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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 288 Case on Foreign Currency Swap Valuation and Accounting"]
["Foreign Currency Hedge of Fixed-Rate Interest-Bearing Foreign Debt at 8.00% 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 8.00% Debt"]
[]
["XYZ Company's existing DM obligation"]
["On July 1, 20X0, 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 8.00% per annum or 2.00% 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 $20 million pay off."]
[]
["XYZ enters into a currency swap with ABC Bank"]
["On July 1, 20X0, ABC Bank enters into a two-year pay-fixed German DM 10.25%, receive-fixed "]
["US$ 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 8.00% 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 8.00%, 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 8.00% loan"]
[4,"rate, however, are overhedged since the swap returns DM510,000 to XYZ when"]
[4,"only DM400,000 are needed for the quarterly interest payments on the 8.00% note."]
[4]
[4,"The amount of overhedging is -DM110,000 = DM400,000-DM510,000.  This translates"]
[4,"into a $7,715 opportunity loss from not having a matched hedge of $22,855."]
[4]
[4]
[4,"Sensitivity Analysis:  You can change the value in blue Cell G68 from the original 8.00%:",{"$nulls":5},"Actual","Interest Expense"," "," "]
[4,{"$nulls":5},"                           You can change XYZ's original unhedged note rate to R in Cell G68 = ",{"v":0.08,"d":"0.0800"},{"v":0.08,"d":"0.0800"},{"v":0.08,"d":"8.00%"},{"v":0.08,"d":"8.00%"},"Under or"," "]
[4,null,"Ex Post","Unhedged","Hedged","Note","Swap Hedge","Received","Matched","Overhedged","Underhedged","(Over)"]
[4,null,"Spot DM/$","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,{"v":-110000,"d":"(110000)"},400000,{"v":400000,"d":"400,000 "},{"v":0.102,"d":"0.1020"},{"v":252163.16440049442,"d":"$252,163"},{"v":197775.03090234858,"d":"$197,775"},{"v":-54388.13349814585,"d":"($54,388)"},{"v":0,"d":"$0"},{"v":-54388.13349814585,"d":"($54,388)"}]
[4,"2001-12-31",{"v":2.015,"d":"2.0150"},{"v":-110000,"d":"(110000)"},400000,{"v":400000,"d":"400,000 "},{"v":0.102,"d":"0.1020"},{"v":253101.73697270468,"d":"$253,102"},{"v":198511.16625310172,"d":"$198,511"},{"v":-54590.570719602954,"d":"($54,591)"},{"v":0,"d":"$0"},{"v":-54590.570719602954,"d":"($54,591)"}]
[4,"2002-03-31",1.9875,{"v":-110000,"d":"(110000)"},400000,{"v":400000,"d":"400,000 "},{"v":0.102,"d":"0.1020"},{"v":256603.77358490563,"d":"$256,604"},{"v":201257.86163522012,"d":"$201,258"},{"v":-55345.91194968551,"d":"($55,346)"},{"v":0,"d":"$0"},{"v":-55345.91194968551,"d":"($55,346)"}]
[4,"2002-06-30",{"v":1.975,"d":"1.9750"},{"v":-110000,"d":"(110000)"},400000,{"v":400000,"d":"400,000 "},{"v":0.102,"d":"0.1020"},{"v":258227.8481012658,"d":"$258,228"},{"v":202531.64556962025,"d":"$202,532"},{"v":-55696.20253164554,"d":"($55,696)"},{"v":0,"d":"$0"},{"v":-55696.20253164554,"d":"($55,696)"}]
[4,"2002-09-30",1.9685,{"v":-110000,"d":"(110000)"},400000,{"v":400000,"d":"400,000 "},{"v":0.102,"d":"0.1020"},{"v":259080.5181610363,"d":"$259,081"},{"v":203200.40640081282,"d":"$203,200"},{"v":-55880.11176022349,"d":"($55,880)"},{"v":0,"d":"$0"},{"v":-55880.11176022349,"d":"($55,880)"}]
[4,"2002-12-31",{"v":1.948,"d":"1.9480"},{"v":-110000,"d":"(110000)"},400000,{"v":400000,"d":"400,000 "},{"v":0.102,"d":"0.1020"},{"v":261806.98151950716,"d":"$261,807"},{"v":205338.8090349076,"d":"$205,339"},{"v":-56468.17248459955,"d":"($56,468)"},{"v":0,"d":"$0"},{"v":-56468.17248459955,"d":"($56,468)"}]
[4,"2003-03-31",1.9325,{"v":-110000,"d":"(110000)"},400000,{"v":400000,"d":"400,000 "},{"v":0.102,"d":"0.1020"},{"v":263906.8564036222,"d":"$263,907"},{"v":206985.76972833116,"d":"$206,986"},{"v":-56921.08667529104,"d":"($56,921)"},{"v":0,"d":"$0"},{"v":-56921.08667529104,"d":"($56,921)"}]
[4,"2003-06-30",{"v":1.93,"d":"1.9300"},{"v":-110000,"d":"(110000)"},400000,{"v":400000,"d":"400,000 "},{"v":0.102,"d":"0.1020"},{"v":264248.7046632124,"d":"$264,249"},{"v":207253.8860103627,"d":"$207,254"},{"v":-56994.8186528497,"d":"($56,995)"},{"v":0,"d":"$0"},{"v":-56994.8186528497,"d":"($56,995)"}]
[4,null,null," ",null," "," ",{"v":2069139.5838067485,"d":"$2,069,140"},{"v":1622854.5755347048,"d":"$1,622,855"},{"v":-446285.0082720436,"d":"($446,285)"},{"v":0,"d":"$0"},{"v":-446285.0082720436,"d":"($446,285)"}]
[4,{"$nulls":6}," ",null," ",null," "]
[4,null,null,"Case Hedge","Hypothetical","Overhedging",{"v":0.08,"d":"0.0800"},null,{"v":0.08,"d":"8.00%"},"Interest Expense"]
[4,null,null,{"v":0.08,"d":"8.00%"},"Matched Hedge","of","Proportion","Change in","Swap Value",{"v":0.08,"d":"8.00%"},{"v":0,"d":"0.00%"},{"v":0.102,"d":"10.20%"},{"v":0.08,"d":"8.00%"},"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":0.08,"d":"8.00%"},"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":0.08,"d":"0.0800"},"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":0.08,"d":"8.00%"},{"v":0.021999999999999992,"d":"2.20%"},{"v":0.21568627450980385,"d":"0.2157"},{"v":-3890.9935734162277,"d":"($3,891)"},{"v":839.2339079917351,"d":"$839"},{"v":197775.03090234858,"d":"$197,775"},{"v":197775.03090234858,"d":"$197,775"},{"v":-4586.835599505575,"d":"($4,587)"},{"v":-58974.969097651425,"d":"($58,975)"},{"v":-54388.13349814585,"d":"($54,388)"}]
[4,"2001-12-31",{"v":2.015,"d":"2.0150"},{"v":0.102,"d":"10.20%"},{"v":0.08,"d":"8.00%"},{"v":0.021999999999999992,"d":"2.20%"},{"v":0.21568627450980385,"d":"0.2157"},{"v":8886.526734624706,"d":"$8,887"},{"v":-1916.701844722975,"d":"($1,917)"},{"v":198511.16625310172,"d":"$198,511"},{"v":198511.16625310172,"d":"$198,511"},{"v":-3648.2630272953247,"d":"($3,648)"},{"v":-58238.83374689828,"d":"($58,239)"},{"v":-54590.570719602954,"d":"($54,591)"}]
[4,"2002-03-31",1.9875,{"v":0.102,"d":"10.20%"},{"v":0.08,"d":"8.00%"},{"v":0.021999999999999992,"d":"2.20%"},{"v":0.21568627450980385,"d":"0.2157"},{"v":976.1348258618291,"d":"$976"},{"v":-210.53888400941403,"d":"($211)"},{"v":201257.86163522012,"d":"$201,258"},{"v":201257.86163522012,"d":"$201,258"},{"v":-146.22641509436653,"d":"($146)"},{"v":-55492.13836477988,"d":"($55,492)"},{"v":-55345.91194968551,"d":"($55,346)"}]
[4,"2002-06-30",{"v":1.975,"d":"1.9750"},{"v":0.102,"d":"10.20%"},{"v":0.08,"d":"8.00%"},{"v":0.021999999999999992,"d":"2.20%"},{"v":0.21568627450980385,"d":"0.2157"},{"v":3798.6173563034436,"d":"$3,799"},{"v":-819.3096258693699,"d":"($819)"},{"v":202531.64556962025,"d":"$202,532"},{"v":202531.64556962025,"d":"$202,532"},{"v":1477.8481012657867,"d":"$1,478"},{"v":-54218.35443037975,"d":"($54,218)"},{"v":-55696.20253164554,"d":"($55,696)"}]
[4,"2002-09-30",1.9685,{"v":0.102,"d":"10.20%"},{"v":0.08,"d":"8.00%"},{"v":0.021999999999999992,"d":"2.20%"},{"v":0.21568627450980385,"d":"0.2157"},{"v":4020.410275173408,"d":"$4,020"},{"v":-867.1473142530878,"d":"($867)"},{"v":203200.40640081282,"d":"$203,200"},{"v":203200.40640081282,"d":"$203,200"},{"v":2330.518161036307,"d":"$2,331"},{"v":-53549.59359918718,"d":"($53,550)"},{"v":-55880.11176022349,"d":"($55,880)"}]
[4,"2002-12-31",{"v":1.948,"d":"1.9480"},{"v":0.102,"d":"10.20%"},{"v":0.08,"d":"8.00%"},{"v":0.021999999999999992,"d":"2.20%"},{"v":0.21568627450980385,"d":"0.2157"},{"v":-2054.102628742059,"d":"($2,054)"},{"v":443.0417434541695,"d":"$443"},{"v":205338.8090349076,"d":"$205,339"},{"v":205338.8090349076,"d":"$205,339"},{"v":5056.981519507157,"d":"$5,057"},{"v":-51411.19096509239,"d":"($51,411)"},{"v":-56468.17248459955,"d":"($56,468)"}]
[4,"2003-03-31",1.9325,{"v":0.102,"d":"10.20%"},{"v":0.08,"d":"8.00%"},{"v":0.021999999999999992,"d":"2.20%"},{"v":0.21568627450980385,"d":"0.2157"},{"v":-4090.1379057330296,"d":"($4,090)"},{"v":882.1866071188884,"d":"$882"},{"v":206985.76972833116,"d":"$206,986"},{"v":206985.76972833116,"d":"$206,986"},{"v":7156.856403622194,"d":"$7,157"},{"v":-49764.23027166884,"d":"($49,764)"},{"v":-56921.08667529104,"d":"($56,921)"}]
[4,"2003-06-30",{"v":1.93,"d":"1.9300"},{"v":0.102,"d":"10.20%"},{"v":0.08,"d":"8.00%"},{"v":0.021999999999999992,"d":"2.20%"},{"v":0.21568627450980385,"d":"0.2157"},{"v":-7646.45508407207,"d":"($7,646)"},{"v":1649.2354102900538,"d":"$1,649"},{"v":207253.8860103627,"d":"$207,254"},{"v":207253.8860103627,"d":"$207,254"},{"v":7498.704663212411,"d":"$7,499"},{"v":-49496.11398963729,"d":"($49,496)"},{"v":-56994.8186528497,"d":"($56,995)"}]
[4,{"$nulls":7},"Interest on note =",{"v":1622854.5755347048,"d":"$1,622,855"},{"v":1622854.5755347048,"d":"$1,622,855"},{"v":15139.58380674859,"d":"$15,140"},{"v":-431145.4244652951,"d":"($431,145)"},{"v":-446285.0082720436,"d":"($446,285)"}]
[4," ",{"$nulls":6},"Swap loss (gain) =",{"v":-15139.58380674859,"d":"($15,140)"},{"v":431145.42446529504,"d":"$431,145"},{"v":-446285.0082720436,"d":"($446,285)"}," "]
[4,{"$nulls":7},"Change in RE =",{"v":1607714.9917279563,"d":"$1,607,715"},{"v":2054000,"d":"$2,054,000"},{"v":-431145.42446529504,"d":"($431,145)"}]
[4,{"$nulls":7},"Deviation of  the actual hedge from matched hedge =",{"v":446285.0082720436,"d":"$446,285"}]
[4,{"$nulls":7},"Matched hedge outcome =",{"v":2054000,"d":"$2,054,000"},null,"if the hedged note rate =",{"v":0.102,"d":"10.20%"},"instead of",{"v":0.08,"d":"8.00%"}]
[4,{"$nulls":5},"(Note that just because the hedge is not matched, does not make it ineffective under FAS 133 definitions of ineffectiveness.)"]
[4,"The value of the swap each quarter is not affected directly by interest rate movements unless the"]
[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 $7,715 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,"How come the gain on the swap is the same $15,140 when the note's interest"]
[5,"rate is 12.00% or 8.00%?  Shouldn't the XYX Company earn higher profits on "]
[5,"as a result of having a lower note interest?"]
[5]
[5,"Actually the XYZ Company has less interest expense when the note's interest"]
[5,"is 8.00% instead of 12.00%.  However, the net swap cash flows depend upon the"]
[5,"fixed rates of interest on the swap legs.  This rate does not change with the"]
[5,"hedged item (DM 10 million note) rate."]
[6]
[6,"= Question Number"]
[6,"Record the DM 20 million loan as if it commenced on July 1, 20X0, 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,"Does the earnings impact differ with respect to overhedging versus underhedging"]
[7,"in this illustration?  Explain the importance to XYZ Company."]
[7]
[7,"With underhedging, all changes in XYX's swap value were debited or credited"]
[7,"to Other Comprehensive Income (OCI).  Hence, changes in swap value did not"]
[7,"impact upon the level or variability or earnings per share.  "]
[7]
[7,"With overhedging, it is a different matter.  When XYZ Company has more German"]
[7,"marks coming in than are needed to make the hedged item's payments, a portion of the change in the swap value providing those excess marks must be debited"]
[7,"or credited to current earnings rather than OCI.  Those portions of swap value"]
[7,"change impact both upon the amount and variability of net income.  Furthermore,"]
[7,"those \"excess\" value changes do not affect cash flows.  In other words, a large"]
[7,"increase in swap value due to overhedging will not increase the amount of cash"]
[7,"in the till beyond what the net swap cash flows themselves.   You can see this by"]
[7,"examining the journal entries in this case."]
[7]
[7]
[8]
[8,"= Question Number"]
[8,"Show the impact of under hedging versus overhedging on quarterly earnings,"]
[8,"assuming a 10.2% swap receivable leg that is specified in this case.  In other words, "]
[8,"keep the swap receivable rate constant, but vary the DM20 million note's interest rate"]
[8,"across 6%, 7%, 8%, 9%, 10.2%, 11%, and 12$."]
[8," "]
[8,"Hint:  The 8% and 12% outcomes are shown below:"]
[8]
[8,null,null,"10.2% Swap Receivable"]
[8,null,null,"XZY Net","Swap's","Loss (Gain)","Loss (Gain)"]
[8,null,null,"Swap","Estimated","From","From"]
[8,null,null,"Cash Flow","Value","Overhedge","Overhedge"]
[8,null,"2001-07-01",{"v":-4586.835599505575,"d":"($4,587)"},{"v":-3890.9935734162277,"d":"($3,891)"},{"v":839.2339079917351,"d":"$839"},{"v":0,"d":"$0"}]
[8,null,"2001-09-30",{"v":-3648.2630272953247,"d":"($3,648)"},{"v":4995.533161208478,"d":"$4,996"},{"v":-1916.701844722975,"d":"($1,917)"},{"v":0,"d":"$0"}]
[8,null,"2001-12-31",{"v":-146.22641509436653,"d":"($146)"},{"v":5971.667987070307,"d":"$5,972"},{"v":-210.53888400941403,"d":"($211)"},{"v":0,"d":"$0"}]
[8,null,"2002-03-31",{"v":1477.8481012657867,"d":"$1,478"},{"v":9770.285343373751,"d":"$9,770"},{"v":-819.3096258693699,"d":"($819)"},{"v":0,"d":"$0"}]
[8,null,"2002-06-30",{"v":2330.518161036307,"d":"$2,331"},{"v":13790.695618547159,"d":"$13,791"},{"v":-867.1473142530878,"d":"($867)"},{"v":0,"d":"$0"}]
[8,null,"2002-09-30",{"v":5056.981519507157,"d":"$5,057"},{"v":11736.5929898051,"d":"$11,737"},{"v":443.0417434541695,"d":"$443"},{"v":0,"d":"$0"}]
[8,null,"2002-12-31",{"v":7156.856403622194,"d":"$7,157"},{"v":7646.45508407207,"d":"$7,646"},{"v":882.1866071188884,"d":"$882"},{"v":0,"d":"$0"}]
[8,null,"2003-03-31",{"v":7498.704663212411,"d":"$7,499"},{"v":0,"d":"$0"},{"v":1649.2354102900538,"d":"$1,649"},{"v":0,"d":"$0"}]
[8,{"$nulls":3},"Overhedging Total =",{"v":0,"d":"$0"},{"v":0,"d":"$0"}]
[8,{"$nulls":3},"XYZ Loan Rate on DM20 Million Note =",{"v":0.08,"d":"8.00%"},{"v":0.12,"d":"12.00%"}]
[8]
[8]
[8]
[8]
[8]
[8]
[9]
[9,"= Question Number"]
[9,"Show the underhedging or overhedging dollar amount portions of a 10.2% hedging"]
[9,"swap receivable leg used to hedge the $20 million note at interest rates varying"]
[9,"across 6%, 7%, 8%, 9%, 10.2%, 11%, and 12$."]
[9," "]
[9,"Hint:  The 8%, 10.2%, and 12% outcomes are shown below:"]
[9]
[9,null,"10.2% Swap","Under or","Under or","Under or"]
[9,null,"XZY Net","(Over)","(Over)","(Over)"]
[9," ","Swap","Hedged","Hedged","Hedged"]
[9," ","Cash Flow","Amount","Amount","Amount"]
[9,"2001-07-01",{"v":-4586.835599505575,"d":"($4,587)"},{"v":-54388.13349814585,"d":"(54,388)"},{"v":0,"d":"0 "},{"v":44499.38195302844,"d":"44,499 "}]
[9,"2001-09-30",{"v":-3648.2630272953247,"d":"($3,648)"},{"v":-54590.570719602954,"d":"(54,591)"},{"v":0,"d":"0 "},{"v":44665.012406947935,"d":"44,665 "}]
[9,"2001-12-31",{"v":-146.22641509436653,"d":"($146)"},{"v":-55345.91194968551,"d":"(55,346)"},{"v":0,"d":"0 "},{"v":45283.01886792455,"d":"45,283 "}]
[9,"2002-03-31",{"v":1477.8481012657867,"d":"$1,478"},{"v":-55696.20253164554,"d":"(55,696)"},{"v":0,"d":"0 "},{"v":45569.620253164554,"d":"45,570 "}]
[9,"2002-06-30",{"v":2330.518161036307,"d":"$2,331"},{"v":-55880.11176022349,"d":"(55,880)"},{"v":0,"d":"0 "},{"v":45720.091440182936,"d":"45,720 "}]
[9,"2002-09-30",{"v":5056.981519507157,"d":"$5,057"},{"v":-56468.17248459955,"d":"(56,468)"},{"v":0,"d":"0 "},{"v":46201.232032854256,"d":"46,201 "}]
[9,"2002-12-31",{"v":7156.856403622194,"d":"$7,157"},{"v":-56921.08667529104,"d":"(56,921)"},{"v":0,"d":"0 "},{"v":46571.798188874556,"d":"46,572 "}]
[9,"2003-03-31",{"v":7498.704663212411,"d":"$7,499"},{"v":-56994.8186528497,"d":"(56,995)"},{"v":0,"d":"0 "},{"v":46632.12435233162,"d":"46,632 "}]
[9,null,null,{"v":-446285.0082720436,"d":"($446,285)"},{"v":0,"d":"$0"},{"v":365142.2794953088,"d":"$365,142"}]
[9,null,"XYZ Loan Rate =",{"v":0.08,"d":"8.00%"},{"v":0.102,"d":"10.20%"},{"v":0.12,"d":"12.00%"}]
[9]
[9]
[9]
[9]
[9]

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["Working Paper 288 Case on Foreign Currency Swap Valuation and Accounting",{"$nulls":21},{"v":0.102,"d":"10.200000%"},{"v":0.1027,"d":"10.270000%"}]
["Foreign Currency Hedge of Fixed-Rate Interest-Bearing Foreign Debt at 8.00% Loan Rate",{"$nulls":23}," "]
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["Note:  The key parameter to vary for alternate solutions is in Cell G68  ",{"$nulls":7}," "," ",{"$nulls":4},"Totals",{"$nulls":3}," ",{"$nulls":4},{"v":483.2881850012636,"d":"$483"},{"v":-0.4518606728033774,"d":"$(0)"},null,0.0015967539760723044,null," ","Swap Value",null,null,{"v":1.2231657663032087,"d":"1.223166"}]
[" Working Paper 288",null," "," ",{"$nulls":4}," "]
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[6,{"v":1.948,"d":"1.9480"},{"v":10000000,"d":"$10,000,000"},{"v":20000000,"d":"20,000,000 "},"2002-12-31",{"v":0.02,"d":"2.0000%"},{"v":0.025675,"d":"2.5675%"},{"v":256750,"d":"$256,750"},{"v":0.0255,"d":"2.5500%"},{"v":261806.98151950716,"d":"$261,807"},{"v":5056.981519507157,"d":"$5,057"},{"v":11736.5929898051,"d":"$11,737"},{"v":354.0761100061983,"d":"$354"},{"v":205338.8090349076,"d":"$205,339"},"2002-12-31",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.025500000000000078,"d":"2.550%"},1.9875,{"v":256603.77358490563,"d":"$256,604"},{"v":256750,"d":"$256,750"},{"v":256603.77358490645,"d":"$256,604"},{"v":256457.54716981208,"d":"$256,458"},{"v":-146.22641509436653,"d":"$(146)"},{"v":-128.92807827672846,"d":"$(129)"},{"$nulls":5},{"v":5,"d":"5.00"},{"v":1.1341704386573521,"d":"1.1342"}]
[7,1.9325,{"v":10000000,"d":"$10,000,000"},{"v":20000000,"d":"20,000,000 "},"2003-03-31",{"v":0.02,"d":"2.0000%"},{"v":0.025675,"d":"2.5675%"},{"v":256750,"d":"$256,750"},{"v":0.0255,"d":"2.5500%"},{"v":263906.8564036222,"d":"$263,907"},{"v":7156.856403622194,"d":"$7,157"},{"v":7646.45508407207,"d":"$7,646"},{"v":301.3370250132459,"d":"$301"},{"v":206985.76972833116,"d":"$206,986"},"2003-03-31",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255000000000003,"d":"2.550%"},{"v":1.985,"d":"1.9850"},{"v":256926.9521410579,"d":"$256,927"},{"v":256750,"d":"$256,750"},{"v":256926.95214106093,"d":"$256,927"},{"v":257103.90428211883,"d":"$257,104"},{"v":176.95214105790365,"d":"$177"},{"v":152.13944708737847,"d":"$152"},{"$nulls":5},{"v":6,"d":"6.00"},{"v":1.1630917848431148,"d":"1.1631"}]
[8,{"v":1.93,"d":"1.9300"},{"v":10000000,"d":"$10,000,000"},{"v":20000000,"d":"20,000,000 "},"2003-06-30",{"v":0.02,"d":"2.0000%"},{"v":0.025675,"d":"2.5675%"},{"v":256750,"d":"$256,750"},{"v":0.0255,"d":"2.5500%"},{"v":264248.7046632124,"d":"$264,249"},{"v":7498.704663212411,"d":"$7,499"},{"v":0,"d":"$0"},{"v":0,"d":"$0"},{"v":207253.8860103627,"d":"$207,254"},"2003-06-30",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255000000000003,"d":"2.550%"},1.9825,{"v":257250.94577553592,"d":"$257,251"},{"v":256750,"d":"$256,750"},{"v":257250.94577553897,"d":"$257,251"},{"v":257751.8915510749,"d":"$257,752"},{"v":500.9457755359181,"d":"$501"},{"v":419.9920460206364,"d":"$420"},{"$nulls":5},{"v":7,"d":"7.00"},{"v":1.1927506253566145,"d":"1.1928"}]
[{"$nulls":13}," ","Totals",{"$nulls":8},{"v":-5787.28123763483,"d":"$(5,787)"},{"v":-3890.9935734162277,"d":"$(3,891)"},null,0.0014802793682608475,null,"= Sept. 30 Swap Value"]
[{"$nulls":13}," ",{"$nulls":13},"2001-12-31"]
["Summary of Unhedged Versus Hedged Note Interest",{"$nulls":14},"2001-12-31",null,"Quarterly","FX","Swap",null,"Hedged",null,"Estimated","2001-12-31"]
[" ","Unhedged","Foreign","Change in"," ",{"$nulls":10},"Yield","Quarterly","forward","Forward","Receive","Pay","Cash ",null,"Swap","Swap"]
[" ","Note","Currency","Retained"," ",{"$nulls":9},"Maturity","Curve","yields","rates","Rate","Variable","Fixed","Flow","Net Effect","cash flow","Value",{"$nulls":6},"t","FVIF"]
[" ","Interest","Swap","Earnings",{"$nulls":10},"2001-07-01"]
["2001-07-01",{"v":197775.03090234858,"d":"197,775 "},{"v":-4586.835599505575,"d":"(4,587)"},{"v":202361.86650185415,"d":"202,362 "},{"$nulls":10},"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,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
["2001-09-30",{"v":198511.16625310172,"d":"198,511 "},{"v":-3648.2630272953247,"d":"(3,648)"},{"v":202159.42928039705,"d":"202,159 "},{"$nulls":10},"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,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
["2001-12-31",{"v":201257.86163522012,"d":"201,258 "},{"v":-146.22641509436653,"d":"(146)"},{"v":201404.0880503145,"d":"201,404 "},{"$nulls":10},"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)"},{"v":-142.59036089162996,"d":"$(143)"},{"$nulls":6},{"v":1,"d":"1.00"},1.0255]
["2002-03-31",{"v":202531.64556962025,"d":"202,532 "},{"v":1477.8481012657867,"d":"1,478 "},{"v":201053.79746835446,"d":"201,054 "},{"$nulls":10},"2002-06-30",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.025500000000000078,"d":"2.550%"},1.9825,{"v":257250.94577553592,"d":"$257,251"},{"v":256750,"d":"$256,750"},{"v":257250.94577553673,"d":"$257,251"},{"v":257751.89155107265,"d":"$257,752"},{"v":500.9457755359181,"d":"$501"},{"v":476.3425630678241,"d":"$476"},{"$nulls":6},{"v":2,"d":"2.00"},{"v":1.0516502500000002,"d":"1.0517"}]
["2002-06-30",{"v":203200.40640081282,"d":"203,200 "},{"v":2330.518161036307,"d":"2,331 "},{"v":200869.8882397765,"d":"200,870 "},{"$nulls":10},"2002-09-30",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.025500000000000078,"d":"2.550%"},{"v":1.98,"d":"1.9800"},{"v":257575.75757575754,"d":"$257,576"},{"v":256750,"d":"$256,750"},{"v":257575.75757575838,"d":"$257,576"},{"v":258401.51515151592,"d":"$258,402"},{"v":825.7575757575396,"d":"$826"},{"v":765.6769488833135,"d":"$766"},{"$nulls":6},{"v":3,"d":"3.00"},{"v":1.0784673313750004,"d":"1.0785"}]
["2002-09-30",{"v":205338.8090349076,"d":"205,339 "},{"v":5056.981519507157,"d":"5,057 "},{"v":200281.82751540045,"d":"200,282 "},{"$nulls":10},"2002-12-31",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.025500000000000078,"d":"2.550%"},1.9775,{"v":257901.39064475344,"d":"$257,901"},{"v":256750,"d":"$256,750"},{"v":257901.39064475425,"d":"$257,901"},{"v":259052.7812895077,"d":"$259,053"},{"v":1151.3906447534391,"d":"$1,151"},{"v":1041.07025359649,"d":"$1,041"},{"$nulls":6},{"v":4,"d":"4.00"},{"v":1.105968248325063,"d":"1.1060"}]
["2002-12-31",{"v":206985.76972833116,"d":"206,986 "},{"v":7156.856403622194,"d":"7,157 "},{"v":199828.91332470896,"d":"199,829 "},{"$nulls":10},"2003-03-31",{"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":1303.0211782060599,"d":"$1,303"},{"$nulls":6},{"v":5,"d":"5.00"},{"v":1.1341704386573521,"d":"1.1342"}]
["2003-03-31",{"v":207253.8860103627,"d":"207,254 "},{"v":7498.704663212411,"d":"7,499 "},{"v":199755.1813471503,"d":"199,755 "},{"$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":1622854.5755347048,"d":"$1,622,855"},{"v":15139.58380674859,"d":"$15,140"},{"v":1607714.9917279563,"d":"$1,607,715"}," ",{"$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",{"$nulls":6},"t","FVIF"]
["                   of interest is 8.00% on a principal of DM 20 million?",{"$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,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
["The hedged interest expense is not constant each quarter, because more than 8.00% ",{"$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,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
["interest is hedged.  Only 8.00% swap leg is needed for a matched hedge.   The 10.2% leg",{"$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]
["for DM200,000 quarterly payments provides more German marks that are needed",{"$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"}]
["to hedge the note's interest payments.  This results in a swap speculation based upon the",{"$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"}]
["2.2% = 10.2% - 8.00% excess fixed rate on the receiving leg of the swap.",{"$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 only 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 8.00% 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":0.08,"d":"0.0800"},{"v":0.08,"d":"0.0800"},{"v":0.08,"d":"8.00%"},{"v":0.08,"d":"8.00%"},"Under or"," ",null,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"}]
[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"}]
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[" ",{"$nulls":6},"Swap loss (gain) =",{"v":-15139.58380674859,"d":"($15,140)"},{"v":431145.42446529504,"d":"$431,145"},{"v":-446285.0082720436,"d":"($446,285)"}," ",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"}]
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[{"$nulls":7},"Deviation of  the actual hedge from matched hedge =",{"v":446285.0082720436,"d":"$446,285"},{"$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":2054000,"d":"$2,054,000"},null,"if the hedged note rate =",{"v":0.102,"d":"10.20%"},"instead of",{"v":0.08,"d":"8.00%"},"Totals",{"$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 288 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",{"$nulls":7},"t","FVIF"]
["swap value in the Working Paper 288 case.",{"$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",{"$nulls":3},{"v":-0.4518606728033774,"d":"(0)"},{"v":-0.4518606728033774,"d":"(0)"}]
["2001-07-01","OCI adjusted for changes in the swap valuation",{"$nulls":3},{"v":0.4518606728033774,"d":"0 "},{"v":0.4518606728033774,"d":"0 "}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":-0.4518606728033774,"d":"(0)"},{"v":-0.4518606728033774,"d":"(0)"}]
[null,"-To record change in swap's fairvalue"]
[]
[]
[{"$nulls":5},"Debit"]
[{"$nulls":5},"(Credit)","Balance"]
["2001-09-30","Interest expense/revenue",{"$nulls":3},{"v":197775.03090234858,"d":"197,775 "},{"v":197775.03090234858,"d":"197,775 "},"2001-09-30"]
[null,"Cash",{"$nulls":3},{"v":-197775.03090234858,"d":"(197,775)"},{"v":9802224.969097652,"d":"9,802,225 "}]
[null,"-To record payment on German mark note"]
[]
["2001-09-30","Interest expense/revenue",{"$nulls":3},{"v":4586.835599505575,"d":"4,587 "},{"v":202361.86650185415,"d":"202,362 "},"2001-09-30"]
[null,"Cash",{"$nulls":3},{"v":-4586.835599505575,"d":"(4,587)"},{"v":9797638.133498145,"d":"9,797,638 "}]
[null,"-To record swap receipt (payment)"]
[{"$nulls":3}," "]
["2001-09-30","Foreign currency swaps receivable/payable",{"$nulls":3},{"v":-3890.5417127434243,"d":"(3,891)"},{"v":-3890.9935734162277,"d":"(3,891)"},"2001-09-30"]
[null,"Accrued interest on swap",{"$nulls":3},{"v":0,"d":"0 "},{"v":0,"d":"0 "}]
[null,"OCI adjusted for changes in the swap valuation",{"$nulls":3},{"v":3051.4052648968036,"d":"3,051 "},{"v":3051.857125569607,"d":"3,052 "}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":839.1364478466206,"d":"839 "},{"v":839.1364478466206,"d":"839 "}]
[null,"-To record change in swap's fairvalue",{"$nulls":4}," "]
[]
["2001-09-30","Retained earnings",{"$nulls":3},{"v":203201.00294970078,"d":"203,201 "},{"v":203201.00294970078,"d":"203,201 "},"2001-09-30"]
[null,"Interest expense/revenue",{"$nulls":3},{"v":-202361.86650185415,"d":"(202,362)"},{"v":0,"d":"0 "}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":-839.1364478466206,"d":"(839)"},{"v":0,"d":"0 "}]
[null,"-To close expense and revenue accounts"]
[]
[]
[{"$nulls":5},"Debit"]
[{"$nulls":5},"(Credit)","Balance"]
["2001-12-31","Interest expense/revenue",{"$nulls":3},{"v":198511.16625310172,"d":"198,511 "},{"v":198511.16625310172,"d":"198,511 "},"2001-12-31"]
[null,"Cash",{"$nulls":3},{"v":-198511.16625310172,"d":"(198,511)"},{"v":9599126.967245044,"d":"9,599,127 "}]
[null,"-To record payment on German mark note"]
[]
["2001-12-31","Interest expense/revenue",{"$nulls":3},{"v":3648.2630272953247,"d":"3,648 "},{"v":202159.42928039705,"d":"202,159 "},"2001-12-31"]
[null,"Cash",{"$nulls":3},{"v":-3648.2630272953247,"d":"(3,648)"},{"v":9595478.704217749,"d":"9,595,479 "}]
[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":-6869.92362990427,"d":"(6,870)"},{"v":-2978.9300564880423,"d":"(2,979)"}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":-1916.701844722975,"d":"(1,917)"},{"v":-1916.701844722975,"d":"(1,917)"}]
[null,"-To record change in swap's fairvalue",{"$nulls":3},{"v":0,"d":"0 "},{"v":0,"d":"0 "}]
[]
["2001-12-31","Retained earnings",{"$nulls":3},{"v":200242.72743567408,"d":"200,243 "},{"v":403443.73038537486,"d":"403,444 "},"2001-12-31"]
[null,"Interest expense/revenue",{"$nulls":3},{"v":-202159.42928039705,"d":"(202,159)"},{"v":0,"d":"0 "}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":1916.701844722975,"d":"1,917 "},{"v":0,"d":"0 "}]
[null,"-To close expense and revenue accounts"]
[]
[]
[{"$nulls":5},"Debit"]
[{"$nulls":5},"(Credit)","Balance"]
["2002-03-31","Interest expense/revenue",{"$nulls":3},{"v":201257.86163522012,"d":"201,258 "},{"v":201257.86163522012,"d":"201,258 "},"2002-03-31"]
[null,"Cash",{"$nulls":3},{"v":-201257.86163522012,"d":"(201,258)"},{"v":9394220.84258253,"d":"9,394,221 "}]
[null,"-To record payment on German mark note"]
[]
["2002-03-31","Interest expense/revenue",{"$nulls":3},{"v":146.22641509436653,"d":"146 "},{"v":201404.0880503145,"d":"201,404 "},"2002-03-31"]
[null,"Cash",{"$nulls":3},{"v":-146.22641509436653,"d":"(146)"},{"v":9394074.616167435,"d":"9,394,075 "}]
[null,"-To record swap receipt (payment)"]
[{"$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",{"$nulls":3},{"v":-993.7575157639044,"d":"(994)"},{"v":-5889.389416974921,"d":"(5,889)"}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":-210.53888400941403,"d":"(211)"},{"v":-210.53888400941403,"d":"(211)"}]
[null,"-To record change in swap's fairvalue",{"$nulls":4}," "]
[]
["2002-03-31","Retained earnings",{"$nulls":3},{"v":201193.54916630508,"d":"201,194 "},{"v":604637.27955168,"d":"604,637 "},"2002-03-31"]
[null,"Interest expense/revenue",{"$nulls":3},{"v":-201404.0880503145,"d":"(201,404)"},{"v":0,"d":"0 "}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":210.53888400941403,"d":"211 "},{"v":0,"d":"0 "}]
[null,"-To close interest expense/revenue"]
[]
[]
[{"$nulls":5},"Debit"]
[{"$nulls":5},"(Credit)","Balance"]
["2002-06-30","Interest expense/revenue",{"$nulls":3},{"v":202531.64556962025,"d":"202,532 "},{"v":202531.64556962025,"d":"202,532 "},"2002-06-30"]
[null,"Cash",{"$nulls":3},{"v":-202531.64556962025,"d":"(202,532)"},{"v":9191542.970597815,"d":"9,191,543 "}]
[null,"-To record payment on German mark note"]
[]
["2002-06-30","Interest expense/revenue",{"$nulls":3},{"v":-1477.8481012657867,"d":"(1,478)"},{"v":201053.79746835446,"d":"201,054 "},"2002-06-30"]
[null,"Cash",{"$nulls":3},{"v":1477.8481012657867,"d":"1,478 "},{"v":9193020.81869908,"d":"9,193,021 "}]
[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":-3004.3699920880763,"d":"(3,004)"},{"v":-9104.298293072412,"d":"(9,104)"}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":-819.3096258693699,"d":"(819)"},{"v":-819.3096258693699,"d":"(819)"}]
[null,"-To record change in swap's fairvalue",{"$nulls":4}," "]
[]
["2002-06-30","Retained earnings",{"$nulls":3},{"v":200234.48784248508,"d":"200,234 "},{"v":804871.767394165,"d":"804,872 "},"2002-06-30"]
[null,"Interest expense/revenue",{"$nulls":3},{"v":-201053.79746835446,"d":"(201,054)"},{"v":0,"d":"0 "}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":819.3096258693699,"d":"819 "},{"v":0,"d":"0 "}]
[null,"-To close interest expense/revenue"]
[]
[]
[{"$nulls":5},"Debit"]
[{"$nulls":5},"(Credit)","Balance"]
["2002-09-30","Interest expense/revenue",{"$nulls":3},{"v":203200.40640081282,"d":"203,200 "},{"v":203200.40640081282,"d":"203,200 "},"2002-09-30"]
[null,"Cash",{"$nulls":3},{"v":-203200.40640081282,"d":"(203,200)"},{"v":8989820.412298268,"d":"8,989,820 "}]
[null,"-To record payment on German mark note"]
[]
["2002-09-30","Interest expense/revenue",{"$nulls":3},{"v":-2330.518161036307,"d":"(2,331)"},{"v":200869.8882397765,"d":"200,870 "},"2002-09-30"]
[null,"Cash",{"$nulls":3},{"v":2330.518161036307,"d":"2,331 "},{"v":8992150.930459304,"d":"8,992,151 "}]
[null,"-To record swap receipt (payment)"]
[{"$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",{"$nulls":3},{"v":-3250.7924615434113,"d":"(3,251)"},{"v":-13174.40038048519,"d":"(13,174)"}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":-867.1473142530878,"d":"(867)"},{"v":-867.1473142530878,"d":"(867)"}]
[null,"-To record change in swap's fairvalue",{"$nulls":4}," "]
[]
["2002-09-30","Retained earnings",{"$nulls":3},{"v":200002.74092552342,"d":"200,003 "},{"v":1004874.5083196885,"d":"1,004,875 "},"2002-09-30"]
[null,"Interest expense/revenue",{"$nulls":3},{"v":-200869.8882397765,"d":"(200,870)"},{"v":0,"d":"0 "}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":867.1473142530878,"d":"867 "},{"v":0,"d":"0 "}]
[null,"-To close interest expense/revenue"]
[]
[]
[{"$nulls":5},"Debit"]
[{"$nulls":5},"(Credit)","Balance"]
["2002-12-31","Interest expense/revenue",{"$nulls":3},{"v":205338.8090349076,"d":"205,339 "},{"v":205338.8090349076,"d":"205,339 "},"2002-12-31"]
[null,"Cash",{"$nulls":3},{"v":-205338.8090349076,"d":"(205,339)"},{"v":8786812.121424396,"d":"8,786,812 "}]
[null,"-To record payment on German mark note"]
[]
["2002-12-31","Interest expense/revenue",{"$nulls":3},{"v":-5056.981519507157,"d":"(5,057)"},{"v":200281.82751540045,"d":"200,282 "},"2002-12-31"]
[null,"Cash",{"$nulls":3},{"v":5056.981519507157,"d":"5,057 "},{"v":8791869.102943903,"d":"8,791,869 "}]
[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":1507.8368514728122,"d":"1,508 "},{"v":-12533.710843265468,"d":"(12,534)"}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":443.0417434541695,"d":"443 "},{"v":443.0417434541695,"d":"443 "}]
[null,"-To record change in swap's fairvalue",{"$nulls":4}," "]
["2002-12-31",{"$nulls":6},"2002-12-31"]
[null,"Retained earnings",{"$nulls":3},{"v":200724.86925885463,"d":"200,725 "},{"v":1205599.377578543,"d":"1,205,599 "}]
[null,"Interest expense/revenue",{"$nulls":3},{"v":-200281.82751540045,"d":"(200,282)"},{"v":0,"d":"0 "}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":-443.0417434541695,"d":"(443)"},{"v":0,"d":"0 "}]
[null,"-To close interest expense/revenue"]
[]
[]
[{"$nulls":5},"Debit"]
[{"$nulls":5},"(Credit)","Balance"]
["2003-03-31","Interest expense/revenue",{"$nulls":3},{"v":206985.76972833116,"d":"206,986 "},{"v":206985.76972833116,"d":"206,986 "},"2003-03-31"]
[null,"Cash",{"$nulls":3},{"v":-206985.76972833116,"d":"(206,986)"},{"v":8584883.333215572,"d":"8,584,883 "}]
[null,"-To record payment on German mark note"]
[]
["2003-03-31","Interest expense/revenue",{"$nulls":3},{"v":-7156.856403622194,"d":"(7,157)"},{"v":199828.91332470896,"d":"199,829 "},"2003-03-31"]
[null,"Cash",{"$nulls":3},{"v":7156.856403622194,"d":"7,157 "},{"v":8592040.189619195,"d":"8,592,040 "}]
[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":3260.6903836070937,"d":"3,261 "},{"v":-8829.978716204205,"d":"(8,830)"}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":882.1866071188884,"d":"882 "},{"v":882.1866071188884,"d":"882 "}]
[null,"-To record change in swap's fairvalue",{"$nulls":4}," "]
[]
["2003-03-31","Retained earnings",{"$nulls":3},{"v":200711.09993182786,"d":"200,711 "},{"v":1406310.4775103708,"d":"1,406,310 "},"2003-03-31"]
[null,"Interest expense/revenue",{"$nulls":3},{"v":-199828.91332470896,"d":"(199,829)"},{"v":0,"d":"0 "}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":-882.1866071188884,"d":"(882)"},{"v":0,"d":"0 "}]
[null,"-To close interest expense/revenue"]
[]
[]
[{"$nulls":5},"Debit"]
[{"$nulls":5},"(Credit)","Balance"]
["2003-06-30","Interest expense/revenue",{"$nulls":3},{"v":207253.8860103627,"d":"207,254 "},{"v":207253.8860103627,"d":"207,254 "},"2003-06-30"]
[null,"Cash",{"$nulls":3},{"v":-207253.8860103627,"d":"(207,254)"},{"v":8384786.303608832,"d":"8,384,786 "}]
[null,"-To record payment on German mark note"]
[]
["2003-06-30","Interest expense/revenue",{"$nulls":3},{"v":-7498.704663212411,"d":"(7,499)"},{"v":199755.1813471503,"d":"199,755 "},"2003-06-30"]
[null,"Cash",{"$nulls":3},{"v":7498.704663212411,"d":"7,499 "},{"v":8392285.008272044,"d":"8,392,285 "}]
[null,"-To record swap receipt (payment)"]
[{"$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",{"$nulls":3},{"v":6298.5566987952625,"d":"6,299 "},{"v":-1649.2354102900538,"d":"(1,649)"}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":1649.2354102900538,"d":"1,649 "},{"v":1649.2354102900538,"d":"1,649 "}]
[null,"-To record change in swap's fairvalue"]
[]
["2003-06-30","Retained earnings",{"$nulls":3},{"v":201404.41675744034,"d":"201,404 "},{"v":1607714.8942678112,"d":"1,607,715 "},"2003-06-30"]
[null,"Interest expense/revenue",{"$nulls":3},{"v":-199755.1813471503,"d":"(199,755)"},{"v":0,"d":"0 "}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":-1649.2354102900538,"d":"(1,649)"},{"v":0,"d":"0 "}]
[null,"-To close interest expense/revenue"]
[]
["2003-06-30","Cash",{"$nulls":3},{"v":-10000000,"d":"(10,000,000)"},{"v":-1607714.9917279556,"d":"(1,607,715)"},"2003-06-30"]
[null,"Cash",{"$nulls":3},{"v":10000000,"d":"10,000,000 "},{"v":8392285.008272044,"d":"8,392,285 "}]
[null,"-To record exchange of swap notionals"]
[]
[null,"Cash",{"$nulls":3},{"v":-10000000,"d":"(10,000,000)"},{"v":-11607714.991727956,"d":"(11,607,715)"}]
[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",{"v":0.102,"d":"10.20%"},{"v":0.102,"d":"10.20%"},"Loss (Gain)"]
[null,"Note","Currency","Retained","Swap ","OCI","From"]
[null,"Interest","Swap","Earnings","Value","Balance","Overhedge"]
["2001-07-01",{"v":197775.03090234858,"d":"197,775 "},{"v":-4586.835599505575,"d":"(4,587)"},{"v":202361.86650185415,"d":"202,362 "},{"v":-3890.9935734162277,"d":"($3,891)"},{"v":3051.857125569607,"d":"$3,052"},{"v":839.1364478466206,"d":"$839"}]
["2001-09-30",{"v":198511.16625310172,"d":"198,511 "},{"v":-3648.2630272953247,"d":"(3,648)"},{"v":202159.42928039705,"d":"202,159 "},{"v":4995.533161208478,"d":"$4,996"},{"v":-2978.9300564880423,"d":"($2,979)"},{"v":-1916.701844722975,"d":"($1,917)"}]
["2001-12-31",{"v":201257.86163522012,"d":"201,258 "},{"v":-146.22641509436653,"d":"(146)"},{"v":201404.0880503145,"d":"201,404 "},{"v":5971.667987070307,"d":"$5,972"},{"v":-5889.389416974921,"d":"($5,889)"},{"v":-210.53888400941403,"d":"($211)"}]
["2002-03-31",{"v":202531.64556962025,"d":"202,532 "},{"v":1477.8481012657867,"d":"1,478 "},{"v":201053.79746835446,"d":"201,054 "},{"v":9770.285343373751,"d":"$9,770"},{"v":-9104.298293072412,"d":"($9,104)"},{"v":-819.3096258693699,"d":"($819)"}]
["2002-06-30",{"v":203200.40640081282,"d":"203,200 "},{"v":2330.518161036307,"d":"2,331 "},{"v":200869.8882397765,"d":"200,870 "},{"v":13790.695618547159,"d":"$13,791"},{"v":-13174.40038048519,"d":"($13,174)"},{"v":-867.1473142530878,"d":"($867)"}]
["2002-09-30",{"v":205338.8090349076,"d":"205,339 "},{"v":5056.981519507157,"d":"5,057 "},{"v":200281.82751540045,"d":"200,282 "},{"v":11736.5929898051,"d":"$11,737"},{"v":-12533.710843265468,"d":"($12,534)"},{"v":443.0417434541695,"d":"$443"}]
["2002-12-31",{"v":206985.76972833116,"d":"206,986 "},{"v":7156.856403622194,"d":"7,157 "},{"v":199828.91332470896,"d":"199,829 "},{"v":7646.45508407207,"d":"$7,646"},{"v":-8829.978716204205,"d":"($8,830)"},{"v":882.1866071188884,"d":"$882"}]
["2003-03-31",{"v":207253.8860103627,"d":"207,254 "},{"v":7498.704663212411,"d":"7,499 "},{"v":199755.1813471503,"d":"199,755 "},{"v":0,"d":"$0"},{"v":-1649.2354102900538,"d":"($1,649)"},{"v":1649.2354102900538,"d":"$1,649"}]
["Total =",{"v":1622854.5755347048,"d":"$1,622,855"},{"v":15139.58380674859,"d":"$15,140"},{"v":1607714.9917279563,"d":"$1,607,715"},null,"Overhedge =",{"v":-0.09746014511460999,"d":"($0)"}]
[null,null,"Loan Rate =",{"v":0.08,"d":"8.00%"}," ","Loan Rate =",{"v":0.08,"d":"8.00%"}]
[]
[{"$nulls":3}," "]

{"sheet":"OCI Sensitivity","index":2,"n_rows":42,"n_cols":11,"rows_kept":42,"flags":["formulas_cached_only"]}
["Warning:  This file is best viewed in Excel software rather than in a web browser.  "]
["Sensitivity Analysis of Overhedging and OCI"]
["Working Paper 288 Case on Foreign Currency Swap Valuation and Accounting"]
["Foreign Currency Hedge of Fixed-Rate Interest-Bearing Foreign Debt at Varying Loan Rates"]
{"$rows_empty":13}
["OCI Sensitivity Analysis Spreadsheet"]
[]
["When the 10.2% foreign currency swap leg remains constant, all of the hedged item's"]
["loan rates above 10.2% result in underhedging some of the FX risk.  However, when"]
["the hedged item's loan rate is less than 10% there is an overhedging that will decrease"]
["or increase earnings and create some earnings volatility."]
[]
["When there isunder hedging, all changes in the swap's value are debited or credited to"]
["Other Comprehensive Income (OCI).  However, when there is overhedging, the change"]
["in swap value due to overhedging must be charged to current earnings rather than OCI."]
[]
[null,null,"10.2% Swap Receivable"]
[null,null,"XZY Net","Swap's","Loss (Gain)","Loss (Gain)","Loss (Gain)","Loss (Gain)","Loss (Gain)","Loss (Gain)","Loss (Gain)"]
[null,null,"Swap","Estimated","From","From","From","From","From","From","From"]
[null,null,"Cash Flow","Value","Overhedge","Overhedge","Overhedge","Overhedge","Overhedge","Overhedge","Overhedge"]
[null,"2001-07-01",{"v":-4586.835599505575,"d":"($4,587)"},{"v":-3890.9935734162277,"d":"($3,891)"},{"v":1602.1738243478585,"d":"$1,602"},{"v":1220.7038661697966,"d":"$1,221"},{"v":839.2339079917351,"d":"$839"},{"v":457.7639498136737,"d":"$458"},{"v":0,"d":"$0"},{"v":0,"d":"$0"},{"v":0,"d":"$0"}]
[null,"2001-09-30",{"v":-3648.2630272953247,"d":"($3,648)"},{"v":4995.533161208478,"d":"$4,996"},{"v":-3659.158067198408,"d":"($3,659)"},{"v":-2787.929955960691,"d":"($2,788)"},{"v":-1916.701844722975,"d":"($1,917)"},{"v":-1045.4737334852591,"d":"($1,045)"},{"v":0,"d":"$0"},{"v":0,"d":"$0"},{"v":0,"d":"$0"}]
[null,"2001-12-31",{"v":-146.22641509436653,"d":"($146)"},{"v":5971.667987070307,"d":"$5,972"},{"v":-401.93786947251783,"d":"($402)"},{"v":-306.23837674096586,"d":"($306)"},{"v":-210.53888400941403,"d":"($211)"},{"v":-114.83939127786222,"d":"($115)"},{"v":0,"d":"$0"},{"v":0,"d":"$0"},{"v":0,"d":"$0"}]
[null,"2002-03-31",{"v":1477.8481012657867,"d":"$1,478"},{"v":9770.285343373751,"d":"$9,770"},{"v":-1564.1365584778885,"d":"($1,564)"},{"v":-1191.7230921736289,"d":"($1,192)"},{"v":-819.3096258693699,"d":"($819)"},{"v":-446.8961595651109,"d":"($447)"},{"v":0,"d":"$0"},{"v":0,"d":"$0"},{"v":0,"d":"$0"}]
[null,"2002-06-30",{"v":2330.518161036307,"d":"$2,331"},{"v":13790.695618547159,"d":"$13,791"},{"v":-1655.463054483168,"d":"($1,655)"},{"v":-1261.3051843681276,"d":"($1,261)"},{"v":-867.1473142530878,"d":"($867)"},{"v":-472.9894441380479,"d":"($473)"},{"v":0,"d":"$0"},{"v":0,"d":"$0"},{"v":0,"d":"$0"}]
[null,"2002-09-30",{"v":5056.981519507157,"d":"$5,057"},{"v":11736.5929898051,"d":"$11,737"},{"v":845.806964776142,"d":"$846"},{"v":644.4243541151556,"d":"$644"},{"v":443.0417434541695,"d":"$443"},{"v":241.65913279318337,"d":"$242"},{"v":0,"d":"$0"},{"v":0,"d":"$0"},{"v":0,"d":"$0"}]
[null,"2002-12-31",{"v":7156.856403622194,"d":"$7,157"},{"v":7646.45508407207,"d":"$7,646"},{"v":1684.1744317724238,"d":"$1,684"},{"v":1283.1805194456558,"d":"$1,283"},{"v":882.1866071188884,"d":"$882"},{"v":481.192694792121,"d":"$481"},{"v":0,"d":"$0"},{"v":0,"d":"$0"},{"v":0,"d":"$0"}]
[null,"2003-03-31",{"v":7498.704663212411,"d":"$7,499"},{"v":0,"d":"$0"},{"v":3148.5403287355584,"d":"$3,149"},{"v":2398.8878695128055,"d":"$2,399"},{"v":1649.2354102900538,"d":"$1,649"},{"v":899.5829510673021,"d":"$900"},{"v":0,"d":"$0"},{"v":0,"d":"$0"},{"v":0,"d":"$0"}]
[{"$nulls":3},"Overhedging Total =",{"v":0,"d":"$0"},{"v":0,"d":"$0"},{"v":0,"d":"$0"},{"v":0,"d":"$0"},{"v":0,"d":"$0"},{"v":0,"d":"$0"},{"v":0,"d":"$0"}]
[{"$nulls":3},"XYZ Loan Rate on DM20 Million Note =",{"v":0.06,"d":"6.00%"},{"v":0.07,"d":"7.00%"},{"v":0.08,"d":"8.00%"},{"v":0.09,"d":"9.00%"},{"v":0.102,"d":"10.20%"},{"v":0.11,"d":"11.00%"},{"v":0.12,"d":"12.00%"}]

{"sheet":"Earnings Sensitivity","index":3,"n_rows":61,"n_cols":9,"rows_kept":61,"flags":["formulas_cached_only"]}
["Warning:  This file is best viewed in Excel software rather than in a web browser.  "]
["Sensitivity Analysis of Overhedging and OCI"]
["Working Paper 288 Case on Foreign Currency Swap Valuation and Accounting"]
["Foreign Currency Hedge of Fixed-Rate Interest-Bearing Foreign Debt at Varying Loan Rates"]
{"$rows_empty":8}
["Change in Retained Earnings Resulting from a 10.2% Swap Receivable Hedge"]
[null,"10.2% Swap"]
[null,"XZY Net","Change in","Change in","Change in","Change in","Change in","Change in","Change in"]
[" ","Swap","Retained","Retained","Retained","Retained","Retained","Retained","Retained"]
[" ","Cash Flow","Earnings","Earnings","Earnings","Earnings","Earnings","Earnings","Earnings"]
["2001-07-01",{"v":-4586.835599505575,"d":"($4,587)"},{"v":152918.108776267,"d":"152,918 "},{"v":177639.98763906062,"d":"177,640 "},{"v":202361.86650185415,"d":"202,362 "},{"v":227083.74536464774,"d":"227,084 "},{"v":256750,"d":"256,750 "},{"v":276527.5030902349,"d":"276,528 "},{"v":301249.38195302844,"d":"301,249 "}]
["2001-09-30",{"v":-3648.2630272953247,"d":"($3,648)"},{"v":152531.63771712163,"d":"152,532 "},{"v":177345.53349875935,"d":"177,346 "},{"v":202159.42928039705,"d":"202,159 "},{"v":226973.32506203477,"d":"226,973 "},{"v":256750,"d":"256,750 "},{"v":276601.11662531015,"d":"276,601 "},{"v":301415.0124069479,"d":"301,415 "}]
["2001-12-31",{"v":-146.22641509436653,"d":"($146)"},{"v":151089.62264150946,"d":"151,090 "},{"v":176246.85534591202,"d":"176,247 "},{"v":201404.0880503145,"d":"201,404 "},{"v":226561.32075471702,"d":"226,561 "},{"v":256750,"d":"256,750 "},{"v":276875.78616352205,"d":"276,876 "},{"v":302033.0188679246,"d":"302,033 "}]
["2002-03-31",{"v":1477.8481012657867,"d":"$1,478"},{"v":150420.88607594938,"d":"150,421 "},{"v":175737.34177215197,"d":"175,737 "},{"v":201053.79746835446,"d":"201,054 "},{"v":226370.25316455698,"d":"226,370 "},{"v":256750,"d":"256,750 "},{"v":277003.16455696203,"d":"277,003 "},{"v":302319.62025316455,"d":"302,320 "}]
["2002-06-30",{"v":2330.518161036307,"d":"$2,331"},{"v":150069.7866395733,"d":"150,070 "},{"v":175469.83743967494,"d":"175,470 "},{"v":200869.8882397765,"d":"200,870 "},{"v":226269.9390398781,"d":"226,270 "},{"v":256750,"d":"256,750 "},{"v":277070.0406400813,"d":"277,070 "},{"v":302470.09144018294,"d":"302,470 "}]
["2002-09-30",{"v":5056.981519507157,"d":"$5,057"},{"v":148947.12525667355,"d":"148,947 "},{"v":174614.47638603701,"d":"174,614 "},{"v":200281.82751540045,"d":"200,282 "},{"v":225949.1786447639,"d":"225,949 "},{"v":256750,"d":"256,750 "},{"v":277283.8809034908,"d":"277,284 "},{"v":302951.2320328542,"d":"302,951 "}]
["2002-12-31",{"v":7156.856403622194,"d":"$7,157"},{"v":148082.47089262618,"d":"148,082 "},{"v":173955.6921086676,"d":"173,956 "},{"v":199828.91332470896,"d":"199,829 "},{"v":225702.13454075035,"d":"225,702 "},{"v":256750,"d":"256,750 "},{"v":277448.57697283314,"d":"277,449 "},{"v":303321.79818887456,"d":"303,322 "}]
["2003-03-31",{"v":7498.704663212411,"d":"$7,499"},{"v":147941.7098445596,"d":"147,942 "},{"v":173848.44559585498,"d":"173,848 "},{"v":199755.1813471503,"d":"199,755 "},{"v":225661.9170984456,"d":"225,662 "},{"v":256750,"d":"256,750 "},{"v":277475.3886010363,"d":"277,475 "},{"v":303382.1243523316,"d":"303,382 "}]
[null,null,{"v":1202001.34784428,"d":"$1,202,001"},{"v":1404858.1697861184,"d":"$1,404,858"},{"v":1607714.9917279563,"d":"$1,607,715"},{"v":1810571.8136697942,"d":"$1,810,572"},{"v":2054000,"d":"$2,054,000"},{"v":2216285.4575534705,"d":"$2,216,285"},{"v":2419142.2794953086,"d":"$2,419,142"}]
[null,"XYZ Loan Rate =",{"v":0.06,"d":"6.00%"},{"v":0.07,"d":"7.00%"},{"v":0.08,"d":"8.00%"},{"v":0.09,"d":"9.00%"},{"v":0.102,"d":"10.20%"},{"v":0.11,"d":"11.00%"},{"v":0.12,"d":"12.00%"}]
{"$rows_empty":18}
["Amount of Underhedging or Overhedging Under the 10.2% Swap Receivable Hedge"]
[]
[null,"10.2% Swap","Under or","Under or","Under or","Under or","Under or","Under or","Under or"]
[null,"XZY Net","(Over)","(Over)","(Over)","(Over)","(Over)","(Over)","(Over)"]
[" ","Swap","Hedged","Hedged","Hedged","Hedged","Hedged","Hedged","Hedged"]
[" ","Cash Flow","Amount","Amount","Amount","Amount","Amount","Amount","Amount"]
["2001-07-01",{"v":-4586.835599505575,"d":"($4,587)"},{"v":-103831.891223733,"d":"(103,832)"},{"v":-79110.01236093938,"d":"(79,110)"},{"v":-54388.13349814585,"d":"(54,388)"},{"v":-29666.254635352263,"d":"(29,666)"},{"v":0,"d":"0 "},{"v":19777.50309023488,"d":"19,778 "},{"v":44499.38195302844,"d":"44,499 "}]
["2001-09-30",{"v":-3648.2630272953247,"d":"($3,648)"},{"v":-104218.36228287837,"d":"(104,218)"},{"v":-79404.46650124065,"d":"(79,404)"},{"v":-54590.570719602954,"d":"(54,591)"},{"v":-29776.674937965232,"d":"(29,777)"},{"v":0,"d":"0 "},{"v":19851.116625310184,"d":"19,851 "},{"v":44665.012406947935,"d":"44,665 "}]
["2001-12-31",{"v":-146.22641509436653,"d":"($146)"},{"v":-105660.37735849054,"d":"(105,660)"},{"v":-80503.14465408798,"d":"(80,503)"},{"v":-55345.91194968551,"d":"(55,346)"},{"v":-30188.679245282983,"d":"(30,189)"},{"v":0,"d":"0 "},{"v":20125.786163522018,"d":"20,126 "},{"v":45283.01886792455,"d":"45,283 "}]
["2002-03-31",{"v":1477.8481012657867,"d":"$1,478"},{"v":-106329.11392405062,"d":"(106,329)"},{"v":-81012.65822784803,"d":"(81,013)"},{"v":-55696.20253164554,"d":"(55,696)"},{"v":-30379.746835443017,"d":"(30,380)"},{"v":0,"d":"0 "},{"v":20253.16455696203,"d":"20,253 "},{"v":45569.620253164554,"d":"45,570 "}]
["2002-06-30",{"v":2330.518161036307,"d":"$2,331"},{"v":-106680.21336042669,"d":"(106,680)"},{"v":-81280.16256032506,"d":"(81,280)"},{"v":-55880.11176022349,"d":"(55,880)"},{"v":-30480.06096012189,"d":"(30,480)"},{"v":0,"d":"0 "},{"v":20320.04064008128,"d":"20,320 "},{"v":45720.091440182936,"d":"45,720 "}]
["2002-09-30",{"v":5056.981519507157,"d":"$5,057"},{"v":-107802.87474332645,"d":"(107,803)"},{"v":-82135.52361396299,"d":"(82,136)"},{"v":-56468.17248459955,"d":"(56,468)"},{"v":-30800.821355236112,"d":"(30,801)"},{"v":0,"d":"0 "},{"v":20533.88090349079,"d":"20,534 "},{"v":46201.232032854256,"d":"46,201 "}]
["2002-12-31",{"v":7156.856403622194,"d":"$7,157"},{"v":-108667.52910737382,"d":"(108,668)"},{"v":-82794.3078913324,"d":"(82,794)"},{"v":-56921.08667529104,"d":"(56,921)"},{"v":-31047.865459249646,"d":"(31,048)"},{"v":0,"d":"0 "},{"v":20698.576972833136,"d":"20,699 "},{"v":46571.798188874556,"d":"46,572 "}]
["2003-03-31",{"v":7498.704663212411,"d":"$7,499"},{"v":-108808.2901554404,"d":"(108,808)"},{"v":-82901.55440414502,"d":"(82,902)"},{"v":-56994.8186528497,"d":"(56,995)"},{"v":-31088.082901554386,"d":"(31,088)"},{"v":0,"d":"0 "},{"v":20725.388601036277,"d":"20,725 "},{"v":46632.12435233162,"d":"46,632 "}]
[null,null,{"v":-851998.6521557199,"d":"($851,999)"},{"v":-649141.8302138814,"d":"($649,142)"},{"v":-446285.0082720436,"d":"($446,285)"},{"v":-243428.18633020553,"d":"($243,428)"},{"v":0,"d":"$0"},{"v":162285.4575534706,"d":"$162,285"},{"v":365142.2794953088,"d":"$365,142"}]
[null,"XYZ Loan Rate =",{"v":0.06,"d":"6.00%"},{"v":0.07,"d":"7.00%"},{"v":0.08,"d":"8.00%"},{"v":0.09,"d":"9.00%"},{"v":0.102,"d":"10.20%"},{"v":0.11,"d":"11.00%"},{"v":0.12,"d":"12.00%"}]