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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, 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 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 $20 million pay off."]
[]
["XYZ enters into a currency swap with ABC Bank"]
["On July 1, 20X1, ABC Bank enters into a two-year pay-fixed German DM 10.25%, receive-fixed "]
["US$ 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 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, 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,"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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["Note:  The key parameter to vary for alternate solutions is in Cell G68  ",{"$nulls":7}," "," ",{"$nulls":4},"Totals",{"$nulls":3}," ",{"$nulls":4},0,0,null,0.0015967539760723044,null," ","Swap Value",null,null,{"v":1.1416242263859198,"d":"1.141624"}]
[" 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":0.016625,"d":"1.6625%"},{"v":170687.88501026694,"d":"$170,688"},{"v":-86062.11498973306,"d":"($86,062)"},{"v":-147046.2133718499,"d":"($147,046)"},{"v":-5774.803525470226,"d":"($5,775)"},{"v":205338.8090349076,"d":"$205,339"},"2002-12-31",{"v":0.06222111747304339,"d":"6.22%"},{"v":0.015555279368260847,"d":"1.556%"},{"v":0.017036908259933092,"d":"1.704%"},1.9875,{"v":156531.11313973178,"d":"$156,531"},{"v":256750,"d":"$256,750"},{"v":171440.58626347766,"d":"$171,441"},{"v":71221.69940320944,"d":"$71,222"},{"v":-100218.88686026822,"d":"$(100,219)"},{"v":-92775.16464761343,"d":"$(92,775)"},{"$nulls":5},{"v":5,"d":"5.00"},{"v":1.0802339962524257,"d":"1.0802"}]
[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":0.016625,"d":"1.6625%"},{"v":172056.92108667528,"d":"$172,057"},{"v":-84693.07891332472,"d":"($84,693)"},{"v":-84919.02412044791,"d":"($84,919)"},{"v":-3775.4115283222463,"d":"($3,775)"},{"v":206985.76972833116,"d":"$206,986"},"2003-03-31",{"v":0.06370139684130424,"d":"6.37%"},{"v":0.01592534921032606,"d":"1.593%"},{"v":0.01777772221368612,"d":"1.778%"},{"v":1.985,"d":"1.9850"},{"v":160456.91899572854,"d":"$160,457"},{"v":256750,"d":"$256,750"},{"v":179120.6268381473,"d":"$179,121"},{"v":82827.54583387583,"d":"$82,828"},{"v":-96293.08100427146,"d":"$(96,293)"},{"v":-87583.90430555388,"d":"$(87,584)"},{"$nulls":5},{"v":6,"d":"6.00"},{"v":1.0994380961635815,"d":"1.0994"}]
[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":0.016625,"d":"1.6625%"},{"v":172279.792746114,"d":"$172,280"},{"v":-84470.20725388601,"d":"($84,470)"},{"v":0,"d":"$0"},{"v":0,"d":"$0"},{"v":207253.8860103627,"d":"$207,254"},"2003-06-30",{"v":0.0651816762095651,"d":"6.52%"},{"v":0.016295419052391274,"d":"1.630%"},{"v":0.01851867072643021,"d":"1.852%"},1.9825,{"v":164392.62600142523,"d":"$164,393"},{"v":256750,"d":"$256,750"},{"v":186821.39446587855,"d":"$186,821"},{"v":94464.02046730378,"d":"$94,464"},{"v":-92357.37399857477,"d":"$(92,357)"},{"v":-82476.79954170459,"d":"$(82,477)"},{"$nulls":5},{"v":7,"d":"7.00"},{"v":1.119798228250528,"d":"1.1198"}]
[{"$nulls":13}," ","Totals",{"$nulls":8},{"v":-846994.3376335894,"d":"$(846,994)"},{"v":-687668.6909659023,"d":"$(687,669)"},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",{"$nulls":10},"2001-07-01"]
["2001-07-01",{"v":197775.03090234858,"d":"197,775 "},{"v":-92349.50556242274,"d":"(92,350)"},{"v":290124.5364647713,"d":"290,125 "},{"$nulls":10},"2001-09-30",{"v":0.0556,"d":"5.56%"},{"v":0.0139,"d":"1.390%"},{"v":0.0139,"d":"1.390%"},{"v":2,"d":"2.0000"},{"v":139000,"d":"$139,000"},{"v":256750,"d":"$256,750"},{"v":139000,"d":"$139,000"},{"v":21250,"d":"$21,250"},{"v":-117750,"d":"$(117,750)"},0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
["2001-09-30",{"v":198511.16625310172,"d":"198,511 "},{"v":-91737.59305210918,"d":"(91,738)"},{"v":290248.7593052109,"d":"290,249 "},{"$nulls":10},"2001-12-31",{"v":0.0563,"d":"5.63%"},{"v":0.014075,"d":"1.408%"},{"v":0.014075,"d":"1.408%"},1.9985,{"v":140855.64173129847,"d":"$140,856"},{"v":256750,"d":"$256,750"},{"v":140855.64173129847,"d":"$140,856"},{"v":24961.28346259694,"d":"$24,961"},{"v":-115894.35826870153,"d":"$(115,894)"},0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
["2001-12-31",{"v":201257.86163522012,"d":"201,258 "},{"v":-89454.40251572328,"d":"(89,454)"},{"v":290712.2641509434,"d":"290,712 "},{"$nulls":10},"2002-03-31",{"v":0.0556,"d":"5.56%"},{"v":0.0139,"d":"1.390%"},{"v":0.0139,"d":"1.390%"},1.9875,{"v":139874.21383647798,"d":"$139,874"},{"v":256750,"d":"$256,750"},{"v":139874.21383647798,"d":"$139,874"},{"v":22998.427672955964,"d":"$22,998"},{"v":-116875.78616352202,"d":"$(116,876)"},{"v":-115273.48472583294,"d":"$(115,273)"},{"$nulls":6},{"v":1,"d":"1.00"},1.0139]
["2002-03-31",{"v":202531.64556962025,"d":"202,532 "},{"v":-88395.56962025317,"d":"(88,396)"},{"v":290927.2151898734,"d":"290,927 "},{"$nulls":10},"2002-06-30",{"v":0.05676489472219024,"d":"5.68%"},{"v":0.01419122368054756,"d":"1.419%"},{"v":0.01448253100961261,"d":"1.448%"},1.9825,{"v":143164.92994247226,"d":"$143,165"},{"v":256750,"d":"$256,750"},{"v":146103.71762534787,"d":"$146,104"},{"v":32518.647567820124,"d":"$32,519"},{"v":-113585.07005752774,"d":"$(113,585)"},{"v":-110428.5969117813,"d":"$(110,429)"},{"$nulls":6},{"v":2,"d":"2.00"},{"v":1.0285838381906462,"d":"1.0286"}]
["2002-06-30",{"v":203200.40640081282,"d":"203,200 "},{"v":-87839.66217932434,"d":"(87,840)"},{"v":291040.06858013716,"d":"291,040 "},{"$nulls":10},"2002-09-30",{"v":0.057929789444380486,"d":"5.79%"},{"v":0.014482447361095122,"d":"1.448%"},{"v":0.01506514561969774,"d":"1.507%"},{"v":1.98,"d":"1.9800"},{"v":146287.3470817689,"d":"$146,287"},{"v":256750,"d":"$256,750"},{"v":152173.18807775495,"d":"$152,173"},{"v":41710.53515952386,"d":"$41,711"},{"v":-110462.65291823109,"d":"$(110,463)"},{"v":-105799.07178385385,"d":"$(105,799)"},{"$nulls":6},{"v":3,"d":"3.00"},{"v":1.044079603495056,"d":"1.0441"}]
["2002-09-30",{"v":205338.8090349076,"d":"205,339 "},{"v":-86062.11498973306,"d":"(86,062)"},{"v":291400.9240246407,"d":"291,401 "},{"$nulls":10},"2002-12-31",{"v":0.05909468416657073,"d":"5.91%"},{"v":0.014773671041642683,"d":"1.477%"},{"v":0.0156478437822416,"d":"1.565%"},1.9775,{"v":149417.65908108908,"d":"$149,418"},{"v":256750,"d":"$256,750"},{"v":158258.84988360657,"d":"$158,259"},{"v":50926.50896469565,"d":"$50,927"},{"v":-107332.34091891092,"d":"$(107,332)"},{"v":-101217.08806556078,"d":"$(101,217)"},{"$nulls":6},{"v":4,"d":"4.00"},{"v":1.0604171980267714,"d":"1.0604"}]
["2002-12-31",{"v":206985.76972833116,"d":"206,986 "},{"v":-84693.07891332472,"d":"(84,693)"},{"v":291678.8486416559,"d":"291,679 "},{"$nulls":10},"2003-03-31",{"v":0.060259578888760976,"d":"6.03%"},{"v":0.015064894722190244,"d":"1.506%"},{"v":0.01623062544927034,"d":"1.623%"},{"v":1.975,"d":"1.9750"},{"v":152555.89592091384,"d":"$152,556"},{"v":256750,"d":"$256,750"},{"v":164360.76404324395,"d":"$164,361"},{"v":60166.65996415779,"d":"$60,167"},{"v":-104194.10407908616,"d":"$(104,194)"},{"v":-96688.33982804559,"d":"$(96,688)"},{"$nulls":6},{"v":5,"d":"5.00"},{"v":1.0776284323879086,"d":"1.0776"}]
["2003-03-31",{"v":207253.8860103627,"d":"207,254 "},{"v":-84470.20725388601,"d":"(84,470)"},{"v":291724.0932642487,"d":"291,724 "},{"$nulls":10},"2003-06-30",{"v":0.06142447361095122,"d":"6.14%"},{"v":0.015356118402737805,"d":"1.536%"},{"v":0.016813490572837875,"d":"1.681%"},1.9725,{"v":155702.08773371665,"d":"$155,702"},{"v":256750,"d":"$256,750"},{"v":170478.9918665437,"d":"$170,479"},{"v":69431.07960026036,"d":"$69,431"},{"v":-101047.91226628335,"d":"$(101,048)"},{"v":-92218.2770965354,"d":"$(92,218)"},{"$nulls":6},{"v":6,"d":"6.00"},{"v":1.0957471278768847,"d":"1.0957"}]
["Total =",{"v":1622854.5755347048,"d":"$1,622,855"},{"v":-705002.1340867765,"d":"($705,002)"},{"v":2327856.7096214816,"d":"$2,327,857"}," ",{"$nulls":9},"Totals",{"$nulls":8},{"v":-887142.2246722628,"d":"$(887,142)"},{"v":-621624.8584116099,"d":"$(621,625)"},null,{"v":0.001164894722190242,"d":"0.001165"},null,"= Dec 31 Swap Value"]
[{"$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":0.0556,"d":"5.56%"},{"v":0.0139,"d":"1.390%"},{"v":0.0139,"d":"1.390%"},{"v":2,"d":"2.0000"},{"v":139000,"d":"$139,000"},{"v":256750,"d":"$256,750"},{"v":139000,"d":"$139,000"},{"v":21250,"d":"$21,250"},{"v":-117750,"d":"$(117,750)"},0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
["Answer:",{"$nulls":13},"2001-12-31",{"v":0.0563,"d":"5.63%"},{"v":0.014075,"d":"1.408%"},{"v":0.014075,"d":"1.408%"},1.9985,{"v":140855.64173129847,"d":"$140,856"},{"v":256750,"d":"$256,750"},{"v":140855.64173129847,"d":"$140,856"},{"v":24961.28346259694,"d":"$24,961"},{"v":-115894.35826870153,"d":"$(115,894)"},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":0.0556,"d":"5.56%"},{"v":0.0139,"d":"1.390%"},{"v":0.0139,"d":"1.390%"},1.9875,{"v":139874.21383647798,"d":"$139,874"},{"v":256750,"d":"$256,750"},{"v":139874.21383647798,"d":"$139,874"},{"v":22998.427672955964,"d":"$22,998"},{"v":-116875.78616352202,"d":"$(116,876)"},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":0.0547,"d":"5.47%"},{"v":0.013675,"d":"1.368%"},{"v":0.013675,"d":"1.368%"},1.9825,{"v":137957.12484237074,"d":"$137,957"},{"v":256750,"d":"$256,750"},{"v":137957.12484237074,"d":"$137,957"},{"v":19164.249684741488,"d":"$19,164"},{"v":-118792.87515762926,"d":"$(118,793)"},{"v":-117190.29783473919,"d":"$(117,190)"},{"$nulls":6},{"v":1,"d":"1.00"},{"v":1.013675,"d":"1.0137"}]
["for DM200,000 quarterly payments provides more German marks that are needed",{"$nulls":13},"2002-09-30",{"v":0.0558739002304177,"d":"5.59%"},{"v":0.013968475057604426,"d":"1.397%"},{"v":0.014262035080912172,"d":"1.426%"},1.9815,{"v":140988.89788144766,"d":"$140,989"},{"v":256750,"d":"$256,750"},{"v":143951.905939058,"d":"$143,952"},{"v":28190.80382050565,"d":"$28,191"},{"v":-115761.10211855234,"d":"$(115,761)"},{"v":-112593.61095263151,"d":"$(112,594)"},{"$nulls":6},{"v":2,"d":"2.00"},{"v":1.0281320684106436,"d":"1.0281"}]
["to hedge the note's interest payments.  This results in a swap speculation based upon the",{"$nulls":13},"2002-12-31",{"v":0.05704780046083541,"d":"5.70%"},{"v":0.014261950115208852,"d":"1.426%"},{"v":0.014849155078337395,"d":"1.485%"},{"v":1.975,"d":"1.9750"},{"v":144424.8112932542,"d":"$144,425"},{"v":256750,"d":"$256,750"},{"v":150371.1906667078,"d":"$150,371"},{"v":38046.001959961985,"d":"$38,046"},{"v":-112325.1887067458,"d":"$(112,325)"},{"v":-107653.15369495662,"d":"$(107,653)"},{"$nulls":6},{"v":3,"d":"3.00"},{"v":1.043398960935485,"d":"1.0434"}]
["2.2% = 10.2% - 8.00% excess fixed rate on the receiving leg of the swap.",{"$nulls":13},"2003-03-31",{"v":0.05822170069125311,"d":"5.82%"},{"v":0.014555425172813278,"d":"1.456%"},{"v":0.015436359943120204,"d":"1.544%"},1.9725,{"v":147583.52519962765,"d":"$147,584"},{"v":256750,"d":"$256,750"},{"v":156515.69017105404,"d":"$156,516"},{"v":47349.21537068169,"d":"$47,349"},{"v":-109166.47480037235,"d":"$(109,166)"},{"v":-103035.33232701398,"d":"$(103,035)"},{"$nulls":6},{"v":4,"d":"4.00"},{"v":1.0595052428607628,"d":"1.0595"}]
[{"$nulls":14},"2003-06-30",{"v":0.059395600921670816,"d":"5.94%"},{"v":0.014848900230417704,"d":"1.485%"},{"v":0.016023649626140335,"d":"1.602%"},{"v":1.97,"d":"1.9700"},{"v":150750.25614637262,"d":"$150,750"},{"v":256750,"d":"$256,750"},{"v":162676.64595066328,"d":"$162,677"},{"v":56676.9020970359,"d":"$56,677"},{"v":-105999.74385362738,"d":"$(106,000)"},{"v":-98468.62843614195,"d":"$(98,469)"},{"$nulls":6},{"v":5,"d":"5.00"},{"v":1.0764823836494224,"d":"1.0765"}]
["There are two ways to hedge only the note interest.  Either the note interest rate",{"$nulls":13},"Totals",{"$nulls":8},{"v":-912565.5290691506,"d":"$(912,566)"},{"v":-538941.0232454833,"d":"$(538,941)"},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":0.0556,"d":"5.56%"},{"v":0.0139,"d":"1.390%"},{"v":0.0139,"d":"1.390%"},{"v":2,"d":"2.0000"},{"v":139000,"d":"$139,000"},{"v":256750,"d":"$256,750"},{"v":139000,"d":"$139,000"},{"v":21250,"d":"$21,250"},{"v":-117750,"d":"$(117,750)"},0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
[{"$nulls":14},"2001-12-31",{"v":0.0563,"d":"5.63%"},{"v":0.014075,"d":"1.408%"},{"v":0.014075,"d":"1.408%"},1.9985,{"v":140855.64173129847,"d":"$140,856"},{"v":256750,"d":"$256,750"},{"v":140855.64173129847,"d":"$140,856"},{"v":24961.28346259694,"d":"$24,961"},{"v":-115894.35826870153,"d":"$(115,894)"},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":0.0556,"d":"5.56%"},{"v":0.0139,"d":"1.390%"},{"v":0.0139,"d":"1.390%"},1.9875,{"v":139874.21383647798,"d":"$139,874"},{"v":256750,"d":"$256,750"},{"v":139874.21383647798,"d":"$139,874"},{"v":22998.427672955964,"d":"$22,998"},{"v":-116875.78616352202,"d":"$(116,876)"},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":0.0547,"d":"5.47%"},{"v":0.013675,"d":"1.368%"},{"v":0.013675,"d":"1.368%"},1.9825,{"v":137957.12484237074,"d":"$137,957"},{"v":256750,"d":"$256,750"},{"v":137957.12484237074,"d":"$137,957"},{"v":19164.249684741488,"d":"$19,164"},{"v":-118792.87515762926,"d":"$(118,793)"},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":0.0675,"d":"6.75%"},{"v":0.016875,"d":"1.688%"},{"v":0.016875,"d":"1.688%"},{"v":1.975,"d":"1.9750"},{"v":170886.07594936708,"d":"$170,886"},{"v":256750,"d":"$256,750"},{"v":170886.07594936708,"d":"$170,886"},{"v":85022.15189873416,"d":"$85,022"},{"v":-85863.92405063292,"d":"$(85,864)"},{"v":-84439.01566134769,"d":"$(84,439)"},{"$nulls":6},{"v":1,"d":"1.00"},{"v":1.016875,"d":"1.0169"}]
[null,"Spot DM/$","Interest","Interest","Interest","Rec. Leg",0.1027,"Swap","Due to","Due to","Hedged",{"$nulls":3},"2002-12-31",{"v":0.0686740490940519,"d":"6.87%"},{"v":0.017168512273512977,"d":"1.717%"},{"v":0.017462109266834114,"d":"1.746%"},1.9725,{"v":174078.70492788823,"d":"$174,079"},{"v":256750,"d":"$256,750"},{"v":177055.60726827997,"d":"$177,056"},{"v":94384.3121961682,"d":"$94,384"},{"v":-82671.29507211177,"d":"$(82,671)"},{"v":-79904.07455247632,"d":"$(79,904)"},{"$nulls":6},{"v":2,"d":"2.00"},{"v":1.0346317823607118,"d":"1.0346"}]
["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":0.06984809818810381,"d":"6.98%"},{"v":0.017462024547025952,"d":"1.746%"},{"v":0.018049303204575873,"d":"1.805%"},1.9675,{"v":177504.69679314818,"d":"$177,505"},{"v":256750,"d":"$256,750"},{"v":183474.4925496912,"d":"$183,474"},{"v":104229.18934283938,"d":"$104,229"},{"v":-79245.30320685182,"d":"$(79,245)"},{"v":-75234.82329461604,"d":"$(75,235)"},{"$nulls":6},{"v":3,"d":"3.00"},{"v":1.053306165105631,"d":"1.0533"}]
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[" ",{"$nulls":6},"Swap loss (gain) =",{"v":705002.1340867765,"d":"$705,002"},{"v":431145.42446529504,"d":"$431,145"},{"v":273856.7096214815,"d":"$273,857"}," ",null,null,"2002-12-31",{"v":0.0686,"d":"6.86%"},{"v":0.01715,"d":"1.715%"},{"v":0.01715,"d":"1.715%"},1.9685,{"v":174244.348488697,"d":"$174,244"},{"v":256750,"d":"$256,750"},{"v":174244.348488697,"d":"$174,244"},{"v":91738.69697739399,"d":"$91,739"},{"v":-82505.651511303,"d":"$(82,506)"},0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
[{"$nulls":7},"Change in RE =",{"v":2327856.7096214816,"d":"$2,327,857"},{"v":2054000,"d":"$2,054,000"},{"v":-431145.42446529504,"d":"($431,145)"},{"$nulls":3},"2003-03-31",{"v":0.0697,"d":"6.97%"},{"v":0.017425,"d":"1.743%"},{"v":0.017425,"d":"1.743%"},{"v":1.948,"d":"1.9480"},{"v":178901.43737166325,"d":"$178,901"},{"v":256750,"d":"$256,750"},{"v":178901.43737166325,"d":"$178,901"},{"v":101052.87474332651,"d":"$101,053"},{"v":-77848.56262833675,"d":"$(77,849)"},{"v":-76515.28380798265,"d":"$(76,515)"},{"$nulls":6},{"v":1,"d":"1.00"},{"v":1.017425,"d":"1.0174"}]
[{"$nulls":7},"Deviation of  the actual hedge from matched hedge =",{"v":-273856.7096214815,"d":"($273,857)"},{"$nulls":5},"2003-06-30",{"v":0.07099738113265364,"d":"7.10%"},{"v":0.01774934528316341,"d":"1.775%"},{"v":0.018073793964476614,"d":"1.807%"},1.9325,{"v":183693.0947804751,"d":"$183,693"},{"v":256750,"d":"$256,750"},{"v":187050.90778242293,"d":"$187,051"},{"v":113994.00256289804,"d":"$113,994"},{"v":-73056.9052195249,"d":"$(73,057)"},{"v":-70530.92956386728,"d":"$(70,531)"},{"$nulls":6},{"v":2,"d":"2.00"},{"v":1.0358137298243077,"d":"1.0358"}]
[{"$nulls":7},"Matched hedge outcome =",{"v":2054000,"d":"$2,054,000"},null,"if the hedged note rate =",{"v":0.0665,"d":"6.65%"},"instead of",{"v":0.08,"d":"8.00%"},"Totals",{"$nulls":8},{"v":-788588.0629996503,"d":"$(788,588)"},{"v":-147046.2133718499,"d":"$(147,046)"},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":0.0556,"d":"5.56%"},{"v":0.0139,"d":"1.390%"},{"v":0.0139,"d":"1.390%"},{"v":2,"d":"2.0000"},{"v":139000,"d":"$139,000"},{"v":256750,"d":"$256,750"},{"v":139000,"d":"$139,000"},{"v":21250,"d":"$21,250"},{"v":-117750,"d":"$(117,750)"},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":0.0563,"d":"5.63%"},{"v":0.014075,"d":"1.408%"},{"v":0.014075,"d":"1.408%"},1.9985,{"v":140855.64173129847,"d":"$140,856"},{"v":256750,"d":"$256,750"},{"v":140855.64173129847,"d":"$140,856"},{"v":24961.28346259694,"d":"$24,961"},{"v":-115894.35826870153,"d":"$(115,894)"},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":0.0556,"d":"5.56%"},{"v":0.0139,"d":"1.390%"},{"v":0.0139,"d":"1.390%"},1.9875,{"v":139874.21383647798,"d":"$139,874"},{"v":256750,"d":"$256,750"},{"v":139874.21383647798,"d":"$139,874"},{"v":22998.427672955964,"d":"$22,998"},{"v":-116875.78616352202,"d":"$(116,876)"},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":0.0547,"d":"5.47%"},{"v":0.013675,"d":"1.368%"},{"v":0.013675,"d":"1.368%"},1.9825,{"v":137957.12484237074,"d":"$137,957"},{"v":256750,"d":"$256,750"},{"v":137957.12484237074,"d":"$137,957"},{"v":19164.249684741488,"d":"$19,164"},{"v":-118792.87515762926,"d":"$(118,793)"},0,{"$nulls":7},0,{"v":1,"d":"1.0000"}]
[{"$nulls":14},"2002-09-30",{"v":0.0675,"d":"6.75%"},{"v":0.016875,"d":"1.688%"},{"v":0.016875,"d":"1.688%"},{"v":1.975,"d":"1.9750"},{"v":170886.07594936708,"d":"$170,886"},{"v":256750,"d":"$256,750"},{"v":170886.07594936708,"d":"$170,886"},{"v":85022.15189873416,"d":"$85,022"},{"v":-85863.92405063292,"d":"$(85,864)"},0,{"$nulls":7},0,{"v":1,"d":"1.0000"}]
["Students may change any value in blue shown below.",{"$nulls":13},"2002-12-31",{"v":0.0686,"d":"6.86%"},{"v":0.01715,"d":"1.715%"},{"v":0.01715,"d":"1.715%"},1.9685,{"v":174244.348488697,"d":"$174,244"},{"v":256750,"d":"$256,750"},{"v":174244.348488697,"d":"$174,244"},{"v":91738.69697739399,"d":"$91,739"},{"v":-82505.651511303,"d":"$(82,506)"},0,{"$nulls":7},0,{"v":1,"d":"1.0000"}]
[{"$nulls":14},"2003-03-31",{"v":0.0697,"d":"6.97%"},{"v":0.017425,"d":"1.743%"},{"v":0.017425,"d":"1.743%"},{"v":1.948,"d":"1.9480"},{"v":178901.43737166325,"d":"$178,901"},{"v":256750,"d":"$256,750"},{"v":178901.43737166325,"d":"$178,901"},{"v":101052.87474332651,"d":"$101,053"},{"v":-77848.56262833675,"d":"$(77,849)"},0,{"$nulls":7},0,{"v":1,"d":"1.0000"}]
[null,"DM/$","DM/$","DM/$","DM/$","DM/$","DM/$","DM/$","DM/$",{"$nulls":5},"2003-06-30",{"v":0.06570312218797021,"d":"6.57%"},{"v":0.016425780546992553,"d":"1.643%"},{"v":0.016425780546992553,"d":"1.643%"},1.9275,{"v":170436.11462508485,"d":"$170,436"},{"v":256750,"d":"$256,750"},{"v":170436.11462508485,"d":"$170,436"},{"v":84122.22925016971,"d":"$84,122"},{"v":-86313.88537491515,"d":"$(86,314)"},{"v":-84919.02412044791,"d":"$(84,919)"},{"$nulls":7},{"v":1,"d":"1.00"},{"v":1.0164257805469925,"d":"1.0164"}]
[null,"Ex Post","Ex Ante","Ex Ante","Ex Ante","Ex Ante","Ex Ante","Ex Ante","Ex Ante",{"$nulls":5},"Totals",{"$nulls":8},{"v":-801845.0431550406,"d":"$(801,845)"},{"v":-84919.02412044791,"d":"$(84,919)"},{"$nulls":3},{"$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",{"$nulls":3},{"v":197775.03090234858,"d":"197,775 "},{"v":197775.03090234858,"d":"197,775 "},"2001-09-30"]
[null,"Cash",{"$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",{"$nulls":3},{"v":92349.50556242274,"d":"92,350 "},{"v":290124.5364647713,"d":"290,125 "},"2001-09-30"]
[null,"Cash",{"$nulls":3},{"v":-92349.50556242274,"d":"(92,350)"},{"v":9709875.463535229,"d":"9,709,875 "}]
[null,"-To record swap receipt (payment)"]
[{"$nulls":3}," "]
["2001-09-30","Foreign currency swaps receivable/payable",{"$nulls":3},{"v":-687668.6909659023,"d":"(687,669)"},{"v":-687668.6909659023,"d":"(687,669)"},"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":687668.6909659023,"d":"687,669 "},{"v":687668.6909659023,"d":"687,669 "}]
[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}," "]
[]
["2001-09-30","Retained earnings",{"$nulls":3},{"v":290124.5364647713,"d":"290,125 "},{"v":290124.5364647713,"d":"290,125 "},"2001-09-30"]
[null,"Interest expense/revenue",{"$nulls":3},{"v":-290124.5364647713,"d":"(290,125)"},{"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":198511.16625310172,"d":"198,511 "},{"v":198511.16625310172,"d":"198,511 "},"2001-12-31"]
[null,"Cash",{"$nulls":3},{"v":-198511.16625310172,"d":"(198,511)"},{"v":9511364.297282128,"d":"9,511,364 "}]
[null,"-To record payment on German mark note"]
[]
["2001-12-31","Interest expense/revenue",{"$nulls":3},{"v":91737.59305210918,"d":"91,738 "},{"v":290248.7593052109,"d":"290,249 "},"2001-12-31"]
[null,"Cash",{"$nulls":3},{"v":-91737.59305210918,"d":"(91,738)"},{"v":9419626.704230018,"d":"9,419,627 "}]
[null,"-To record swap receipt (payment)"]
[{"$nulls":3}," "]
["2001-12-31","Foreign currency swaps receivable/payable",{"$nulls":3},{"v":66043.8325542924,"d":"66,044 "},{"v":-621624.8584116099,"d":"(621,625)"},"2001-12-31"]
[null,"Accrued interest on swap",{"$nulls":3},{"v":-17655.89364054954,"d":"(17,656)"},{"v":-17655.89364054954,"d":"(17,656)"}]
[null,"OCI adjusted for changes in the swap valuation",{"$nulls":3},{"v":-48387.93891374286,"d":"(48,388)"},{"v":639280.7520521594,"d":"639,281 "}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":0,"d":"0 "},{"v":0,"d":"0 "}]
[null,"-To record change in swap's fairvalue",{"$nulls":3},{"v":0,"d":"0 "},{"v":0,"d":"0 "}]
[]
["2001-12-31","Retained earnings",{"$nulls":3},{"v":290248.7593052109,"d":"290,249 "},{"v":580373.2957699823,"d":"580,373 "},"2001-12-31"]
[null,"Interest expense/revenue",{"$nulls":3},{"v":-290248.7593052109,"d":"(290,249)"},{"v":0,"d":"0 "}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":0,"d":"0 "},{"v":0,"d":"0 "}]
[null,"-To close expense and revenue accounts"]
[]
[]
[{"$nulls":5},"Debit"]
[{"$nulls":5},"(Credit)","Balance"]
["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":9218368.842594799,"d":"9,218,369 "}]
[null,"-To record payment on German mark note"]
[]
["2002-03-31","Interest expense/revenue",{"$nulls":3},{"v":89454.40251572328,"d":"89,454 "},{"v":290712.2641509434,"d":"290,712 "},"2002-03-31"]
[null,"Cash",{"$nulls":3},{"v":-89454.40251572328,"d":"(89,454)"},{"v":9128914.440079076,"d":"9,128,914 "}]
[null,"-To record swap receipt (payment)"]
[{"$nulls":3}," "]
["2002-03-31","Foreign currency swaps receivable/payable",{"$nulls":3},{"v":82683.8351661266,"d":"82,684 "},{"v":-538941.0232454833,"d":"(538,941)"},"2002-03-31"]
[null,"Accrued interest on swap",{"$nulls":3},{"v":1695.6754008314565,"d":"1,696 "},{"v":-15960.218239718084,"d":"(15,960)"}]
[null,"OCI adjusted for changes in the swap valuation",{"$nulls":3},{"v":-84379.51056695807,"d":"(84,380)"},{"v":554901.2414852014,"d":"554,901 "}]
[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",{"$nulls":3},{"v":290712.2641509434,"d":"290,712 "},{"v":871085.5599209256,"d":"871,086 "},"2002-03-31"]
[null,"Interest expense/revenue",{"$nulls":3},{"v":-290712.2641509434,"d":"(290,712)"},{"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":202531.64556962025,"d":"202,532 "},{"v":202531.64556962025,"d":"202,532 "},"2002-06-30"]
[null,"Cash",{"$nulls":3},{"v":-202531.64556962025,"d":"(202,532)"},{"v":8926382.794509456,"d":"8,926,383 "}]
[null,"-To record payment on German mark note"]
[]
["2002-06-30","Interest expense/revenue",{"$nulls":3},{"v":88395.56962025317,"d":"88,396 "},{"v":290927.2151898734,"d":"290,927 "},"2002-06-30"]
[null,"Cash",{"$nulls":3},{"v":-88395.56962025317,"d":"(88,396)"},{"v":8837987.224889202,"d":"8,837,987 "}]
[null,"-To record swap receipt (payment)"]
[{"$nulls":3}," "]
["2002-06-30","Foreign currency swaps receivable/payable",{"$nulls":3},{"v":229795.198213602,"d":"229,795 "},{"v":-309145.8250318813,"d":"(309,146)"},"2002-06-30"]
[null,"Accrued interest on swap",{"$nulls":3},{"v":2122.9074678903,"d":"2,123 "},{"v":-13837.310771827784,"d":"(13,837)"}]
[null,"OCI adjusted for changes in the swap valuation",{"$nulls":3},{"v":-231918.1056814923,"d":"(231,918)"},{"v":322983.13580370904,"d":"322,983 "}]
[null,"Loss (gain) on swap overhedging",{"$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":290927.2151898734,"d":"290,927 "},{"v":1162012.7751107991,"d":"1,162,013 "},"2002-06-30"]
[null,"Interest expense/revenue",{"$nulls":3},{"v":-290927.2151898734,"d":"(290,927)"},{"v":0,"d":"0 "}]
[null,"Loss (gain) on swap overhedging",{"$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",{"$nulls":3},{"v":203200.40640081282,"d":"203,200 "},{"v":203200.40640081282,"d":"203,200 "},"2002-09-30"]
[null,"Cash",{"$nulls":3},{"v":-203200.40640081282,"d":"(203,200)"},{"v":8634786.81848839,"d":"8,634,787 "}]
[null,"-To record payment on German mark note"]
[]
["2002-09-30","Interest expense/revenue",{"$nulls":3},{"v":87839.66217932434,"d":"87,840 "},{"v":291040.06858013716,"d":"291,040 "},"2002-09-30"]
[null,"Cash",{"$nulls":3},{"v":-87839.66217932434,"d":"(87,840)"},{"v":8546947.156309064,"d":"8,546,947 "}]
[null,"-To record swap receipt (payment)"]
[{"$nulls":3}," "]
["2002-09-30","Foreign currency swaps receivable/payable",{"$nulls":3},{"v":84226.505636741,"d":"84,227 "},{"v":-224919.31939514028,"d":"(224,919)"},"2002-09-30"]
[null,"Accrued interest on swap",{"$nulls":3},{"v":5899.991714134232,"d":"5,900 "},{"v":-7937.319057693552,"d":"(7,937)"}]
[null,"OCI adjusted for changes in the swap valuation",{"$nulls":3},{"v":-90126.49735087523,"d":"(90,126)"},{"v":232856.63845283384,"d":"232,857 "}]
[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",{"$nulls":3},{"v":291040.06858013716,"d":"291,040 "},{"v":1453052.8436909362,"d":"1,453,053 "},"2002-09-30"]
[null,"Interest expense/revenue",{"$nulls":3},{"v":-291040.06858013716,"d":"(291,040)"},{"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":205338.8090349076,"d":"205,339 "},{"v":205338.8090349076,"d":"205,339 "},"2002-12-31"]
[null,"Cash",{"$nulls":3},{"v":-205338.8090349076,"d":"(205,339)"},{"v":8341608.347274157,"d":"8,341,608 "}]
[null,"-To record payment on German mark note"]
[]
["2002-12-31","Interest expense/revenue",{"$nulls":3},{"v":86062.11498973306,"d":"86,062 "},{"v":291400.9240246407,"d":"291,401 "},"2002-12-31"]
[null,"Cash",{"$nulls":3},{"v":-86062.11498973306,"d":"(86,062)"},{"v":8255546.232284424,"d":"8,255,546 "}]
[null,"-To record swap receipt (payment)"]
[{"$nulls":3}," "]
["2002-12-31","Foreign currency swaps receivable/payable",{"$nulls":3},{"v":77873.10602329037,"d":"77,873 "},{"v":-147046.2133718499,"d":"(147,046)"},"2002-12-31"]
[null,"Accrued interest on swap",{"$nulls":3},{"v":2162.515532223326,"d":"2,163 "},{"v":-5774.803525470226,"d":"(5,775)"}]
[null,"OCI adjusted for changes in the swap valuation",{"$nulls":3},{"v":-80035.6215555137,"d":"(80,036)"},{"v":152821.01689732014,"d":"152,821 "}]
[null,"Loss (gain) on swap overhedging",{"$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",{"$nulls":3},{"v":291400.9240246407,"d":"291,401 "},{"v":1744453.767715577,"d":"1,744,454 "}]
[null,"Interest expense/revenue",{"$nulls":3},{"v":-291400.9240246407,"d":"(291,401)"},{"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":206985.76972833116,"d":"206,986 "},{"v":206985.76972833116,"d":"206,986 "},"2003-03-31"]
[null,"Cash",{"$nulls":3},{"v":-206985.76972833116,"d":"(206,986)"},{"v":8048560.462556093,"d":"8,048,560 "}]
[null,"-To record payment on German mark note"]
[]
["2003-03-31","Interest expense/revenue",{"$nulls":3},{"v":84693.07891332472,"d":"84,693 "},{"v":291678.8486416559,"d":"291,679 "},"2003-03-31"]
[null,"Cash",{"$nulls":3},{"v":-84693.07891332472,"d":"(84,693)"},{"v":7963867.3836427685,"d":"7,963,867 "}]
[null,"-To record swap receipt (payment)"]
[{"$nulls":3}," "]
["2003-03-31","Foreign currency swaps receivable/payable",{"$nulls":3},{"v":62127.189251402,"d":"62,127 "},{"v":-84919.02412044791,"d":"(84,919)"},"2003-03-31"]
[null,"Accrued interest on swap",{"$nulls":3},{"v":1999.39199714798,"d":"1,999 "},{"v":-3775.4115283222463,"d":"(3,775)"}]
[null,"OCI adjusted for changes in the swap valuation",{"$nulls":3},{"v":-64126.58124854998,"d":"(64,127)"},{"v":88694.43564877016,"d":"88,694 "}]
[null,"Loss (gain) on swap overhedging",{"$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":291678.8486416559,"d":"291,679 "},{"v":2036132.616357233,"d":"2,036,133 "},"2003-03-31"]
[null,"Interest expense/revenue",{"$nulls":3},{"v":-291678.8486416559,"d":"(291,679)"},{"v":0,"d":"0 "}]
[null,"Loss (gain) on swap overhedging",{"$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",{"$nulls":3},{"v":207253.8860103627,"d":"207,254 "},{"v":207253.8860103627,"d":"207,254 "},"2003-06-30"]
[null,"Cash",{"$nulls":3},{"v":-207253.8860103627,"d":"(207,254)"},{"v":7756613.497632406,"d":"7,756,613 "}]
[null,"-To record payment on German mark note"]
[]
["2003-06-30","Interest expense/revenue",{"$nulls":3},{"v":84470.20725388601,"d":"84,470 "},{"v":291724.0932642487,"d":"291,724 "},"2003-06-30"]
[null,"Cash",{"$nulls":3},{"v":-84470.20725388601,"d":"(84,470)"},{"v":7672143.290378519,"d":"7,672,143 "}]
[null,"-To record swap receipt (payment)"]
[{"$nulls":3}," "]
["2003-06-30","Foreign currency swaps receivable/payable",{"$nulls":3},{"v":84919.02412044791,"d":"84,919 "},{"v":0,"d":"0 "},"2003-06-30"]
[null,"Accrued interest on swap",{"$nulls":3},{"v":3775.4115283222463,"d":"3,775 "},{"v":0,"d":"0 "}]
[null,"OCI adjusted for changes in the swap valuation",{"$nulls":3},{"v":-88694.43564877016,"d":"(88,694)"},{"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":291724.0932642487,"d":"291,724 "},{"v":2327856.7096214816,"d":"2,327,857 "},"2003-06-30"]
[null,"Interest expense/revenue",{"$nulls":3},{"v":-291724.0932642487,"d":"(291,724)"},{"v":0,"d":"0 "}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":0,"d":"0 "},{"v":0,"d":"0 "}]
[null,"-To close interest expense/revenue"]
[]
["2003-06-30","Cash",{"$nulls":3},{"v":-10000000,"d":"(10,000,000)"},{"v":-2327856.7096214807,"d":"(2,327,857)"},"2003-06-30"]
[null,"Cash",{"$nulls":3},{"v":10000000,"d":"10,000,000 "},{"v":7672143.290378519,"d":"7,672,143 "}]
[null,"-To record exchange of swap notionals"]
[]
[null,"Cash",{"$nulls":3},{"v":-10000000,"d":"(10,000,000)"},{"v":-12327856.709621482,"d":"(12,327,857)"}]
[null,"Notes payable",{"$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":0.0665,"d":"6.65%"},{"v":0.0665,"d":"6.65%"},"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":-92349.50556242274,"d":"(92,350)"},{"v":290124.5364647713,"d":"290,125 "},{"v":-687668.6909659023,"d":"($687,669)"},{"v":687668.6909659023,"d":"$687,669"},{"v":0,"d":"$0"}]
["2001-09-30",{"v":198511.16625310172,"d":"198,511 "},{"v":-91737.59305210918,"d":"(91,738)"},{"v":290248.7593052109,"d":"290,249 "},{"v":-621624.8584116099,"d":"($621,625)"},{"v":639280.7520521594,"d":"$639,281"},{"v":0,"d":"$0"}]
["2001-12-31",{"v":201257.86163522012,"d":"201,258 "},{"v":-89454.40251572328,"d":"(89,454)"},{"v":290712.2641509434,"d":"290,712 "},{"v":-538941.0232454833,"d":"($538,941)"},{"v":554901.2414852014,"d":"$554,901"},{"v":0,"d":"$0"}]
["2002-03-31",{"v":202531.64556962025,"d":"202,532 "},{"v":-88395.56962025317,"d":"(88,396)"},{"v":290927.2151898734,"d":"290,927 "},{"v":-309145.8250318813,"d":"($309,146)"},{"v":322983.13580370904,"d":"$322,983"},{"v":0,"d":"$0"}]
["2002-06-30",{"v":203200.40640081282,"d":"203,200 "},{"v":-87839.66217932434,"d":"(87,840)"},{"v":291040.06858013716,"d":"291,040 "},{"v":-224919.31939514028,"d":"($224,919)"},{"v":232856.63845283384,"d":"$232,857"},{"v":0,"d":"$0"}]
["2002-09-30",{"v":205338.8090349076,"d":"205,339 "},{"v":-86062.11498973306,"d":"(86,062)"},{"v":291400.9240246407,"d":"291,401 "},{"v":-147046.2133718499,"d":"($147,046)"},{"v":152821.01689732014,"d":"$152,821"},{"v":0,"d":"$0"}]
["2002-12-31",{"v":206985.76972833116,"d":"206,986 "},{"v":-84693.07891332472,"d":"(84,693)"},{"v":291678.8486416559,"d":"291,679 "},{"v":-84919.02412044791,"d":"($84,919)"},{"v":88694.43564877016,"d":"$88,694"},{"v":0,"d":"$0"}]
["2003-03-31",{"v":207253.8860103627,"d":"207,254 "},{"v":-84470.20725388601,"d":"(84,470)"},{"v":291724.0932642487,"d":"291,724 "},{"v":0,"d":"$0"},{"v":0,"d":"$0"},{"v":0,"d":"$0"}]
["Total =",{"v":1622854.5755347048,"d":"$1,622,855"},{"v":-705002.1340867765,"d":"($705,002)"},{"v":2327856.7096214816,"d":"$2,327,857"},null,"Overhedge =",{"v":0,"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%"}]