves ",{"$nulls":13},"2002-12-31",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.025500000000000078,"d":"2.550%"},{"v":1.975,"d":"1.9750"},{"v":258227.8481012658,"d":"$258,228"},{"v":256750,"d":"$256,750"},{"v":258227.8481012666,"d":"$258,228"},{"v":259705.6962025324,"d":"$259,706"},{"v":1477.8481012657867,"d":"$1,478"},{"v":1370.3225478156976,"d":"$1,370"},{"$nulls":6},{"v":3,"d":"3.00"},{"v":1.0784673313750004,"d":"1.0785"}]
["DM90,000 of the note interest unhedged.",{"$nulls":13},"2003-03-31",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.025500000000000078,"d":"2.550%"},1.9725,{"v":258555.1330798479,"d":"$258,555"},{"v":256750,"d":"$256,750"},{"v":258555.13307984872,"d":"$258,555"},{"v":260360.26615969662,"d":"$260,360"},{"v":1805.133079847903,"d":"$1,805"},{"v":1632.174416021158,"d":"$1,632"},{"$nulls":6},{"v":4,"d":"4.00"},{"v":1.105968248325063,"d":"1.1060"}]
[{"$nulls":14},"2003-06-30",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.025500000000000078,"d":"2.550%"},{"v":1.97,"d":"1.9700"},{"v":258883.24873096443,"d":"$258,883"},{"v":256750,"d":"$256,750"},{"v":258883.24873096528,"d":"$258,883"},{"v":261016.4974619297,"d":"$261,016"},{"v":2133.248730964435,"d":"$2,133"},{"v":1880.8890253653644,"d":"$1,881"},{"$nulls":6},{"v":5,"d":"5.00"},{"v":1.1341704386573521,"d":"1.1342"}]
["There are two ways to hedge all of the note interest.  Either the note interest rate",{"$nulls":13},"Totals",{"$nulls":8},{"v":3093.114959994884,"d":"$3,093"},{"v":5971.667987070307,"d":"$5,972"},null,{"v":0.0011739002304177054,"d":"0.001174"},null,"= Mar 31 Swap Value"]
["should have been equal to the swap interest rate of 10.20% or the swap rate of interest ",{"$nulls":13}," "]
["should have been equal to the 12.00% note rate of interest.",{"$nulls":14},"2002-06-30",null,"Quarterly","FX","Swap",null,"Hedged",null,"Estimated","2002-06-30"]
[{"$nulls":15},"Yield","Quarterly","forward","Forward","Receive","Pay","Cash ",null,"Swap","Swap"]
["In this solution, you are allowed to examine the sensitivity of the hedge by changing the original",{"$nulls":13},"Maturity","Curve","yields","rates","Rate","Variable","Fixed","Flow","Net Effect","cash flow","Value",{"$nulls":6},"t","FVIF"]
["note rate of interest in Cell G68.",{"$nulls":13},"2001-07-01"]
[{"$nulls":14},"2001-09-30",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},{"v":2,"d":"2.0000"},{"v":254999.99999999997,"d":"$255,000"},{"v":256750,"d":"$256,750"},{"v":254999.99999999997,"d":"$255,000"},{"v":253249.99999999994,"d":"$253,250"},{"v":-1750.000000000029,"d":"$(1,750)"},0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
[{"$nulls":14},"2001-12-31",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},1.9985,{"v":255191.39354515885,"d":"$255,191"},{"v":256750,"d":"$256,750"},{"v":255191.39354515885,"d":"$255,191"},{"v":253632.7870903177,"d":"$253,633"},{"v":-1558.6064548411523,"d":"$(1,559)"},0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
["Sensitivity Analysis:  You can change the value in blue Cell G68 from the original 8.00%:",{"$nulls":5},"Actual","Interest Expense"," "," ",{"$nulls":4},"2002-03-31",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},1.9875,{"v":256603.77358490563,"d":"$256,604"},{"v":256750,"d":"$256,750"},{"v":256603.77358490563,"d":"$256,604"},{"v":256457.54716981127,"d":"$256,458"},{"v":-146.22641509436653,"d":"$(146)"},0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
[{"$nulls":5},"                           You can change XYZ's original unhedged note rate to R in Cell G68 = ",{"v":0.12,"d":"0.1200"},{"v":0.12,"d":"0.1200"},{"v":0.12,"d":"12.00%"},{"v":0.12,"d":"12.00%"},"Under or",{"$nulls":3},"2002-06-30",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},1.9825,{"v":257250.94577553592,"d":"$257,251"},{"v":256750,"d":"$256,750"},{"v":257250.94577553592,"d":"$257,251"},{"v":257751.89155107184,"d":"$257,752"},{"v":500.9457755359181,"d":"$501"},0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
[null,"Ex Post","Unhedged","Hedged","Note","Swap Hedge","Received","Matched","Overhedged","Underhedged","(Over)",{"$nulls":3},"2002-09-30",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},{"v":1.975,"d":"1.9750"},{"v":258227.8481012658,"d":"$258,228"},{"v":256750,"d":"$256,750"},{"v":258227.8481012658,"d":"$258,228"},{"v":259705.69620253157,"d":"$259,706"},{"v":1477.8481012657867,"d":"$1,478"},{"v":1441.1000499910156,"d":"$1,441"},{"$nulls":6},{"v":1,"d":"1.00"},1.0255]
[null,"Spot DM/$","Interest","Interest","Interest","Rec. Leg",0.1027,"Swap","Due to","Due to","Hedged",{"$nulls":3},"2002-12-31",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.025500000000000078,"d":"2.550%"},1.9725,{"v":258555.1330798479,"d":"$258,555"},{"v":256750,"d":"$256,750"},{"v":258555.13307984872,"d":"$258,555"},{"v":260360.26615969662,"d":"$260,360"},{"v":1805.133079847903,"d":"$1,805"},{"v":1716.4766326522554,"d":"$1,716"},{"$nulls":6},{"v":2,"d":"2.00"},{"v":1.0516502500000002,"d":"1.0517"}]
["Quarter","Rate","in DM","in DM","in DM","Fixed Rate","Swap Rec. Leg","Swap Rec. Leg","Swap in $","Swap in $","Amount",{"$nulls":3},"2003-03-31",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.025500000000000078,"d":"2.550%"},1.9675,{"v":259212.19822109272,"d":"$259,212"},{"v":256750,"d":"$256,750"},{"v":259212.19822109354,"d":"$259,212"},{"v":261674.39644218626,"d":"$261,674"},{"v":2462.1982210927235,"d":"$2,462"},{"v":2283.05313426001,"d":"$2,283"},{"$nulls":6},{"v":3,"d":"3.00"},{"v":1.0784673313750004,"d":"1.0785"}]
["2001-07-01",{"v":2,"d":"2.0000"}," "," "," "," "," "," "," "," "," ",{"$nulls":3},"2003-06-30",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.025500000000000078,"d":"2.550%"},{"v":1.95,"d":"1.9500"},{"v":261538.4615384615,"d":"$261,538"},{"v":256750,"d":"$256,750"},{"v":261538.46153846235,"d":"$261,538"},{"v":266326.9230769238,"d":"$266,327"},{"v":4788.4615384614735,"d":"$4,788"},{"v":4329.655526470469,"d":"$4,330"},{"$nulls":6},{"v":4,"d":"4.00"},{"v":1.105968248325063,"d":"1.1060"}]
["2001-09-30",2.0225,{"v":90000.00000000001,"d":"90000"},510000,{"v":600000,"d":"600,000 "},{"v":0.102,"d":"0.1020"},{"v":252163.16440049442,"d":"$252,163"},{"v":252163.16440049445,"d":"$252,163"},{"v":0,"d":"$0"},{"v":44499.38195302844,"d":"$44,499"},{"v":44499.38195302844,"d":"$44,499"},{"$nulls":3},"Totals",{"$nulls":8},{"v":7579.753846268257,"d":"$7,580"},{"v":9770.285343373751,"d":"$9,770"},null,{"v":0.001174049094051904,"d":"0.001174"},null,{"$error":"#REF!"},"Swap Value"]
["2001-12-31",{"v":2.015,"d":"2.0150"},{"v":90000.00000000001,"d":"90000"},510000,{"v":600000,"d":"600,000 "},{"v":0.102,"d":"0.1020"},{"v":253101.73697270468,"d":"$253,102"},{"v":253101.7369727047,"d":"$253,102"},{"v":0,"d":"$0"},{"v":44665.012406947935,"d":"$44,665"},{"v":44665.012406947935,"d":"$44,665"},{"$nulls":16},"2002-09-30"]
["2002-03-31",1.9875,{"v":90000.00000000001,"d":"90000"},510000,{"v":600000,"d":"600,000 "},{"v":0.102,"d":"0.1020"},{"v":256603.77358490563,"d":"$256,604"},{"v":256603.77358490566,"d":"$256,604"},{"v":0,"d":"$0"},{"v":45283.01886792455,"d":"$45,283"},{"v":45283.01886792455,"d":"$45,283"},{"$nulls":4},"2002-09-30",null,"Quarterly","FX","Swap",null,"Hedged",null,"Estimated","2002-09-30"]
["2002-06-30",{"v":1.975,"d":"1.9750"},{"v":90000.00000000001,"d":"90000"},510000,{"v":600000,"d":"600,000 "},{"v":0.102,"d":"0.1020"},{"v":258227.8481012658,"d":"$258,228"},{"v":258227.84810126582,"d":"$258,228"},{"v":0,"d":"$0"},{"v":45569.620253164554,"d":"$45,570"},{"v":45569.620253164554,"d":"$45,570"},{"$nulls":4},"Yield","Quarterly","forward","Forward","Receive","Pay","Cash ",null,"Swap","Swap"]
["2002-09-30",1.9685,{"v":90000.00000000001,"d":"90000"},510000,{"v":600000,"d":"600,000 "},{"v":0.102,"d":"0.1020"},{"v":259080.5181610363,"d":"$259,081"},{"v":259080.51816103634,"d":"$259,081"},{"v":0,"d":"$0"},{"v":45720.091440182936,"d":"$45,720"},{"v":45720.091440182936,"d":"$45,720"},{"$nulls":3},"Maturity","Curve","yields","rates","Rate","Variable","Fixed","Flow","Net Effect","cash flow","Value",{"$nulls":6},"t","FVIF"]
["2002-12-31",{"v":1.948,"d":"1.9480"},{"v":90000.00000000001,"d":"90000"},510000,{"v":600000,"d":"600,000 "},{"v":0.102,"d":"0.1020"},{"v":261806.98151950716,"d":"$261,807"},{"v":261806.9815195072,"d":"$261,807"},{"v":0,"d":"$0"},{"v":46201.232032854256,"d":"$46,201"},{"v":46201.232032854256,"d":"$46,201"},{"$nulls":3},"2001-07-01"]
["2003-03-31",1.9325,{"v":90000.00000000001,"d":"90000"},510000,{"v":600000,"d":"600,000 "},{"v":0.102,"d":"0.1020"},{"v":263906.8564036222,"d":"$263,907"},{"v":263906.85640362225,"d":"$263,907"},{"v":0,"d":"$0"},{"v":46571.798188874556,"d":"$46,572"},{"v":46571.798188874556,"d":"$46,572"},{"$nulls":3},"2001-09-30",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},{"v":2,"d":"2.0000"},{"v":254999.99999999997,"d":"$255,000"},{"v":256750,"d":"$256,750"},{"v":254999.99999999997,"d":"$255,000"},{"v":253249.99999999994,"d":"$253,250"},{"v":-1750.000000000029,"d":"$(1,750)"},0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
["2003-06-30",{"v":1.93,"d":"1.9300"},{"v":90000.00000000001,"d":"90000"},510000,{"v":600000,"d":"600,000 "},{"v":0.102,"d":"0.1020"},{"v":264248.7046632124,"d":"$264,249"},{"v":264248.70466321247,"d":"$264,249"},{"v":0,"d":"$0"},{"v":46632.12435233162,"d":"$46,632"},{"v":46632.12435233162,"d":"$46,632"},{"$nulls":3},"2001-12-31",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},1.9985,{"v":255191.39354515885,"d":"$255,191"},{"v":256750,"d":"$256,750"},{"v":255191.39354515885,"d":"$255,191"},{"v":253632.7870903177,"d":"$253,633"},{"v":-1558.6064548411523,"d":"$(1,559)"},0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
[null,null," ",null," "," ",{"v":2069139.5838067485,"d":"$2,069,140"},{"v":2069139.583806749,"d":"$2,069,140"},{"v":0,"d":"$0"},{"v":365142.2794953088,"d":"$365,142"},{"v":365142.2794953088,"d":"$365,142"},{"$nulls":3},"2002-03-31",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},1.9875,{"v":256603.77358490563,"d":"$256,604"},{"v":256750,"d":"$256,750"},{"v":256603.77358490563,"d":"$256,604"},{"v":256457.54716981127,"d":"$256,458"},{"v":-146.22641509436653,"d":"$(146)"},0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
[{"$nulls":6}," ",null," ",null," ",{"$nulls":3},"2002-06-30",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},1.9825,{"v":257250.94577553592,"d":"$257,251"},{"v":256750,"d":"$256,750"},{"v":257250.94577553592,"d":"$257,251"},{"v":257751.89155107184,"d":"$257,752"},{"v":500.9457755359181,"d":"$501"},0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
[null,null,"Case Hedge","Hypothetical","Overhedging",{"v":0.12,"d":"0.1200"},null,{"v":0.12,"d":"12.00%"},"Interest Expense",{"$nulls":5},"2002-09-30",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},{"v":1.975,"d":"1.9750"},{"v":258227.8481012658,"d":"$258,228"},{"v":256750,"d":"$256,750"},{"v":258227.8481012658,"d":"$258,228"},{"v":259705.69620253157,"d":"$259,706"},{"v":1477.8481012657867,"d":"$1,478"},0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
[null,null,{"v":0.12,"d":"12.00%"},"Matched Hedge","of","Proportion","Change in","Swap Value",{"v":0.12,"d":"12.00%"},{"v":0,"d":"0.00%"},{"v":0.102,"d":"10.20%"},{"v":0.12,"d":"12.00%"},"Under or",null,"2002-12-31",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},1.9685,{"v":259080.5181610363,"d":"$259,081"},{"v":256750,"d":"$256,750"},{"v":259080.5181610363,"d":"$259,081"},{"v":261411.0363220726,"d":"$261,411"},{"v":2330.518161036307,"d":"$2,331"},{"v":2272.5676850670957,"d":"$2,273"},{"$nulls":6},{"v":1,"d":"1.00"},1.0255]
[null,"Ex Post","With a","With a",{"v":0.102,"d":"10.20%"},"Overhedged","Swap's","(Overhedged)","With a","Without","Amount","Amount","(Over)",null,"2003-03-31",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.025500000000000078,"d":"2.550%"},1.9425,{"v":262548.26254826254,"d":"$262,548"},{"v":256750,"d":"$256,750"},{"v":262548.26254826336,"d":"$262,548"},{"v":268346.5250965259,"d":"$268,347"},{"v":5798.262548262544,"d":"$5,798"},{"v":5513.489440298753,"d":"$5,513"},{"$nulls":6},{"v":2,"d":"2.00"},{"v":1.0516502500000002,"d":"1.0517"}]
[null,"Spot DM/$",{"v":0.102,"d":"10.20%"},{"v":0.12,"d":"12.00%"},"Versus","Due to","Estimated","Due to",{"v":0.102,"d":"10.20%"},"The","Saved by","Saved by","Hedged",null,"2003-06-30",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.025500000000000078,"d":"2.550%"},1.9375,{"v":263225.80645161285,"d":"$263,226"},{"v":256750,"d":"$256,750"},{"v":263225.8064516137,"d":"$263,226"},{"v":269701.6129032266,"d":"$269,702"},{"v":6475.806451612851,"d":"$6,476"},{"v":6004.63849318131,"d":"$6,005"},{"$nulls":6},{"v":3,"d":"3.00"},{"v":1.0784673313750004,"d":"1.0785"}]
["Quarter","Rate","Swap Rec. Leg","Swap Rec. Leg",{"v":0.12,"d":"0.1200"},"Swap in %","Value","Swap in $","Swap Rec. Leg","Swap","Swap","Matched Swap","Amount",null,"Totals",{"$nulls":8},{"v":13128.548167777859,"d":"$13,129"},{"v":13790.695618547159,"d":"$13,791"},null,{"v":0.0012535028970168379,"d":"0.001254"},null,"2002-09-30","Swap Value"]
["2001-07-01",{"v":2,"d":"2.0000"}," "," "," "," ",{"v":0,"d":"$0"}," "," "," "," "," ",{"$nulls":15},"2002-12-31"]
["2001-09-30",2.0225,{"v":0.102,"d":"10.20%"},{"v":0.12,"d":"12.00%"},{"v":0,"d":"0.00%"},{"v":0,"d":"0.0000"},{"v":-3890.9935734162277,"d":"($3,891)"},{"v":0,"d":"$0"},{"v":296662.54635352286,"d":"$296,663"},{"v":296662.54635352286,"d":"$296,663"},{"v":-4586.835599505575,"d":"($4,587)"},{"v":39912.54635352286,"d":"$39,913"},{"v":44499.38195302844,"d":"$44,499"},null,null,"2002-12-31",null,"Quarterly","FX","Swap",null,"Hedged",null,"Estimated","2002-12-31"]
["2001-12-31",{"v":2.015,"d":"2.0150"},{"v":0.102,"d":"10.20%"},{"v":0.12,"d":"12.00%"},{"v":0,"d":"0.00%"},{"v":0,"d":"0.0000"},{"v":8886.526734624706,"d":"$8,887"},{"v":0,"d":"$0"},{"v":297766.7493796526,"d":"$297,767"},{"v":297766.7493796526,"d":"$297,767"},{"v":-3648.2630272953247,"d":"($3,648)"},{"v":41016.74937965261,"d":"$41,017"},{"v":44665.012406947935,"d":"$44,665"},null,null,"Yield","Quarterly","forward","Forward","Receive","Pay","Cash ",null,"Swap","Swap"]
["2002-03-31",1.9875,{"v":0.102,"d":"10.20%"},{"v":0.12,"d":"12.00%"},{"v":0,"d":"0.00%"},{"v":0,"d":"0.0000"},{"v":976.1348258618291,"d":"$976"},{"v":0,"d":"$0"},{"v":301886.7924528302,"d":"$301,887"},{"v":301886.7924528302,"d":"$301,887"},{"v":-146.22641509436653,"d":"($146)"},{"v":45136.79245283018,"d":"$45,137"},{"v":45283.01886792455,"d":"$45,283"},null,"Maturity","Curve","yields","rates","Rate","Variable","Fixed","Flow","Net Effect","cash flow","Value",{"$nulls":6},"t","FVIF"]
["2002-06-30",{"v":1.975,"d":"1.9750"},{"v":0.102,"d":"10.20%"},{"v":0.12,"d":"12.00%"},{"v":0,"d":"0.00%"},{"v":0,"d":"0.0000"},{"v":3798.6173563034436,"d":"$3,799"},{"v":0,"d":"$0"},{"v":303797.46835443034,"d":"$303,797"},{"v":303797.46835443034,"d":"$303,797"},{"v":1477.8481012657867,"d":"$1,478"},{"v":47047.46835443034,"d":"$47,047"},{"v":45569.620253164554,"d":"$45,570"},null,"2001-07-01"]
["2002-09-30",1.9685,{"v":0.102,"d":"10.20%"},{"v":0.12,"d":"12.00%"},{"v":0,"d":"0.00%"},{"v":0,"d":"0.0000"},{"v":4020.410275173408,"d":"$4,020"},{"v":0,"d":"$0"},{"v":304800.60960121924,"d":"$304,801"},{"v":304800.60960121924,"d":"$304,801"},{"v":2330.518161036307,"d":"$2,331"},{"v":48050.60960121924,"d":"$48,051"},{"v":45720.091440182936,"d":"$45,720"},null,"2001-09-30",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},{"v":2,"d":"2.0000"},{"v":254999.99999999997,"d":"$255,000"},{"v":256750,"d":"$256,750"},{"v":254999.99999999997,"d":"$255,000"},{"v":253249.99999999994,"d":"$253,250"},{"v":-1750.000000000029,"d":"$(1,750)"},0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
["2002-12-31",{"v":1.948,"d":"1.9480"},{"v":0.102,"d":"10.20%"},{"v":0.12,"d":"12.00%"},{"v":0,"d":"0.00%"},{"v":0,"d":"0.0000"},{"v":-2054.102628742059,"d":"($2,054)"},{"v":0,"d":"$0"},{"v":308008.2135523614,"d":"$308,008"},{"v":308008.2135523614,"d":"$308,008"},{"v":5056.981519507157,"d":"$5,057"},{"v":51258.21355236141,"d":"$51,258"},{"v":46201.232032854256,"d":"$46,201"},null,"2001-12-31",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},1.9985,{"v":255191.39354515885,"d":"$255,191"},{"v":256750,"d":"$256,750"},{"v":255191.39354515885,"d":"$255,191"},{"v":253632.7870903177,"d":"$253,633"},{"v":-1558.6064548411523,"d":"$(1,559)"},0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
["2003-03-31",1.9325,{"v":0.102,"d":"10.20%"},{"v":0.12,"d":"12.00%"},{"v":0,"d":"0.00%"},{"v":0,"d":"0.0000"},{"v":-4090.1379057330296,"d":"($4,090)"},{"v":0,"d":"$0"},{"v":310478.65459249675,"d":"$310,479"},{"v":310478.65459249675,"d":"$310,479"},{"v":7156.856403622194,"d":"$7,157"},{"v":53728.65459249675,"d":"$53,729"},{"v":46571.798188874556,"d":"$46,572"},null,"2002-03-31",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},1.9875,{"v":256603.77358490563,"d":"$256,604"},{"v":256750,"d":"$256,750"},{"v":256603.77358490563,"d":"$256,604"},{"v":256457.54716981127,"d":"$256,458"},{"v":-146.22641509436653,"d":"$(146)"},0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
["2003-06-30",{"v":1.93,"d":"1.9300"},{"v":0.102,"d":"10.20%"},{"v":0.12,"d":"12.00%"},{"v":0,"d":"0.00%"},{"v":0,"d":"0.0000"},{"v":-7646.45508407207,"d":"($7,646)"},{"v":0,"d":"$0"},{"v":310880.82901554403,"d":"$310,881"},{"v":310880.82901554403,"d":"$310,881"},{"v":7498.704663212411,"d":"$7,499"},{"v":54130.82901554403,"d":"$54,131"},{"v":46632.12435233162,"d":"$46,632"},null,"2002-06-30",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},1.9825,{"v":257250.94577553592,"d":"$257,251"},{"v":256750,"d":"$256,750"},{"v":257250.94577553592,"d":"$257,251"},{"v":257751.89155107184,"d":"$257,752"},{"v":500.9457755359181,"d":"$501"},0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
[{"$nulls":7},"Interest on note =",{"v":2434281.863302057,"d":"$2,434,282"},{"v":2434281.863302057,"d":"$2,434,282"},{"v":15139.58380674859,"d":"$15,140"},{"v":380281.86330205743,"d":"$380,282"},{"v":365142.2794953088,"d":"$365,142"},null,"2002-09-30",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},{"v":1.975,"d":"1.9750"},{"v":258227.8481012658,"d":"$258,228"},{"v":256750,"d":"$256,750"},{"v":258227.8481012658,"d":"$258,228"},{"v":259705.69620253157,"d":"$259,706"},{"v":1477.8481012657867,"d":"$1,478"},0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
[" ",{"$nulls":6},"Swap loss (gain) =",{"v":-15139.58380674859,"d":"($15,140)"},{"v":-380281.8633020574,"d":"($380,282)"},{"v":365142.2794953088,"d":"$365,142"}," ",null,null,"2002-12-31",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},1.9685,{"v":259080.5181610363,"d":"$259,081"},{"v":256750,"d":"$256,750"},{"v":259080.5181610363,"d":"$259,081"},{"v":261411.0363220726,"d":"$261,411"},{"v":2330.518161036307,"d":"$2,331"},0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
[{"$nulls":7},"Change in RE =",{"v":2419142.2794953086,"d":"$2,419,142"},{"v":2053999.9999999998,"d":"$2,054,000"},{"v":380281.8633020574,"d":"$380,282"},{"$nulls":3},"2003-03-31",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},{"v":1.948,"d":"1.9480"},{"v":261806.98151950716,"d":"$261,807"},{"v":256750,"d":"$256,750"},{"v":261806.98151950716,"d":"$261,807"},{"v":266863.9630390143,"d":"$266,864"},{"v":5056.981519507157,"d":"$5,057"},{"v":4931.235026335598,"d":"$4,931"},{"$nulls":6},{"v":1,"d":"1.00"},1.0255]
[{"$nulls":7},"Deviation of  the actual hedge from matched hedge =",{"v":-365142.2794953088,"d":"($365,142)"},{"$nulls":5},"2003-06-30",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.025500000000000078,"d":"2.550%"},1.9325,{"v":263906.8564036222,"d":"$263,907"},{"v":256750,"d":"$256,750"},{"v":263906.85640362307,"d":"$263,907"},{"v":271063.71280724526,"d":"$271,064"},{"v":7156.856403622194,"d":"$7,157"},{"v":6805.357963469502,"d":"$6,805"},{"$nulls":6},{"v":2,"d":"2.00"},{"v":1.0516502500000002,"d":"1.0517"}]
[{"$nulls":7},"Matched hedge outcome =",{"v":2053999.9999999998,"d":"$2,054,000"},null,"if the hedged note rate =",{"v":0.102,"d":"10.20%"},"instead of",{"v":0.12,"d":"12.00%"},"Totals",{"$nulls":8},{"v":13068.317091031815,"d":"$13,068"},{"v":11736.5929898051,"d":"$11,737"},null,{"v":0.0012973811326536413,"d":"0.001297"},null,"2002-12-31","Swap Value"]
[{"$nulls":5},"(Note that just because the hedge is not matched, does not make it ineffective under FAS 133 definitions of ineffectiveness.)",{"$nulls":8}," "]
["The value of the swap each quarter is not affected directly by interest rate movements unless the",{"$nulls":14},"2003-03-31",null,"Quarterly","FX","Swap",null,"Hedged",null,"Estimated","2003-03-31"]
["swap has a variable interest rate leg to the swap.  In the Working Paper 287 case. Both XYZ Company",{"$nulls":14},"Yield","Quarterly","forward","Forward","Receive","Pay","Cash ",null,"Swap","Swap"]
["and ABC Bank have fixed interest rates.  Hence, interest rate movements do not impact upon the",{"$nulls":13},"Maturity","Curve","yields","rates","Rate","Variable","Fixed","Flow","Net Effect","cash flow","Value",{"$nulls":7},"t","FVIF"]
["swap value in the Working Paper 287 case.",{"$nulls":13},"2001-07-01"]
[" ",{"$nulls":13},"2001-09-30",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},{"v":2,"d":"2.0000"},{"v":254999.99999999997,"d":"$255,000"},{"v":256750,"d":"$256,750"},{"v":254999.99999999997,"d":"$255,000"},{"v":253249.99999999994,"d":"$253,250"},{"v":-1750.000000000029,"d":"$(1,750)"},0,{"$nulls":7},0,{"v":1,"d":"1.0000"}]
["The value of the swap each quarter is affected by the ex ante forward rates of exchange between",{"$nulls":13},"2001-12-31",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},1.9985,{"v":255191.39354515885,"d":"$255,191"},{"v":256750,"d":"$256,750"},{"v":255191.39354515885,"d":"$255,191"},{"v":253632.7870903177,"d":"$253,633"},{"v":-1558.6064548411523,"d":"$(1,559)"},0,{"$nulls":7},0,{"v":1,"d":"1.0000"}]
["German marks and U.S. dollars.  XYZ's swap receipts are affected by the ex post spot rates.",{"$nulls":13},"2002-03-31",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},1.9875,{"v":256603.77358490563,"d":"$256,604"},{"v":256750,"d":"$256,750"},{"v":256603.77358490563,"d":"$256,604"},{"v":256457.54716981127,"d":"$256,458"},{"v":-146.22641509436653,"d":"$(146)"},0,{"$nulls":7},0,{"v":1,"d":"1.0000"}]
["In the table below, students can study the impact of changing exchange rates on the hedge.",{"$nulls":13},"2002-06-30",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},1.9825,{"v":257250.94577553592,"d":"$257,251"},{"v":256750,"d":"$256,750"},{"v":257250.94577553592,"d":"$257,251"},{"v":257751.89155107184,"d":"$257,752"},{"v":500.9457755359181,"d":"$501"},0,{"$nulls":7},0,{"v":1,"d":"1.0000"}]
[{"$nulls":14},"2002-09-30",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},{"v":1.975,"d":"1.9750"},{"v":258227.8481012658,"d":"$258,228"},{"v":256750,"d":"$256,750"},{"v":258227.8481012658,"d":"$258,228"},{"v":259705.69620253157,"d":"$259,706"},{"v":1477.8481012657867,"d":"$1,478"},0,{"$nulls":7},0,{"v":1,"d":"1.0000"}]
["Students may change any value in blue shown below.",{"$nulls":13},"2002-12-31",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},1.9685,{"v":259080.5181610363,"d":"$259,081"},{"v":256750,"d":"$256,750"},{"v":259080.5181610363,"d":"$259,081"},{"v":261411.0363220726,"d":"$261,411"},{"v":2330.518161036307,"d":"$2,331"},0,{"$nulls":7},0,{"v":1,"d":"1.0000"}]
[{"$nulls":14},"2003-03-31",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},{"v":1.948,"d":"1.9480"},{"v":261806.98151950716,"d":"$261,807"},{"v":256750,"d":"$256,750"},{"v":261806.98151950716,"d":"$261,807"},{"v":266863.9630390143,"d":"$266,864"},{"v":5056.981519507157,"d":"$5,057"},0,{"$nulls":7},0,{"v":1,"d":"1.0000"}]
[null,"DM/$","DM/$","DM/$","DM/$","DM/$","DM/$","DM/$","DM/$",{"$nulls":5},"2003-06-30",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},1.9275,{"v":264591.4396887159,"d":"$264,591"},{"v":256750,"d":"$256,750"},{"v":264591.4396887159,"d":"$264,591"},{"v":272432.8793774318,"d":"$272,433"},{"v":7841.439688715909,"d":"$7,841"},{"v":7646.45508407207,"d":"$7,646"},{"$nulls":7},{"v":1,"d":"1.00"},1.0255]
[null,"Ex Post","Ex Ante","Ex Ante","Ex Ante","Ex Ante","Ex Ante","Ex Ante","Ex Ante",{"$nulls":5},"Totals",{"$nulls":8},{"v":13752.90037612553,"d":"$13,753"},{"v":7646.45508407207,"d":"$7,646"},{"$nulls":3},{"$error":"#REF!"},"Swap Value"]
[null,"FX","FX","FX","FX","FX","FX","FX","FX",{"$nulls":5}," "]
["Date","Rates","Rates","Rates","Rates","Rates","Rates","Rates","Rates"]
["2001-07-01",{"v":2,"d":"2.0000"},"2001-09-30"]
["2001-09-30",2.0225,{"v":2,"d":"2.0000"},"2001-12-31"]
["2001-12-31",{"v":2.015,"d":"2.0150"},1.9945,1.9985,"2002-03-31"]
["2002-03-31",1.9875,1.9937,1.9975,1.9875,"2002-06-30"]
["2002-06-30",{"v":1.975,"d":"1.9750"},{"v":1.983,"d":"1.9830"},{"v":1.995,"d":"1.9950"},1.9825,1.9825,"2002-09-30"]
["2002-09-30",1.9685,1.9825,{"v":1.99,"d":"1.9900"},{"v":1.98,"d":"1.9800"},1.9815,{"v":1.975,"d":"1.9750"},"2002-12-31"]
["2002-12-31",{"v":1.948,"d":"1.9480"},{"v":1.98,"d":"1.9800"},1.9875,1.9775,{"v":1.975,"d":"1.9750"},1.9725,1.9685,"2003-03-31"]
["2003-03-31",1.9325,1.9795,{"v":1.985,"d":"1.9850"},{"v":1.975,"d":"1.9750"},1.9725,1.9675,1.9425,{"v":1.948,"d":"1.9480"},"2003-06-30"]
["2003-06-30",{"v":1.93,"d":"1.9300"},{"v":1.97429,"d":"1.9743"},1.9825,1.9725,{"v":1.97,"d":"1.9700"},{"v":1.95,"d":"1.9500"},1.9375,1.9325,1.9275]
[" ",{"$nulls":5},2]
[]
[]
[]
[]
[]
["The journal entries corresponding to the above outcomes are shown below."]
[]
[]
[{"$nulls":5},"Debit"]
[" ",{"$nulls":4},"(Credit)","Balance"]
["2001-07-01","Cash",{"$nulls":3},{"v":10000000,"d":"10,000,000 "},{"v":10000000,"d":"10,000,000 "}]
[null,"Notes  payable",{"$nulls":3},{"v":-10000000,"d":"(10,000,000)"},{"v":-10000000,"d":"(10,000,000)"}]
[null,"-To record the 12% Note payable in German marks"]
[]
["2001-07-01","Cash",{"$nulls":3},{"v":10000000,"d":"10,000,000 "},{"v":20000000,"d":"20,000,000 "}]
[null,"Cash",{"$nulls":3},{"v":-10000000,"d":"(10,000,000)"},{"v":10000000,"d":"10,000,000 "}]
[null,"-To record the swap of notional amounts ",{"$nulls":3}," "]
[]
[null,"Foreign currency swaps receivable/payable",{"$nulls":3},{"v":0,"d":"0 "},{"v":0,"d":"0 "}]
["2001-07-01","OCI adjusted for changes in the swap valuation",{"$nulls":3},{"v":0,"d":"0 "},{"v":0,"d":"0 "}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":0,"d":"0 "},{"v":0,"d":"0 "}]
[null,"-To record change in swap's fairvalue"]
[]
[]
[{"$nulls":5},"Debit"]
[{"$nulls":5},"(Credit)","Balance"]
["2001-09-30","Interest expense/revenue",{"$nulls":3},{"v":296662.54635352286,"d":"296,663 "},{"v":296662.54635352286,"d":"296,663 "},"2001-09-30"]
[null,"Cash",{"$nulls":3},{"v":-296662.54635352286,"d":"(296,663)"},{"v":9703337.453646477,"d":"9,703,337 "}]
[null,"-To record payment on German mark note"]
[]
["2001-09-30","Interest expense/revenue",{"$nulls":3},{"v":4586.835599505575,"d":"4,587 "},{"v":301249.38195302844,"d":"301,249 "},"2001-09-30"]
[null,"Cash",{"$nulls":3},{"v":-4586.835599505575,"d":"(4,587)"},{"v":9698750.618046971,"d":"9,698,751 "}]
[null,"-To record swap receipt (payment)"]
[{"$nulls":3}," "]
["2001-09-30","Foreign currency swaps receivable/payable",{"$nulls":3},{"v":-3890.9935734162277,"d":"(3,891)"},{"v":-3890.9935734162277,"d":"(3,891)"},"2001-09-30"]
[null,"Accrued interest on swap",{"$nulls":3},{"v":0,"d":"0 "},{"v":0,"d":"0 "}]
[null,"OCI adjusted for changes in the swap valuation",{"$nulls":3},{"v":3890.9935734162277,"d":"3,891 "},{"v":3890.9935734162277,"d":"3,891 "}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":0,"d":"0 "},{"v":0,"d":"0 "}]
[null,"-To record change in swap's fairvalue"]
[]
["2001-09-30","Retained earnings",{"$nulls":3},{"v":301249.38195302844,"d":"301,249 "},{"v":301249.38195302844,"d":"301,249 "},"2001-09-30"]
[null,"Interest expense/revenue",{"$nulls":3},{"v":-301249.38195302844,"d":"(301,249)"},{"v":0,"d":"0 "}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":0,"d":"0 "},{"v":0,"d":"0 "}]
[null,"-To close expense and revenue accounts"]
[]
[]
[{"$nulls":5},"Debit"]
[{"$nulls":5},"(Credit)","Balance"]
["2001-12-31","Interest expense/revenue",{"$nulls":3},{"v":297766.7493796526,"d":"297,767 "},{"v":297766.7493796526,"d":"297,767 "},"2001-12-31"]
[null,"Cash",{"$nulls":3},{"v":-297766.7493796526,"d":"(297,767)"},{"v":9400983.868667318,"d":"9,400,984 "}]
[null,"-To record payment on German mark note"]
[]
["2001-12-31","Interest expense/revenue",{"$nulls":3},{"v":3648.2630272953247,"d":"3,648 "},{"v":301415.0124069479,"d":"301,415 "},"2001-12-31"]
[null,"Cash",{"$nulls":3},{"v":-3648.2630272953247,"d":"(3,648)"},{"v":9397335.605640022,"d":"9,397,336 "}]
[null,"-To record swap receipt (payment)"]
[{"$nulls":3}," "]
["2001-12-31","Foreign currency swaps receivable/payable",{"$nulls":3},{"v":8886.526734624706,"d":"8,887 "},{"v":4995.533161208478,"d":"4,996 "},"2001-12-31"]
[null,"Accrued interest on swap",{"$nulls":3},{"v":-99.90125999746165,"d":"(100)"},{"v":-99.90125999746165,"d":"(100)"}]
[null,"OCI adjusted for changes in the swap valuation",{"$nulls":3},{"v":-8786.625474627244,"d":"(8,787)"},{"v":-4895.631901211017,"d":"(4,896)"}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":0,"d":"0 "},{"v":0,"d":"0 "}]
[null,"-To record change in swap's fairvalue",{"$nulls":3}," "," "]
[]
["2001-12-31","Retained earnings",{"$nulls":3},{"v":301415.0124069479,"d":"301,415 "},{"v":602664.3943599763,"d":"602,664 "},"2001-12-31"]
[null,"Interest expense/revenue",{"$nulls":3},{"v":-301415.0124069479,"d":"(301,415)"},{"v":0,"d":"0 "}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":0,"d":"0 "},{"v":0,"d":"0 "}]
[null,"-To close expense and revenue accounts"]
[]
[]
[{"$nulls":5},"Debit"]
[{"$nulls":5},"(Credit)","Balance"]
["2002-03-31","Interest expense/revenue",{"$nulls":3},{"v":301886.7924528302,"d":"301,887 "},{"v":301886.7924528302,"d":"301,887 "},"2002-03-31"]
[null,"Cash",{"$nulls":3},{"v":-301886.7924528302,"d":"(301,887)"},{"v":9095448.813187191,"d":"9,095,449 "}]
[null,"-To record payment on German mark note"]
[]
["2002-03-31","Interest expense/revenue",{"$nulls":3},{"v":146.22641509436653,"d":"146 "},{"v":302033.0188679246,"d":"302,033 "},"2002-03-31"]
[null,"Cash",{"$nulls":3},{"v":-146.22641509436653,"d":"(146)"},{"v":9095302.586772097,"d":"9,095,303 "}]
[null,"-To record swap receipt (payment)"]
[{"$nulls":3}," "]
["2002-03-31","Foreign currency swaps receivable/payable",{"$nulls":3},{"v":976.1348258618291,"d":"976 "},{"v":5971.667987070307,"d":"5,972 "},"2002-03-31"]
[null,"Accrued interest on swap",{"$nulls":3},{"v":228.1615739114893,"d":"228 "},{"v":128.26031391402768,"d":"128 "}]
[null,"OCI adjusted for changes in the swap valuation",{"$nulls":3},{"v":-1204.2963997733184,"d":"(1,204)"},{"v":-6099.928300984335,"d":"(6,100)"}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":0,"d":"0 "},{"v":0,"d":"0 "}]
[null,"-To record change in swap's fairvalue",{"$nulls":4}," "]
[]
["2002-03-31","Retained earnings",{"$nulls":3},{"v":302033.0188679246,"d":"302,033 "},{"v":904697.4132279009,"d":"904,697 "},"2002-03-31"]
[null,"Interest expense/revenue",{"$nulls":3},{"v":-302033.0188679246,"d":"(302,033)"},{"v":0,"d":"0 "}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":0,"d":"0 "},{"v":0,"d":"0 "}]
[null,"-To close interest expense/revenue"]
[]
[]
[{"$nulls":5},"Debit"]
[{"$nulls":5},"(Credit)","Balance"]
["2002-06-30","Interest expense/revenue",{"$nulls":3},{"v":303797.46835443034,"d":"303,797 "},{"v":303797.46835443034,"d":"303,797 "},"2002-06-30"]
[null,"Cash",{"$nulls":3},{"v":-303797.46835443034,"d":"(303,797)"},{"v":8791505.118417667,"d":"8,791,505 "}]
[null,"-To record payment on German mark note"]
[]
["2002-06-30","Interest expense/revenue",{"$nulls":3},{"v":-1477.8481012657867,"d":"(1,478)"},{"v":302319.62025316455,"d":"302,320 "},"2002-06-30"]
[null,"Cash",{"$nulls":3},{"v":1477.8481012657867,"d":"1,478 "},{"v":8792982.966518933,"d":"8,792,983 "}]
[null,"-To record swap receipt (payment)"]
[{"$nulls":3}," "]
["2002-06-30","Foreign currency swaps receivable/payable",{"$nulls":3},{"v":3798.6173563034436,"d":"3,799 "},{"v":9770.285343373751,"d":"9,770 "},"2002-06-30"]
[null,"Accrued interest on swap",{"$nulls":3},{"v":25.06226165400247,"d":"25 "},{"v":153.32257556803015,"d":"153 "}]
[null,"OCI adjusted for changes in the swap valuation",{"$nulls":3},{"v":-3823.679617957446,"d":"(3,824)"},{"v":-9923.607918941781,"d":"(9,924)"}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":0,"d":"0 "},{"v":0,"d":"0 "}]
[null,"-To record change in swap's fairvalue",{"$nulls":4}," "]
[]
["2002-06-30","Retained earnings",{"$nulls":3},{"v":302319.62025316455,"d":"302,320 "},{"v":1207017.0334810654,"d":"1,207,017 "},"2002-06-30"]
[null,"Interest expense/revenue",{"$nulls":3},{"v":-302319.62025316455,"d":"(302,320)"},{"v":0,"d":"0 "}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":0,"d":"0 "},{"v":0,"d":"0 "}]
[null,"-To close interest expense/revenue"]
[]
[]
[{"$nulls":5},"Debit"]
[{"$nulls":5},"(Credit)","Balance"]
["2002-09-30","Interest expense/revenue",{"$nulls":3},{"v":304800.60960121924,"d":"304,801 "},{"v":304800.60960121924,"d":"304,801 "},"2002-09-30"]
[null,"Cash",{"$nulls":3},{"v":-304800.60960121924,"d":"(304,801)"},{"v":8488182.356917713,"d":"8,488,182 "}]
[null,"-To record payment on German mark note"]
[]
["2002-09-30","Interest expense/revenue",{"$nulls":3},{"v":-2330.518161036307,"d":"(2,331)"},{"v":302470.09144018294,"d":"302,470 "},"2002-09-30"]
[null,"Cash",{"$nulls":3},{"v":2330.518161036307,"d":"2,331 "},{"v":8490512.875078749,"d":"8,490,513 "}]
[null,"-To record swap receipt (payment)"]
[{"$nulls":3}," "]
["2002-09-30","Foreign currency swaps receivable/payable",{"$nulls":3},{"v":4020.410275173408,"d":"4,020 "},{"v":13790.695618547159,"d":"13,791 "},"2002-09-30"]
[null,"Accrued interest on swap",{"$nulls":3},{"v":97.52950062309091,"d":"98 "},{"v":250.85207619112106,"d":"251 "}]
[null,"OCI adjusted for changes in the swap valuation",{"$nulls":3},{"v":-4117.939775796499,"d":"(4,118)"},{"v":-14041.54769473828,"d":"(14,042)"}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":0,"d":"0 "},{"v":0,"d":"0 "}]
[null,"-To record change in swap's fairvalue",{"$nulls":4}," "]
[]
["2002-09-30","Retained earnings",{"$nulls":3},{"v":302470.09144018294,"d":"302,470 "},{"v":1509487.1249212483,"d":"1,509,487 "},"2002-09-30"]
[null,"Interest expense/revenue",{"$nulls":3},{"v":-302470.09144018294,"d":"(302,470)"},{"v":0,"d":"0 "}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":0,"d":"0 "},{"v":0,"d":"0 "}]
[null,"-To close interest expense/revenue"]
[]
[]
[{"$nulls":5},"Debit"]
[{"$nulls":5},"(Credit)","Balance"]
["2002-12-31","Interest expense/revenue",{"$nulls":3},{"v":308008.2135523614,"d":"308,008 "},{"v":308008.2135523614,"d":"308,008 "},"2002-12-31"]
[null,"Cash",{"$nulls":3},{"v":-308008.2135523614,"d":"(308,008)"},{"v":8182504.661526388,"d":"8,182,505 "}]
[null,"-To record payment on German mark note"]
[]
["2002-12-31","Interest expense/revenue",{"$nulls":3},{"v":-5056.981519507157,"d":"(5,057)"},{"v":302951.2320328542,"d":"302,951 "},"2002-12-31"]
[null,"Cash",{"$nulls":3},{"v":5056.981519507157,"d":"5,057 "},{"v":8187561.643045895,"d":"8,187,562 "}]
[null,"-To record swap receipt (payment)"]
[{"$nulls":3}," "]
["2002-12-31","Foreign currency swaps receivable/payable",{"$nulls":3},{"v":-2054.102628742059,"d":"(2,054)"},{"v":11736.5929898051,"d":"11,737 "},"2002-12-31"]
[null,"Accrued interest on swap",{"$nulls":3},{"v":103.22403381507723,"d":"103 "},{"v":354.0761100061983,"d":"354 "}]
[null,"OCI adjusted for changes in the swap valuation",{"$nulls":3},{"v":1950.8785949269818,"d":"1,951 "},{"v":-12090.669099811299,"d":"(12,091)"}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":0,"d":"0 "},{"v":0,"d":"0 "}]
[null,"-To record change in swap's fairvalue",{"$nulls":4}," "]
["2002-12-31",{"$nulls":6},"2002-12-31"]
[null,"Retained earnings",{"$nulls":3},{"v":302951.2320328542,"d":"302,951 "},{"v":1812438.3569541024,"d":"1,812,438 "}]
[null,"Interest expense/revenue",{"$nulls":3},{"v":-302951.2320328542,"d":"(302,951)"},{"v":0,"d":"0 "}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":0,"d":"0 "},{"v":0,"d":"0 "}]
[null,"-To close interest expense/revenue"]
[]
[]
[{"$nulls":5},"Debit"]
[{"$nulls":5},"(Credit)","Balance"]
["2003-03-31","Interest expense/revenue",{"$nulls":3},{"v":310478.65459249675,"d":"310,479 "},{"v":310478.65459249675,"d":"310,479 "},"2003-03-31"]
[null,"Cash",{"$nulls":3},{"v":-310478.65459249675,"d":"(310,479)"},{"v":7877082.988453398,"d":"7,877,083 "}]
[null,"-To record payment on German mark note"]
[]
["2003-03-31","Interest expense/revenue",{"$nulls":3},{"v":-7156.856403622194,"d":"(7,157)"},{"v":303321.79818887456,"d":"303,322 "},"2003-03-31"]
[null,"Cash",{"$nulls":3},{"v":7156.856403622194,"d":"7,157 "},{"v":7884239.84485702,"d":"7,884,240 "}]
[null,"-To record swap receipt (payment)"]
[{"$nulls":3}," "]
["2003-03-31","Foreign currency swaps receivable/payable",{"$nulls":3},{"v":-4090.1379057330296,"d":"(4,090)"},{"v":7646.45508407207,"d":"7,646 "},"2003-03-31"]
[null,"Accrued interest on swap",{"$nulls":3},{"v":-52.73908499295237,"d":"(53)"},{"v":301.3370250132459,"d":"301 "}]
[null,"OCI adjusted for changes in the swap valuation",{"$nulls":3},{"v":4142.876990725982,"d":"4,143 "},{"v":-7947.792109085316,"d":"(7,948)"}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":0,"d":"0 "},{"v":0,"d":"0 "}]
[null,"-To record change in swap's fairvalue",{"$nulls":4}," "]
[]
["2003-03-31","Retained earnings",{"$nulls":3},{"v":303321.79818887456,"d":"303,322 "},{"v":2115760.155142977,"d":"2,115,760 "},"2003-03-31"]
[null,"Interest expense/revenue",{"$nulls":3},{"v":-303321.79818887456,"d":"(303,322)"},{"v":0,"d":"0 "}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":0,"d":"0 "},{"v":0,"d":"0 "}]
[null,"-To close interest expense/revenue"]
[]
[]
[{"$nulls":5},"Debit"]
[{"$nulls":5},"(Credit)","Balance"]
["2003-06-30","Interest expense/revenue",{"$nulls":3},{"v":310880.82901554403,"d":"310,881 "},{"v":310880.82901554403,"d":"310,881 "},"2003-06-30"]
[null,"Cash",{"$nulls":3},{"v":-310880.82901554403,"d":"(310,881)"},{"v":7573359.015841477,"d":"7,573,359 "}]
[null,"-To record payment on German mark note"]
[]
["2003-06-30","Interest expense/revenue",{"$nulls":3},{"v":-7498.704663212411,"d":"(7,499)"},{"v":303382.1243523316,"d":"303,382 "},"2003-06-30"]
[null,"Cash",{"$nulls":3},{"v":7498.704663212411,"d":"7,499 "},{"v":7580857.720504689,"d":"7,580,858 "}]
[null,"-To record swap receipt (payment)"]
[{"$nulls":3}," "]
["2003-06-30","Foreign currency swaps receivable/payable",{"$nulls":3},{"v":-7646.45508407207,"d":"(7,646)"},{"v":0,"d":"0 "},"2003-06-30"]
[null,"Accrued interest on swap",{"$nulls":3},{"v":-301.3370250132459,"d":"(301)"},{"v":0,"d":"0 "}]
[null,"OCI adjusted for changes in the swap valuation",{"$nulls":3},{"v":7947.792109085316,"d":"7,948 "},{"v":0,"d":"0 "}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":0,"d":"0 "},{"v":0,"d":"0 "}]
[null,"-To record change in swap's fairvalue"]
[]
["2003-06-30","Retained earnings",{"$nulls":3},{"v":303382.1243523316,"d":"303,382 "},{"v":2419142.2794953086,"d":"2,419,142 "},"2003-06-30"]
[null,"Interest expense/revenue",{"$nulls":3},{"v":-303382.1243523316,"d":"(303,382)"},{"v":0,"d":"0 "}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":0,"d":"0 "},{"v":0,"d":"0 "}]
[null,"-To close interest expense/revenue"]
[]
["2003-06-30","Cash",{"$nulls":3},{"v":-10000000,"d":"(10,000,000)"},{"v":-2419142.279495311,"d":"(2,419,142)"},"2003-06-30"]
[null,"Cash",{"$nulls":3},{"v":10000000,"d":"10,000,000 "},{"v":7580857.720504689,"d":"7,580,858 "}]
[null,"-To record exchange of swap notionals"]
[]
[null,"Cash",{"$nulls":3},{"v":-10000000,"d":"(10,000,000)"},{"v":-12419142.27949531,"d":"(12,419,142)"}]
[null,"Notes payable",{"$nulls":3},{"v":10000000,"d":"10,000,000 "},{"v":0,"d":"0 "}]
[null,"-To record payoff of original German mark note"]
[]
[]
[]
[]
["Summary of Unhedged Versus Hedged Note Interest"]
[null,"Unhedged","Foreign","Change in"," "]
[null,"Note","Currency","Retained"," "]
[null,"Interest","Swap","Earnings"]
["2001-07-01",{"v":296662.54635352286,"d":"296,663 "},{"v":-4586.835599505575,"d":"(4,587)"},{"v":301249.38195302844,"d":"301,249 "}]
["2001-09-30",{"v":297766.7493796526,"d":"297,767 "},{"v":-3648.2630272953247,"d":"(3,648)"},{"v":301415.0124069479,"d":"301,415 "}]
["2001-12-31",{"v":301886.7924528302,"d":"301,887 "},{"v":-146.22641509436653,"d":"(146)"},{"v":302033.0188679246,"d":"302,033 "}]
["2002-03-31",{"v":303797.46835443034,"d":"303,797 "},{"v":1477.8481012657867,"d":"1,478 "},{"v":302319.62025316455,"d":"302,320 "}]
["2002-06-30",{"v":304800.60960121924,"d":"304,801 "},{"v":2330.518161036307,"d":"2,331 "},{"v":302470.09144018294,"d":"302,470 "}]
["2002-09-30",{"v":308008.2135523614,"d":"308,008 "},{"v":5056.981519507157,"d":"5,057 "},{"v":302951.2320328542,"d":"302,951 "}]
["2002-12-31",{"v":310478.65459249675,"d":"310,479 "},{"v":7156.856403622194,"d":"7,157 "},{"v":303321.79818887456,"d":"303,322 "}]
["2003-03-31",{"v":310880.82901554403,"d":"310,881 "},{"v":7498.704663212411,"d":"7,499 "},{"v":303382.1243523316,"d":"303,382 "}]
["Total =",{"v":2434281.863302057,"d":"$2,434,282"},{"v":15139.58380674859,"d":"$15,140"},{"v":2419142.2794953086,"d":"$2,419,142"}," "]
[null,null," ",null," "]
[]
[{"$nulls":3}," "]

{"sheet":"Summary","index":2,"n_rows":54,"n_cols":6,"rows_kept":54,"flags":["formulas_cached_only"]}
["This is a summary sheet of the key journal entries and calculations."]
[]
[]
[null,null,"Swap","OCI","Earnings","Cash"]
["Ex Post",null,"Debit (Credit)","Debit (Credit)","Debit (Credit)","Debit (Credit)"]
[{"v":0.102,"d":"10.20%"},"7/1/X1",0]
[]
[null,"Interest accrued",0]
[null,"Payment (Receipt)",{"v":-27250,"d":"(27,250)"},null,null,{"v":27250,"d":"27,250"}]
[null,"Effect of change in rates",{"v":52100,"d":"52,100"},{"v":-52100,"d":"(52,100)"}]
[null,"Reclassification to earnings",0,{"v":27250,"d":"27,250"},{"v":-27250,"d":"(27,250)"},0]
[{"v":0.102,"d":"10.20%"},"9/30/X1",{"v":24850,"d":"24,850"},{"v":-24850,"d":"(24,850)"},{"v":-27250,"d":"(27,250)"},{"v":27250,"d":"27,250"}]
[]
[null,"Interest accrued",{"v":633.675,"d":"$634"},{"v":-633.675,"d":"(634)"}]
[null,"Payment (Receipt)",{"v":-25500,"d":"(25,500)"},null,null,{"v":25500,"d":"25,500"}]
[null,"Effect of change in rates",{"v":73816.325,"d":"73,816"},{"v":-73816.325,"d":"(73,816)"}]
[null,"Reclassification to earnings",0,{"v":25500,"d":"25,500"},{"v":-25500,"d":"(25,500)"},0]
[{"v":0.102,"d":"10.20%"},"12/31/X1",{"v":73800,"d":"73,800"},{"v":-73800,"d":"(73,800)"},{"v":-25500,"d":"(25,500)"},{"v":25500,"d":"25,500"}]
[]
[null,"Interest accrued",{"v":1881.8999999999999,"d":"$1,882"},{"v":-1881.8999999999999,"d":"(1,882)"}]
[null,"Payment (Receipt)",{"v":-27250,"d":"(27,250)"},null,null,{"v":27250,"d":"27,250"}]
[null,"Effect of change in rates",{"v":37478.1,"d":"37,478"},{"v":-37478.1,"d":"(37,478)"}]
[null,"Reclassification to earnings",0,{"v":27250,"d":"27,250"},{"v":-27250,"d":"(27,250)"},0]
[{"v":0.102,"d":"10.20%"},"3/31/X2",{"v":85910,"d":"85,910"},{"v":-85910,"d":"(85,910)"},{"v":-27250,"d":"(27,250)"},{"v":27250,"d":"27,250"}]
[]
[null,"Interest accrued",{"v":2190.705,"d":"$2,191"},{"v":-2190.705,"d":"(2,191)"}]
[null,"Payment (Receipt)",{"v":-29500,"d":"(29,500)"},null,null,{"v":29500,"d":"29,500"}]
[null,"Effect of change in rates",{"v":-101420.705,"d":"(101,421)"},{"v":101420.705,"d":"101,421"}]
[null,"Reclassification to earnings",0,{"v":29500,"d":"29,500"},{"v":-29500,"d":"(29,500)"},0]
[{"v":0.102,"d":"10.20%"},"6/30/X2",{"v":-42820,"d":"(42,820)"},{"v":42820,"d":"42,820"},{"v":-29500,"d":"(29,500)"},{"v":29500,"d":"29,500"}]
[]
[null,"Interest accrued",{"v":-1091.9099999999999,"d":"$(1,092)"},{"v":1091.9099999999999,"d":"1,092"}]
[null,"Payment (Receipt)",{"v":2500,"d":"2,500"},null,null,{"v":-2500,"d":"(2,500)"}]
[null,"Effect of change in rates",{"v":8251.91,"d":"8,252"},{"v":-8251.91,"d":"(8,252)"}]
[null,"Reclassification to earnings",0,{"v":-2500,"d":"(2,500)"},{"v":2500,"d":"2,500"},0]
[{"v":0.102,"d":"10.20%"},"9/30/X2",{"v":-33160,"d":"(33,160)"},{"v":33160,"d":"33,160"},{"v":2500,"d":"2,500"},{"v":-2500,"d":"(2,500)"}]
[]
[null,"Interest accrued",{"v":-845.5799999999999,"d":"$(846)"},{"v":845.5799999999999,"d":"846"}]
[null,"Payment (Receipt)",{"v":5250,"d":"5,250"},null,null,{"v":-5250,"d":"(5,250)"}]
[null,"Effect of change in rates",{"v":6905.58,"d":"6,906"},{"v":-6905.58,"d":"(6,906)"}]
[null,"Reclassification to earnings",0,{"v":-5250,"d":"(5,250)"},{"v":5250,"d":"5,250"},0]
[{"v":0.102,"d":"10.20%"},"12/31/X2",{"v":-21850,"d":"(21,850)"},{"v":21850,"d":"21,850"},{"v":5250,"d":"5,250"},{"v":-5250,"d":"(5,250)"}]
[]
[null,"Interest accrued",{"v":-557.175,"d":"$(557)"},{"v":557.175,"d":"557"}]
[null,"Payment (Receipt)",{"v":8000,"d":"8,000"},null,null,{"v":-8000,"d":"(8,000)"}]
[null,"Effect of change in rates",{"v":16367.175,"d":"16,367"},{"v":-16367.175,"d":"(16,367)"}]
[null,"Reclassification to earnings",0,{"v":-8000,"d":"(8,000)"},{"v":8000,"d":"8,000"},0]
[{"v":0.102,"d":"10.20%"},"3/31/X3",{"v":1960,"d":"1,960"},{"v":-1960,"d":"(1,960)"},{"v":8000,"d":"8,000"},{"v":-8000,"d":"(8,000)"}]
[]
[null,"Interest accrued",{"v":49.98,"d":"$50"},{"v":-49.98,"d":"(50)"}]
[null,"Payment (Receipt)",{"v":-2000,"d":"(2,000)"},null,null,{"v":2000,"d":"2,000"}]
[null,"Rounding error",{"v":-9.980000000000018,"d":"(10)"},{"v":9.980000000000018,"d":"10"}]
[null,"Reclassification to earnings",0,{"v":2000,"d":"2,000"},{"v":-2000,"d":"(2,000)"},0]
[null,"6/30/X3",0,0,{"v":-2000,"d":"(2,000)"},{"v":2000,"d":"2,000"}]