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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% Loan Rate"]
[]
["Statement on derivatives is available as Publication Number 186-B, June 1998, Product Code S133"]
["                   FASB Statement No. 133, Accounting for Derivative  Instruments and Hedging Activities"]
["                   FASB Statement No. 138, an amendment of FASB Statement No. 133, Document No. 210-B"]
["                   Call (800) 748-0659 or go to web site http://www.rutgers.edu/Accounting/raw/fasb/home2.html"]
["                   Copies are subject to academic discounting."]
[null," "]
[]
[]
[]
[]
[]
[]
["Questions","This is Bob Jensen's answer file."]
[]
["Foreign Currency Hedge of Fixed-Rate Interest-Bearing Foreign Debt at 8% Loan Rate"]
[]
["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 DM400,000 per quarter on a DM20 million outstanding note payable.  The"]
["fixed-interest rate is 8.00% per annum or 2.00% per quarter.  It is not legally possible"]
["to pay off this note before maturity on June 30, 2003 when DM20 million is due.  David Burns,"]
[" 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 DM400,000 payments and the $20 million pay off."]
[]
["XYZ enters into a currency swap with ABC Bank"]
["On July 1, 20X1, ABC Bank enters into a two-year pay-fixed German DM 10.25%, receive-fixed "]
["US$ 10.15%.  The swap dealer that negotiates the swap and guarantees payments"]
["takes 5 basis points (0.05%) such that the ABC receives US$ 10.15% of 10.20% owed by XYZ, and "]
["XYZ receives only DM 10.20% from the 10.25% owed by ABC.  Hence, XYZ owes $255,000"]
["on the swap each quarter and receives DM510,000 in return.  The swap is actually"]
["net settled using the spot currency exchage rate at the end of each quarter."]
[" "]
["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 $10 million back and returns the DM20 million to the XYZ Company.  XYZ"]
["in turn, uses this DM20 million to pay off its existing debt in German marks on June 30, 2003."]
[]
["In summary, XYZ company declares the swap with ABC Bank as a foreign currency hedge "]
["against its existing obligation.  Since only DM510,000 is received each quarter under the swap, the swap"]
["leaves XYZ DM90,000 short of a perfect hedge needed for DM400,000 payments"]
[]
["Assume the following ex post outcomes with respect to XYZ Company's books:"]
[]
[null,"Ex Post","Loan","XZY Net","Swap's","XYZ"]
[null,"Spot DM/$","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",2.0225,400000,{"v":-2836.8355995055463,"d":"($2,837)"},{"v":-12245.683285158255,"d":"($12,246)"},{"v":0,"d":"$0"}]
["2001-12-31",{"v":2.015,"d":"2.0150"},400000,{"v":-1898.2630272952956,"d":"($1,898)"},{"v":11105.431505579654,"d":"$11,105"},{"v":-312.2649237715355,"d":"($312)"}]
["2002-03-31",1.9875,400000,{"v":1603.7735849056626,"d":"$1,604"},{"v":21707.38326786602,"d":"$21,707"},{"v":283.1885033922812,"d":"$283"}]
["2002-06-30",{"v":1.975,"d":"1.9750"},400000,{"v":3227.848101265816,"d":"$3,228"},{"v":16345.818391831548,"d":"$16,346"},{"v":553.5382733305835,"d":"$554"}]
["2002-09-30",1.9685,400000,{"v":4080.518161036336,"d":"$4,081"},{"v":21773.653226100436,"d":"$21,774"},{"v":416.81836899170446,"d":"$417"}]
["2002-12-31",{"v":1.948,"d":"1.9480"},400000,{"v":6806.981519507186,"d":"$6,807"},{"v":15107.128964098947,"d":"$15,107"},{"v":555.2281572655611,"d":"$555"}]
["2003-03-31",1.9325,400000,{"v":8906.856403622223,"d":"$8,907"},{"v":9352.939725710296,"d":"$9,353"},{"v":385.23178858452314,"d":"$385"}]
["2003-06-30",{"v":1.93,"d":"1.9300"},400000,{"v":9248.70466321244,"d":"$9,249"},{"v":0,"d":"$0"},{"v":0,"d":"$0"}]
[]
["Assume that the FX hedge is perfectly effective for whatever portion "]
["of the loan is being hedged."]
[]
[1,"= Question Number"]
[1,"If XYZ Company does not enter into the swap with ABC Bank, what "]
[1,"interest rate risk and foreign currency risks are faced by XYZ?"]
[1]
[1,"There is no interest rate risk, because its DM20 million outstanding loan has a"]
[1,"fixed 8.00% rate of interest.   However, since the interest is payable in German"]
[1,"marks, there is a foreign currency risk in that the amount of dollars needed to"]
[1,"acquire the German marks for each payment may vary with the DM/$ 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?"]
[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,"If ABC Bank's functional currency is the U.S. dollar, it is taking on a FX risk by"]
[3,"agreeing to send off an uncertain amount of German marks to XYZ Company"]
[3,"each quarter.  Why might ABC Bank want to 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,"that investment.  Of course ABC Bank might also be speculating that the"]
[3,"German mark is going to weaken against the dollar.  It is more likely, however,"]
[3,"That ABC Bank is hedging with the swap."]
[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?  Make a"]
[4,"table showing the extent of underhedging or overhedging each quarter ex post"]
[4,"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 DM400,000 under the 8.00% loan"]
[4,"rate, however, are overhedged since the swap only returns DM510,000 to XYZ"]
[4]
[4,"The amount of overhedging is DM90,000 = DM510,000-DM400,000.  Of course the"]
[4,"exact FX gain or loss on the unhedged portion will only be known ex post."]
[4]
[4,null,"Ex Post","Overhedged","Hedged","Overhedged","Hedged","Quarterly","Without","Amount"]
[4,null,"Spot DM/$","Interest","Interest","Interest","Interest","Interest","The","Saved"]
[4,"Quarter","Rate","in DM","in DM","Expense","Expense","Expense","Swap","by Swap"]
[4,"2001-07-01",{"v":2,"d":"2.0000"}," "," "," "," "," "," "," "]
[4,"2001-09-30",2.0225,{"v":-110000,"d":"(110000)"},510000,{"v":-54388.13349814586,"d":"($54,388)"},{"v":255000,"d":"$255,000"},{"v":200611.86650185415,"d":"$200,612"},{"v":197775.03090234858,"d":"$197,775"},{"v":-2836.8355995055754,"d":"($2,837)"}]
[4,"2001-12-31",{"v":2.015,"d":"2.0150"},{"v":-110000,"d":"(110000)"},510000,{"v":-54590.570719602976,"d":"($54,591)"},{"v":255000,"d":"$255,000"},{"v":200409.42928039702,"d":"$200,409"},{"v":198511.16625310172,"d":"$198,511"},{"v":-1898.2630272952956,"d":"($1,898)"}]
[4,"2002-03-31",1.9875,{"v":-110000,"d":"(110000)"},510000,{"v":-55345.911949685535,"d":"($55,346)"},{"v":255000,"d":"$255,000"},{"v":199654.08805031446,"d":"$199,654"},{"v":201257.86163522012,"d":"$201,258"},{"v":1603.7735849056626,"d":"$1,604"}]
[4,"2002-06-30",{"v":1.975,"d":"1.9750"},{"v":-110000,"d":"(110000)"},510000,{"v":-55696.20253164557,"d":"($55,696)"},{"v":255000,"d":"$255,000"},{"v":199303.79746835443,"d":"$199,304"},{"v":202531.64556962025,"d":"$202,532"},{"v":3227.848101265816,"d":"$3,228"}]
[4,"2002-09-30",1.9685,{"v":-110000,"d":"(110000)"},510000,{"v":-55880.111760223524,"d":"($55,880)"},{"v":255000,"d":"$255,000"},{"v":199119.88823977648,"d":"$199,120"},{"v":203200.40640081282,"d":"$203,200"},{"v":4080.518161036336,"d":"$4,081"}]
[4,"2002-12-31",{"v":1.948,"d":"1.9480"},{"v":-110000,"d":"(110000)"},510000,{"v":-56468.17248459959,"d":"($56,468)"},{"v":255000,"d":"$255,000"},{"v":198531.82751540042,"d":"$198,532"},{"v":205338.8090349076,"d":"$205,339"},{"v":6806.981519507186,"d":"$6,807"}]
[4,"2003-03-31",1.9325,{"v":-110000,"d":"(110000)"},510000,{"v":-56921.08667529107,"d":"($56,921)"},{"v":255000,"d":"$255,000"},{"v":198078.91332470893,"d":"$198,079"},{"v":206985.76972833116,"d":"$206,986"},{"v":8906.856403622223,"d":"$8,907"}]
[4,"2003-06-30",{"v":1.93,"d":"1.9300"},{"v":-110000,"d":"(110000)"},510000,{"v":-56994.818652849746,"d":"($56,995)"},{"v":255000,"d":"$255,000"},{"v":198005.18134715024,"d":"$198,005"},{"v":207253.8860103627,"d":"$207,254"},{"v":9248.70466321247,"d":"$9,249"}]
[4,{"$nulls":4},{"v":-446285.0082720439,"d":"($446,285)"},{"v":2040000,"d":"$2,040,000"},{"v":1593714.991727956,"d":"$1,593,715"},{"v":1622854.5755347048,"d":"$1,622,855"},{"v":29139.583806748822,"d":"$29,140"}]
[4]
[4,"Thus, in hind sight the German mark strengthened against the dollar, and "]
[4,"the hedge saved XYZ Company $29,140.  Of course, if the German mark had"]
[4,"weakened, XYZ Company would have lost on the swap."]
[4]
[5]
[5,"= Question Number"]
[5,"Since this is not a perfect hedge of each DM400,000 interest payment, what"]
[5,"paragraphs in FAS 133 allow for the hedged portion to receive cash flow "]
[5,"accounting treatment and use OCI for changes in fair value of the swap?"]
[5,"Is FAS 133 Paragraph 461 a problem in this respect?"]
[5]
[5,"Paragraph 18(d)(3) is the key paragraph that dictates use of OCI in this case.  "]
[5,"However, FAS 133 is silent with respect to hedging a portion of a single item"]
[5,"(as opposed to a portfolion of items) can be hedged in part rather than in whole."]
[5,"Paragraph 461 does not appear to be a problem in this case since every part"]
[5,"of the DM20 million debt shares the same rate and maturity.  Paragraph 461"]
[5,"is more concerned with a bundling of instruments having different maturity"]
[5,"dates or or other terms that impact upon risk and return."]
[5]
[5,"If would seem that the wording of Paragraph 462 extends by analogy to the"]
[5,"case at hand in which the swap and the orgiginal note have the same maturity"]
[5,"dates and all proportions of the DM20 million loan have the same terms."]
[6]
[6,"= Question Number"]
[6,"Record the DM 20 million loan as if it commenced on July 1, 20X1, and then"]
[6,"record all interest payments, swap payments, interest accruals, and the adjustment"]
[6,"of the swap to fair value each quarter.  For the interest accruals, simply multiply"]
[6,"the swap balance (value) at the end of the previous period by 2.55% = 10.5%/4."]
[6," "]
[6,"Hint:  If the loan interest payments are underhedged, asssume 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]

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[" Working Paper 288",null,{"v":0.098,"d":"9.8000%"},{"v":0.102,"d":"10.2000%"}]
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[3,1.9875,{"v":10000000,"d":"$10,000,000"},{"v":20000000,"d":"20,000,000 "},"2002-03-31",{"v":0.02,"d":"2.0000%"},{"v":0.0255,"d":"2.5500%"},{"v":254999.99999999997,"d":"$255,000"},{"v":0.0255,"d":"2.5500%"},{"v":256603.77358490563,"d":"$256,604"},{"v":1603.7735849056626,"d":"$1,604"},{"v":21707.38326786602,"d":"$21,707"},{"v":283.1885033922812,"d":"$283"},{"v":201257.86163522012,"d":"$201,258"},"2002-03-31",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.025500000000000078,"d":"2.550%"},{"v":2.05,"d":"2.0500"},{"v":248780.48780487804,"d":"$248,780"},{"v":254999.99999999997,"d":"$255,000"},{"v":248780.48780487882,"d":"$248,780"},{"v":242560.9756097569,"d":"$242,561"},{"v":-6219.5121951219335,"d":"$(6,220)"},{"v":-5914.050032434197,"d":"$(5,914)"},{"$nulls":5},{"v":2,"d":"2.00"},{"v":1.0516502500000002,"d":"1.0517"}]
[4,{"v":1.975,"d":"1.9750"},{"v":10000000,"d":"$10,000,000"},{"v":20000000,"d":"20,000,000 "},"2002-06-30",{"v":0.02,"d":"2.0000%"},{"v":0.0255,"d":"2.5500%"},{"v":254999.99999999997,"d":"$255,000"},{"v":0.0255,"d":"2.5500%"},{"v":258227.8481012658,"d":"$258,228"},{"v":3227.848101265816,"d":"$3,228"},{"v":16345.818391831548,"d":"$16,346"},{"v":553.5382733305835,"d":"$554"},{"v":202531.64556962025,"d":"$202,532"},"2002-06-30",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.025500000000000078,"d":"2.550%"},{"v":2.025,"d":"2.0250"},{"v":251851.85185185182,"d":"$251,852"},{"v":254999.99999999997,"d":"$255,000"},{"v":251851.85185185264,"d":"$251,852"},{"v":248703.7037037045,"d":"$248,704"},{"v":-3148.148148148146,"d":"$(3,148)"},{"v":-2919.0945859568965,"d":"$(2,919)"},{"$nulls":5},{"v":3,"d":"3.00"},{"v":1.0784673313750004,"d":"1.0785"}]
[5,1.9685,{"v":10000000,"d":"$10,000,000"},{"v":20000000,"d":"20,000,000 "},"2002-09-30",{"v":0.02,"d":"2.0000%"},{"v":0.0255,"d":"2.5500%"},{"v":254999.99999999997,"d":"$255,000"},{"v":0.0255,"d":"2.5500%"},{"v":259080.5181610363,"d":"$259,081"},{"v":4080.518161036336,"d":"$4,081"},{"v":21773.653226100436,"d":"$21,774"},{"v":416.81836899170446,"d":"$417"},{"v":203200.40640081282,"d":"$203,200"},"2002-09-30",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.025500000000000078,"d":"2.550%"},{"v":2.015,"d":"2.0150"},{"v":253101.73697270468,"d":"$253,102"},{"v":254999.99999999997,"d":"$255,000"},{"v":253101.7369727055,"d":"$253,102"},{"v":251203.4739454102,"d":"$251,203"},{"v":-1898.2630272952956,"d":"$(1,898)"},{"v":-1716.3811259230324,"d":"$(1,716)"},{"$nulls":5},{"v":4,"d":"4.00"},{"v":1.105968248325063,"d":"1.1060"}]
[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":0.0255,"d":"2.5500%"},{"v":254999.99999999997,"d":"$255,000"},{"v":0.0255,"d":"2.5500%"},{"v":261806.98151950716,"d":"$261,807"},{"v":6806.981519507186,"d":"$6,807"},{"v":15107.128964098947,"d":"$15,107"},{"v":555.2281572655611,"d":"$555"},{"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%"},{"v":1.995,"d":"1.9950"},{"v":255639.09774436086,"d":"$255,639"},{"v":254999.99999999997,"d":"$255,000"},{"v":255639.09774436167,"d":"$255,639"},{"v":256278.19548872256,"d":"$256,278"},{"v":639.0977443608863,"d":"$639"},{"v":563.4935654974923,"d":"$563"},{"$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":0.0255,"d":"2.5500%"},{"v":254999.99999999997,"d":"$255,000"},{"v":0.0255,"d":"2.5500%"},{"v":263906.8564036222,"d":"$263,907"},{"v":8906.856403622223,"d":"$8,907"},{"v":9352.939725710296,"d":"$9,353"},{"v":385.23178858452314,"d":"$385"},{"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%"},1.9975,{"v":255319.14893617018,"d":"$255,319"},{"v":254999.99999999997,"d":"$255,000"},{"v":255319.1489361732,"d":"$255,319"},{"v":255638.29787234342,"d":"$255,638"},{"v":319.1489361702115,"d":"$319"},{"v":274.39703411993435,"d":"$274"},{"$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":0.0255,"d":"2.5500%"},{"v":254999.99999999997,"d":"$255,000"},{"v":0.0255,"d":"2.5500%"},{"v":264248.7046632124,"d":"$264,249"},{"v":9248.70466321244,"d":"$9,249"},{"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%"},{"v":1.995,"d":"1.9950"},{"v":255639.09774436086,"d":"$255,639"},{"v":254999.99999999997,"d":"$255,000"},{"v":255639.09774436388,"d":"$255,639"},{"v":256278.19548872477,"d":"$256,278"},{"v":639.0977443608863,"d":"$639"},{"v":535.8184106336608,"d":"$536"},{"$nulls":5},{"v":7,"d":"7.00"},{"v":1.1927506253566145,"d":"1.1928"}]
[{"$nulls":13}," ","Totals",{"$nulls":8},{"v":-12816.727093821537,"d":"$(12,817)"},{"v":-12245.683285158255,"d":"$(12,246)"},null,0.0014802793682608475,null,"= Sept. 30 Swap Value"]
[{"$nulls":13}," ",{"$nulls":13},"2001-12-31"]
["Summary of Unhedged Versus Hedged Note Interest",{"$nulls":14},"2001-12-31",null,"Quarterly","FX","Swap",null,"Hedged",null,null,"2001-12-31"]
[" ","Unhedged","Foreign","Hedged"," ",{"$nulls":10},"Yield","Quarterly","forward","Forward","Receive","Pay","Cash ",null,"Swap","Swap"]
[" ","Note","Currency","Note"," ",{"$nulls":9},"Maturity","Curve","yields","rates","Rate","Variable","Fixed","Flow","Net Effect","cash flow","Value",{"$nulls":6},"t","FVIF"]
[0,"Interest","Swap","Interest",{"$nulls":10},"2001-07-01"]
["2001-09-30",{"v":197775.03090234858,"d":"197,775 "},{"v":-2836.8355995055463,"d":"(2,837)"},{"v":200611.86650185412,"d":"200,612 "},{"$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":254999.99999999997,"d":"$255,000"},{"v":254999.99999999997,"d":"$255,000"},{"v":254999.99999999997,"d":"$255,000"},0,0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
["2001-12-31",{"v":198511.16625310172,"d":"198,511 "},{"v":-1898.2630272952956,"d":"(1,898)"},{"v":200409.42928039702,"d":"200,409 "},{"$nulls":10},"2001-12-31",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},{"v":2.025,"d":"2.0250"},{"v":251851.85185185182,"d":"$251,852"},{"v":254999.99999999997,"d":"$255,000"},{"v":251851.85185185182,"d":"$251,852"},{"v":248703.70370370368,"d":"$248,704"},{"v":-3148.148148148146,"d":"$(3,148)"},0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
["2002-03-31",{"v":201257.86163522012,"d":"201,258 "},{"v":1603.7735849056626,"d":"1,604 "},{"v":199654.08805031446,"d":"199,654 "},{"$nulls":10},"2002-03-31",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},{"v":2.015,"d":"2.0150"},{"v":253101.73697270468,"d":"$253,102"},{"v":254999.99999999997,"d":"$255,000"},{"v":253101.73697270468,"d":"$253,102"},{"v":251203.47394540938,"d":"$251,203"},{"v":-1898.2630272952956,"d":"$(1,898)"},{"v":-1851.0609724966314,"d":"$(1,851)"},{"$nulls":6},{"v":1,"d":"1.00"},1.0255]
["2002-06-30",{"v":202531.64556962025,"d":"202,532 "},{"v":3227.848101265816,"d":"3,228 "},{"v":199303.79746835443,"d":"199,304 "},{"$nulls":10},"2002-06-30",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.025500000000000078,"d":"2.550%"},2.0025,{"v":254681.64794007488,"d":"$254,682"},{"v":254999.99999999997,"d":"$255,000"},{"v":254681.6479400757,"d":"$254,682"},{"v":254363.2958801506,"d":"$254,363"},{"v":-318.35205992509145,"d":"$(318)"},{"v":-302.71666832684286,"d":"$(303)"},{"$nulls":6},{"v":2,"d":"2.00"},{"v":1.0516502500000002,"d":"1.0517"}]
["2002-09-30",{"v":203200.40640081282,"d":"203,200 "},{"v":4080.518161036336,"d":"4,081 "},{"v":199119.88823977648,"d":"199,120 "},{"$nulls":10},"2002-09-30",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.025500000000000078,"d":"2.550%"},1.9975,{"v":255319.14893617018,"d":"$255,319"},{"v":254999.99999999997,"d":"$255,000"},{"v":255319.148936171,"d":"$255,319"},{"v":255638.2978723412,"d":"$255,638"},{"v":319.1489361702115,"d":"$319"},{"v":295.9282371245405,"d":"$296"},{"$nulls":6},{"v":3,"d":"3.00"},{"v":1.0784673313750004,"d":"1.0785"}]
["2002-12-31",{"v":205338.8090349076,"d":"205,339 "},{"v":6806.981519507186,"d":"6,807 "},{"v":198531.82751540042,"d":"198,532 "},{"$nulls":10},"2002-12-31",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.025500000000000078,"d":"2.550%"},{"v":1.995,"d":"1.9950"},{"v":255639.09774436086,"d":"$255,639"},{"v":254999.99999999997,"d":"$255,000"},{"v":255639.09774436167,"d":"$255,639"},{"v":256278.19548872256,"d":"$256,278"},{"v":639.0977443608863,"d":"$639"},{"v":577.8626514176784,"d":"$578"},{"$nulls":6},{"v":4,"d":"4.00"},{"v":1.105968248325063,"d":"1.1060"}]
["2003-03-31",{"v":206985.76972833116,"d":"206,986 "},{"v":8906.856403622223,"d":"8,907 "},{"v":198078.91332470893,"d":"198,079 "},{"$nulls":10},"2003-03-31",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.025500000000000078,"d":"2.550%"},1.9925,{"v":255959.84943538267,"d":"$255,960"},{"v":254999.99999999997,"d":"$255,000"},{"v":255959.84943538348,"d":"$255,960"},{"v":256919.69887076618,"d":"$256,920"},{"v":959.8494353826973,"d":"$960"},{"v":846.3008756593774,"d":"$846"},{"$nulls":6},{"v":5,"d":"5.00"},{"v":1.1341704386573521,"d":"1.1342"}]
["2003-06-30",{"v":207253.8860103627,"d":"207,254 "},{"v":9248.70466321244,"d":"9,249 "},{"v":198005.18134715027,"d":"198,005 "},{"$nulls":10},"2003-06-30",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255000000000003,"d":"2.550%"},{"v":1.9,"d":"1.9000"},{"v":268421.05263157893,"d":"$268,421"},{"v":254999.99999999997,"d":"$255,000"},{"v":268421.05263158213,"d":"$268,421"},{"v":281842.1052631611,"d":"$281,842"},{"v":13421.05263157899,"d":"$13,421"},{"v":11539.117382201532,"d":"$11,539"},{"$nulls":6},{"v":6,"d":"6.00"},{"v":1.1630917848431148,"d":"1.1631"}]
["Total =",{"v":1622854.5755347048,"d":"$1,622,855"},{"v":29139.583806748822,"d":"$29,140"},{"v":1593714.991727956,"d":"$1,593,715"}," ",{"$nulls":9},"Totals",{"$nulls":8},{"v":9974.385512124252,"d":"$9,974"},{"v":11105.431505579654,"d":"$11,105"},null,{"v":0.001164894722190242,"d":"0.001165"},null,"= Dec 31 Swap Value"]
[{"$nulls":3}," ",{"$nulls":23},"2002-03-31"]
[{"$nulls":15},"2002-03-31",null,"Quarterly","FX","Swap",null,"Hedged",null,null,"2002-03-31"]
[{"$nulls":15},"Yield","Quarterly","forward","Forward","Receive","Pay","Cash ",null,"Swap","Swap"]
["Question:  Why does the hedged note rate of interest vary when the original note rate ",{"$nulls":13},"Maturity","Curve","yields","rates","Rate","Variable","Fixed","Flow","Net Effect","cash flow","Value",{"$nulls":6},"t","FVIF"]
["                   of interest is 12.00% on a principal of DM 20 million?",{"$nulls":13},"2001-07-01"]
[{"$nulls":14},"2001-09-30",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},{"v":2,"d":"2.0000"},{"v":254999.99999999997,"d":"$255,000"},{"v":254999.99999999997,"d":"$255,000"},{"v":254999.99999999997,"d":"$255,000"},{"v":254999.99999999997,"d":"$255,000"},0,0,{"$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%"},{"v":2.025,"d":"2.0250"},{"v":251851.85185185182,"d":"$251,852"},{"v":254999.99999999997,"d":"$255,000"},{"v":251851.85185185182,"d":"$251,852"},{"v":248703.70370370368,"d":"$248,704"},{"v":-3148.148148148146,"d":"$(3,148)"},0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
["The hedged interest expense is not constant each quarter because not all of the 12.00% ",{"$nulls":13},"2002-03-31",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},{"v":2.015,"d":"2.0150"},{"v":253101.73697270468,"d":"$253,102"},{"v":254999.99999999997,"d":"$255,000"},{"v":253101.73697270468,"d":"$253,102"},{"v":251203.47394540938,"d":"$251,203"},{"v":-1898.2630272952956,"d":"$(1,898)"},0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
["interest is hedged.  Only 10.20% is hedged.  In other words, the 12.00% rate gives rise ",{"$nulls":13},"2002-06-30",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},1.9878,{"v":256565.04678539085,"d":"$256,565"},{"v":254999.99999999997,"d":"$255,000"},{"v":256565.04678539085,"d":"$256,565"},{"v":258130.09357078173,"d":"$258,130"},{"v":1565.0467853908776,"d":"$1,565"},{"v":1526.130458694176,"d":"$1,526"},{"$nulls":6},{"v":1,"d":"1.00"},1.0255]
["to a DM600,000 quarterly payments on the note.  However, only 10.20% is received",{"$nulls":13},"2002-09-30",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.025500000000000078,"d":"2.550%"},1.9825,{"v":257250.94577553592,"d":"$257,251"},{"v":254999.99999999997,"d":"$255,000"},{"v":257250.94577553673,"d":"$257,251"},{"v":259501.89155107268,"d":"$259,502"},{"v":2250.945775535947,"d":"$2,251"},{"v":2140.3938957233613,"d":"$2,140"},{"$nulls":6},{"v":2,"d":"2.00"},{"v":1.0516502500000002,"d":"1.0517"}]
["under the swap giving rise to an inflow of DM510,000 to XYZ each quarter.  This leaves ",{"$nulls":13},"2002-12-31",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.025500000000000078,"d":"2.550%"},{"v":1.975,"d":"1.9750"},{"v":258227.8481012658,"d":"$258,228"},{"v":254999.99999999997,"d":"$255,000"},{"v":258227.8481012666,"d":"$258,228"},{"v":261455.69620253242,"d":"$261,456"},{"v":3227.848101265816,"d":"$3,228"},{"v":2992.9957147152945,"d":"$2,993"},{"$nulls":6},{"v":3,"d":"3.00"},{"v":1.0784673313750004,"d":"1.0785"}]
["DM90,000 of the note interest unhedged.",{"$nulls":13},"2003-03-31",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.025500000000000078,"d":"2.550%"},1.9725,{"v":258555.1330798479,"d":"$258,555"},{"v":254999.99999999997,"d":"$255,000"},{"v":258555.13307984872,"d":"$258,555"},{"v":262110.26615969665,"d":"$262,110"},{"v":3555.133079847932,"d":"$3,555"},{"v":3214.498323285514,"d":"$3,214"},{"$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":1.9,"d":"1.9000"},{"v":268421.05263157893,"d":"$268,421"},{"v":254999.99999999997,"d":"$255,000"},{"v":268421.0526315798,"d":"$268,421"},{"v":281842.1052631588,"d":"$281,842"},{"v":13421.05263157899,"d":"$13,421"},{"v":11833.364875447673,"d":"$11,833"},{"$nulls":6},{"v":5,"d":"5.00"},{"v":1.1341704386573521,"d":"1.1342"}]
["There are only two ways to hedge all of the note interest.  Either the note interest rate",{"$nulls":13},"Totals",{"$nulls":8},{"v":18973.61519817612,"d":"$18,974"},{"v":21707.38326786602,"d":"$21,707"},null,{"v":0.0011739002304177054,"d":"0.001174"},null,"= Mar 31 Swap Value"]
["should have been equal to the swap interest rate of 10.20% or the swap rate of interest ",{"$nulls":13}," "]
["should have been equal to the 12.00% note rate of interest.",{"$nulls":14},"2002-06-30",null,"Quarterly","FX","Swap",null,"Hedged",null,null,"2002-06-30"]
[{"$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 F68.",{"$nulls":13},"2001-07-01"]
[{"$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":254999.99999999997,"d":"$255,000"},{"v":254999.99999999997,"d":"$255,000"},{"v":254999.99999999997,"d":"$255,000"},0,0,{"$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%"},{"v":2.025,"d":"2.0250"},{"v":251851.85185185182,"d":"$251,852"},{"v":254999.99999999997,"d":"$255,000"},{"v":251851.85185185182,"d":"$251,852"},{"v":248703.70370370368,"d":"$248,704"},{"v":-3148.148148148146,"d":"$(3,148)"},0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
["Sensitivity Analysis:  You can change the value in blue Cell G68 from the original 12.00%:",{"$nulls":5},"Case","Hypothetical"," "," ",{"$nulls":4},"2002-03-31",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},{"v":2.015,"d":"2.0150"},{"v":253101.73697270468,"d":"$253,102"},{"v":254999.99999999997,"d":"$255,000"},{"v":253101.73697270468,"d":"$253,102"},{"v":251203.47394540938,"d":"$251,203"},{"v":-1898.2630272952956,"d":"$(1,898)"},0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
[{"$nulls":5},"                           You can change XYZ's original unhedged note rate to R = ",{"v":0.08,"d":"0.0800"},{"v":0.102,"d":"0.1020"},{"v":0.08,"d":"0.0800"},{"v":0.08,"d":"0.0800"},{"v":0.08,"d":"0.0800"},{"$nulls":3},"2002-06-30",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},1.9878,{"v":256565.04678539085,"d":"$256,565"},{"v":254999.99999999997,"d":"$255,000"},{"v":256565.04678539085,"d":"$256,565"},{"v":258130.09357078173,"d":"$258,130"},{"v":1565.0467853908776,"d":"$1,565"},0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
[null,"Ex Post","Unhedged","Hedged","Unhedged","Hedged","Unhedged","Unhedged","Overhedged","Overhedged","Underhedged",{"$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":254999.99999999997,"d":"$255,000"},{"v":258227.8481012658,"d":"$258,228"},{"v":261455.6962025316,"d":"$261,456"},{"v":3227.848101265816,"d":"$3,228"},{"v":3147.5846916292694,"d":"$3,148"},{"$nulls":6},{"v":1,"d":"1.00"},1.0255]
[null,"Spot DM/$","Interest","Interest","Interest","Interest","Plus Hedged","Plus Hedged","Due to","Due to","Due to",{"$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":254999.99999999997,"d":"$255,000"},{"v":258555.13307984872,"d":"$258,555"},{"v":262110.26615969665,"d":"$262,110"},{"v":3555.133079847932,"d":"$3,555"},{"v":3380.5279653077923,"d":"$3,381"},{"$nulls":6},{"v":2,"d":"2.00"},{"v":1.0516502500000002,"d":"1.0517"}]
["Quarter","Rate","in DM","in DM","Expense","Expense","Int. Expense","Int. Expense","Swap in DM","Swap in $","Swap in $",{"$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":254999.99999999997,"d":"$255,000"},{"v":259212.19822109354,"d":"$259,212"},{"v":263424.3964421863,"d":"$263,424"},{"v":4212.198221092782,"d":"$4,212"},{"v":3905.726301159634,"d":"$3,906"},{"$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":254999.99999999997,"d":"$255,000"},{"v":261538.46153846235,"d":"$261,538"},{"v":268076.9230769239,"d":"$268,077"},{"v":6538.461538461532,"d":"$6,538"},{"v":5911.979433734851,"d":"$5,912"},{"$nulls":6},{"v":4,"d":"4.00"},{"v":1.105968248325063,"d":"1.1060"}]
["2001-09-30",2.0225,{"v":-109999.99999999996,"d":"(110000)"},{"v":509999.99999999994,"d":"510000"},{"v":-54388.133498145835,"d":"($54,388)"},{"v":254999.99999999997,"d":"$255,000"},{"v":200611.86650185415,"d":"$200,612"},{"v":255000,"d":"$255,000"},{"v":-109999.99999999996,"d":"(110,000)"},{"v":-54388.133498145835,"d":"($54,388)"},{"v":0,"d":"$0"},{"$nulls":3},"Totals",{"$nulls":8},{"v":14052.276550615497,"d":"$14,052"},{"v":16345.818391831548,"d":"$16,346"},null,{"v":0.001174049094051904,"d":"0.001174"},null,{"$error":"#REF!"},"Swap Value"]
["2001-12-31",{"v":2.015,"d":"2.0150"},{"v":-109999.99999999996,"d":"(110000)"},{"v":509999.99999999994,"d":"510000"},{"v":-54590.570719602954,"d":"($54,591)"},{"v":254999.99999999997,"d":"$255,000"},{"v":200409.42928039702,"d":"$200,409"},{"v":255000,"d":"$255,000"},{"v":-109999.99999999996,"d":"(110,000)"},{"v":-54590.570719602954,"d":"($54,591)"},{"v":0,"d":"$0"},{"$nulls":16},"2002-09-30"]
["2002-03-31",1.9875,{"v":-109999.99999999996,"d":"(110000)"},{"v":509999.99999999994,"d":"510000"},{"v":-55345.91194968551,"d":"($55,346)"},{"v":254999.99999999997,"d":"$255,000"},{"v":199654.08805031446,"d":"$199,654"},{"v":255000,"d":"$255,000"},{"v":-109999.99999999996,"d":"(110,000)"},{"v":-55345.91194968551,"d":"($55,346)"},{"v":0,"d":"$0"},{"$nulls":4},"2002-09-30",null,"Quarterly","FX","Swap",null,"Hedged",null,null,"2002-09-30"]
["2002-06-30",{"v":1.975,"d":"1.9750"},{"v":-109999.99999999996,"d":"(110000)"},{"v":509999.99999999994,"d":"510000"},{"v":-55696.20253164555,"d":"($55,696)"},{"v":254999.99999999997,"d":"$255,000"},{"v":199303.79746835443,"d":"$199,304"},{"v":255000,"d":"$255,000"},{"v":-109999.99999999996,"d":"(110,000)"},{"v":-55696.20253164555,"d":"($55,696)"},{"v":0,"d":"$0"},{"$nulls":4},"Yield","Quarterly","forward","Forward","Receive","Pay","Cash ",null,"Swap","Swap"]
["2002-09-30",1.9685,{"v":-109999.99999999996,"d":"(110000)"},{"v":509999.99999999994,"d":"510000"},{"v":-55880.1117602235,"d":"($55,880)"},{"v":254999.99999999997,"d":"$255,000"},{"v":199119.88823977648,"d":"$199,120"},{"v":255000,"d":"$255,000"},{"v":-109999.99999999996,"d":"(110,000)"},{"v":-55880.1117602235,"d":"($55,880)"},{"v":0,"d":"$0"},{"$nulls":3},"Maturity","Curve","yields","rates","Rate","Variable","Fixed","Flow","Net Effect","cash flow","Value",{"$nulls":6},"t","FVIF"]
["2002-12-31",{"v":1.948,"d":"1.9480"},{"v":-109999.99999999996,"d":"(110000)"},{"v":509999.99999999994,"d":"510000"},{"v":-56468.17248459957,"d":"($56,468)"},{"v":254999.99999999997,"d":"$255,000"},{"v":198531.8275154004,"d":"$198,532"},{"v":255000,"d":"$255,000"},{"v":-109999.99999999996,"d":"(110,000)"},{"v":-56468.17248459957,"d":"($56,468)"},{"v":0,"d":"$0"},{"$nulls":3},"2001-07-01"]
["2003-03-31",1.9325,{"v":-109999.99999999996,"d":"(110000)"},{"v":509999.99999999994,"d":"510000"},{"v":-56921.08667529105,"d":"($56,921)"},{"v":254999.99999999997,"d":"$255,000"},{"v":198078.91332470893,"d":"$198,079"},{"v":255000,"d":"$255,000"},{"v":-109999.99999999996,"d":"(110,000)"},{"v":-56921.08667529105,"d":"($56,921)"},{"v":0,"d":"$0"},{"$nulls":3},"2001-09-30",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},{"v":2,"d":"2.0000"},{"v":254999.99999999997,"d":"$255,000"},{"v":254999.99999999997,"d":"$255,000"},{"v":254999.99999999997,"d":"$255,000"},{"v":254999.99999999997,"d":"$255,000"},0,0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
["2003-06-30",{"v":1.93,"d":"1.9300"},{"v":-109999.99999999996,"d":"(110000)"},{"v":509999.99999999994,"d":"510000"},{"v":-56994.81865284972,"d":"($56,995)"},{"v":254999.99999999997,"d":"$255,000"},{"v":198005.18134715024,"d":"$198,005"},{"v":255000,"d":"$255,000"},{"v":-109999.99999999996,"d":"(110,000)"},{"v":-56994.81865284972,"d":"($56,995)"},{"v":0,"d":"$0"},{"$nulls":3},"2001-12-31",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},{"v":2.025,"d":"2.0250"},{"v":251851.85185185182,"d":"$251,852"},{"v":254999.99999999997,"d":"$255,000"},{"v":251851.85185185182,"d":"$251,852"},{"v":248703.70370370368,"d":"$248,704"},{"v":-3148.148148148146,"d":"$(3,148)"},0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
[null,null," ",null,{"v":-446285.0082720437,"d":"($446,285)"},{"v":2039999.9999999998,"d":"$2,040,000"},{"v":1593714.991727956,"d":"$1,593,715"},{"v":2040000,"d":"$2,040,000"}," ",{"v":-446285.0082720437,"d":"($446,285)"},{"v":0,"d":"$0"},{"$nulls":3},"2002-03-31",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},{"v":2.015,"d":"2.0150"},{"v":253101.73697270468,"d":"$253,102"},{"v":254999.99999999997,"d":"$255,000"},{"v":253101.73697270468,"d":"$253,102"},{"v":251203.47394540938,"d":"$251,203"},{"v":-1898.2630272952956,"d":"$(1,898)"},0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
[{"$nulls":6},"Change in RE",null," ",{"$nulls":5},"2002-06-30",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},1.9878,{"v":256565.04678539085,"d":"$256,565"},{"v":254999.99999999997,"d":"$255,000"},{"v":256565.04678539085,"d":"$256,565"},{"v":258130.09357078173,"d":"$258,130"},{"v":1565.0467853908776,"d":"$1,565"},0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
[null,null,{"v":0.08,"d":"0.0800"},null,{"v":0.08,"d":"0.0800"},{"v":0.08,"d":"0.0800"},null,{"v":0.08,"d":"0.0800"},{"$nulls":6},"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":254999.99999999997,"d":"$255,000"},{"v":258227.8481012658,"d":"$258,228"},{"v":261455.6962025316,"d":"$261,456"},{"v":3227.848101265816,"d":"$3,228"},0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
[null,null,"Under or","Hedged","Unhedged","Proportion",null,"Swap Value",{"$nulls":6},"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":254999.99999999997,"d":"$255,000"},{"v":259080.5181610363,"d":"$259,081"},{"v":263161.0363220726,"d":"$263,161"},{"v":4080.518161036307,"d":"$4,081"},{"v":3979.052326705321,"d":"$3,979"},{"$nulls":6},{"v":1,"d":"1.00"},1.0255]
[null,"Ex Post","(Overhedged)","Interest","Plus","(Overhedged)","Swap's","(Overhedged)",{"$nulls":6},"2003-03-31",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.025500000000000078,"d":"2.550%"},1.9425,{"v":262548.26254826254,"d":"$262,548"},{"v":254999.99999999997,"d":"$255,000"},{"v":262548.26254826336,"d":"$262,548"},{"v":270096.5250965259,"d":"$270,097"},{"v":7548.262548262544,"d":"$7,548"},{"v":7177.540772954262,"d":"$7,178"},{"$nulls":6},{"v":2,"d":"2.00"},{"v":1.0516502500000002,"d":"1.0517"}]
[null,"Spot DM/$","Due to","Due to","Hedged","Due to","Estimated","Due to",{"$nulls":6},"2003-06-30",{"v":0.10325350289701683,"d":"10.33%"},{"v":0.025813375724254208,"d":"2.581%"},{"v":0.02644041448923584,"d":"2.644%"},1.9375,{"v":266460.6526374628,"d":"$266,461"},{"v":254999.99999999997,"d":"$255,000"},{"v":272933.310856628,"d":"$272,933"},{"v":284393.9634940908,"d":"$284,394"},{"v":11460.65263746283,"d":"$11,461"},{"v":10617.060126440852,"d":"$10,617"},{"$nulls":6},{"v":3,"d":"3.00"},{"v":1.0794563185077086,"d":"1.0795"}]
["Quarter","Rate","Swap in DM","Swap in DM","in DM","Swap in %","Value","Swap in $",{"$nulls":6},"Totals",{"$nulls":8},{"v":22835.917057974933,"d":"$22,836"},{"v":21773.653226100436,"d":"$21,774"},null,{"v":0.0012535028970168379,"d":"0.001254"},null,"2002-09-30","Swap Value"]
["2001-07-01",{"v":2,"d":"2.0000"}," "," "," "," ",{"v":0,"d":"$0"}," ",{"$nulls":19},"2002-12-31"]
["2001-09-30",2.0225,{"v":-109999.99999999996,"d":"(110000)"},{"v":509999.99999999994,"d":"510000"},400000,{"v":0.2749999999999999,"d":"0.2750"},{"v":-12245.683285158255,"d":"($12,246)"},{"v":-3367.562903418519,"d":"($3,368)"},{"$nulls":7},"2002-12-31",null,"Quarterly","FX","Swap",null,"Hedged",null,null,"2002-12-31"]
["2001-12-31",{"v":2.015,"d":"2.0150"},{"v":-109999.99999999996,"d":"(110000)"},{"v":509999.99999999994,"d":"510000"},400000,{"v":0.2749999999999999,"d":"0.2750"},{"v":11105.431505579654,"d":"$11,105"},{"v":3053.993664034404,"d":"$3,054"},{"$nulls":7},"Yield","Quarterly","forward","Forward","Receive","Pay","Cash ",null,"Swap","Swap"]
["2002-03-31",1.9875,{"v":-109999.99999999996,"d":"(110000)"},{"v":509999.99999999994,"d":"510000"},400000,{"v":0.2749999999999999,"d":"0.2750"},{"v":21707.38326786602,"d":"$21,707"},{"v":5969.530398663153,"d":"$5,970"},{"$nulls":6},"Maturity","Curve","yields","rates","Rate","Variable","Fixed","Flow","Net Effect","cash flow","Value",{"$nulls":6},"t","FVIF"]
["2002-06-30",{"v":1.975,"d":"1.9750"},{"v":-109999.99999999996,"d":"(110000)"},{"v":509999.99999999994,"d":"510000"},400000,{"v":0.2749999999999999,"d":"0.2750"},{"v":16345.818391831548,"d":"$16,346"},{"v":4495.100057753674,"d":"$4,495"},{"$nulls":6},"2001-07-01"]
["2002-09-30",1.9685,{"v":-109999.99999999996,"d":"(110000)"},{"v":509999.99999999994,"d":"510000"},400000,{"v":0.2749999999999999,"d":"0.2750"},{"v":21773.653226100436,"d":"$21,774"},{"v":5987.754637177618,"d":"$5,988"},{"$nulls":6},"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":254999.99999999997,"d":"$255,000"},{"v":254999.99999999997,"d":"$255,000"},{"v":254999.99999999997,"d":"$255,000"},0,0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
["2002-12-31",{"v":1.948,"d":"1.9480"},{"v":-109999.99999999996,"d":"(110000)"},{"v":509999.99999999994,"d":"510000"},400000,{"v":0.2749999999999999,"d":"0.2750"},{"v":15107.128964098947,"d":"$15,107"},{"v":4154.460465127209,"d":"$4,154"},{"$nulls":6},"2001-12-31",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},{"v":2.025,"d":"2.0250"},{"v":251851.85185185182,"d":"$251,852"},{"v":254999.99999999997,"d":"$255,000"},{"v":251851.85185185182,"d":"$251,852"},{"v":248703.70370370368,"d":"$248,704"},{"v":-3148.148148148146,"d":"$(3,148)"},0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
["2003-03-31",1.9325,{"v":-109999.99999999996,"d":"(110000)"},{"v":509999.99999999994,"d":"510000"},400000,{"v":0.2749999999999999,"d":"0.2750"},{"v":9352.939725710296,"d":"$9,353"},{"v":2572.0584245703303,"d":"$2,572"},{"$nulls":6},"2002-03-31",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},{"v":2.015,"d":"2.0150"},{"v":253101.73697270468,"d":"$253,102"},{"v":254999.99999999997,"d":"$255,000"},{"v":253101.73697270468,"d":"$253,102"},{"v":251203.47394540938,"d":"$251,203"},{"v":-1898.2630272952956,"d":"$(1,898)"},0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
["2003-06-30",{"v":1.93,"d":"1.9300"},{"v":-109999.99999999996,"d":"(110000)"},{"v":509999.99999999994,"d":"510000"},400000,{"v":0.2749999999999999,"d":"0.2750"},{"v":0,"d":"$0"},{"v":0,"d":"$0"},{"$nulls":6},"2002-06-30",{"v":0.102,"d":"10.20%"},{"v":0.0255,"d":"2.550%"},{"v":0.0255,"d":"2.550%"},1.9878,{"v":256565.04678539085,"d":"$256,565"},{"v":254999.99999999997,"d":"$255,000"},{"v":256565.04678539085,"d":"$256,565"},{"v":258130.09357078173,"d":"$258,130"},{"v":1565.0467853908776,"d":"$1,565"},0,{"$nulls":6},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":254999.99999999997,"d":"$255,000"},{"v":258227.8481012658,"d":"$258,228"},{"v":261455.6962025316,"d":"$261,456"},{"v":3227.848101265816,"d":"$3,228"},0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
[" ",{"$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":254999.99999999997,"d":"$255,000"},{"v":259080.5181610363,"d":"$259,081"},{"v":263161.0363220726,"d":"$263,161"},{"v":4080.518161036307,"d":"$4,081"},0,{"$nulls":6},0,{"v":1,"d":"1.0000"}]
["The value of the swap each quarter is not affected directly by interest rate movements unless the",{"$nulls":13},"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":254999.99999999997,"d":"$255,000"},{"v":261806.98151950716,"d":"$261,807"},{"v":268613.9630390144,"d":"$268,614"},{"v":6806.981519507215,"d":"$6,807"},{"v":6637.719667973881,"d":"$6,638"},{"$nulls":6},{"v":1,"d":"1.00"},1.0255]
["swap has a variable interest rate leg to the swap.  In the Working Paper 288 case. Both XYZ Company",{"$nulls":13},"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":254999.99999999997,"d":"$255,000"},{"v":263906.85640362307,"d":"$263,907"},{"v":272813.7128072453,"d":"$272,814"},{"v":8906.856403622252,"d":"$8,907"},{"v":8469.409296125066,"d":"$8,469"},{"$nulls":6},{"v":2,"d":"2.00"},{"v":1.0516502500000002,"d":"1.0517"}]
["and ABC Bank have fixed interest rates.  Hence, interest rate movements do not impact upon the",{"$nulls":13},"Totals",{"$nulls":8},{"v":19540.839795379026,"d":"$19,541"},{"v":15107.128964098947,"d":"$15,107"},null,{"v":0.0012973811326536413,"d":"0.001297"},null,"2002-12-31","Swap Value"]
["swap value in the Working Paper 288 case.",{"$nulls":13}," "]
[" ",{"$nulls":14},"2003-03-31",null,"Quarterly","FX","Swap",null,"Hedged",null,null,"2003-03-31"]
["XYZ entered into the swap to hedge the foreign currency (FX) risk on its DM20 million note.  The",{"$nulls":14},"Yield","Quarterly","forward","Forward","Receive","Pay","Cash ",null,"Swap","Swap"]
["swap hedges a portion of the interest payments and all of the DM 20 million principal due at the",{"$nulls":13},"Maturity","Curve","yields","rates","Rate","Variable","Fixed","Flow","Net Effect","cash flow","Value",{"$nulls":7},"t","FVIF"]
["end of two years.",{"$nulls":13},"2001-07-01"]
[" ",{"$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":254999.99999999997,"d":"$255,000"},{"v":254999.99999999997,"d":"$255,000"},{"v":254999.99999999997,"d":"$255,000"},0,0,{"$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%"},{"v":2.025,"d":"2.0250"},{"v":251851.85185185182,"d":"$251,852"},{"v":254999.99999999997,"d":"$255,000"},{"v":251851.85185185182,"d":"$251,852"},{"v":248703.70370370368,"d":"$248,704"},{"v":-3148.148148148146,"d":"$(3,148)"},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%"},{"v":2.015,"d":"2.0150"},{"v":253101.73697270468,"d":"$253,102"},{"v":254999.99999999997,"d":"$255,000"},{"v":253101.73697270468,"d":"$253,102"},{"v":251203.47394540938,"d":"$251,203"},{"v":-1898.2630272952956,"d":"$(1,898)"},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%"},1.9878,{"v":256565.04678539085,"d":"$256,565"},{"v":254999.99999999997,"d":"$255,000"},{"v":256565.04678539085,"d":"$256,565"},{"v":258130.09357078173,"d":"$258,130"},{"v":1565.0467853908776,"d":"$1,565"},0,{"$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":254999.99999999997,"d":"$255,000"},{"v":258227.8481012658,"d":"$258,228"},{"v":261455.6962025316,"d":"$261,456"},{"v":3227.848101265816,"d":"$3,228"},0,{"$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":254999.99999999997,"d":"$255,000"},{"v":259080.5181610363,"d":"$259,081"},{"v":263161.0363220726,"d":"$263,161"},{"v":4080.518161036307,"d":"$4,081"},0,{"$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":254999.99999999997,"d":"$255,000"},{"v":261806.98151950716,"d":"$261,807"},{"v":268613.9630390144,"d":"$268,614"},{"v":6806.981519507215,"d":"$6,807"},0,{"$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":254999.99999999997,"d":"$255,000"},{"v":264591.4396887159,"d":"$264,591"},{"v":274182.8793774318,"d":"$274,183"},{"v":9591.43968871591,"d":"$9,591"},{"v":9352.939725710296,"d":"$9,353"},{"$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":20225.423080472683,"d":"$20,225"},{"v":9352.939725710296,"d":"$9,353"},{"$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"},{"v":2,"d":"2.0000"},{"v":2.025,"d":"2.0250"},"2002-03-31"]
["2002-03-31",1.9875,{"v":2,"d":"2.0000"},{"v":2.05,"d":"2.0500"},{"v":2.015,"d":"2.0150"},"2002-06-30"]
["2002-06-30",{"v":1.975,"d":"1.9750"},{"v":2,"d":"2.0000"},{"v":2.025,"d":"2.0250"},2.0025,1.9878,"2002-09-30"]
["2002-09-30",1.9685,{"v":2,"d":"2.0000"},{"v":2.015,"d":"2.0150"},1.9975,1.9825,{"v":1.975,"d":"1.9750"},"2002-12-31"]
["2002-12-31",{"v":1.948,"d":"1.9480"},{"v":2,"d":"2.0000"},{"v":1.995,"d":"1.9950"},{"v":1.995,"d":"1.9950"},{"v":1.975,"d":"1.9750"},1.9725,1.9685,"2003-03-31"]
["2003-03-31",1.9325,{"v":2,"d":"2.0000"},1.9975,1.9925,1.9725,1.9675,1.9425,{"v":1.948,"d":"1.9480"},"2003-06-30"]
["2003-06-30",{"v":1.93,"d":"1.9300"},{"v":2,"d":"2.0000"},{"v":1.995,"d":"1.9950"},{"v":1.9,"d":"1.9000"},{"v":1.9,"d":"1.9000"},{"v":1.95,"d":"1.9500"},1.9375,1.9325,1.9275]
[" "]
[]
[]
[]
["Summary of Input to the Effectiveness Case Solution"]
["You may change the values shown below in blue in order to test the sensitivity of the"]
["Effectiveness Solution outcomes.  In particular, you should compare patterns of rising versus"]
["falling APR spot rates of interest (LIBOR)."]
[null,"Ex Post","Ex Post","Ex Ante","Ex Ante","Ex Ante","Ex Ante","Ex Ante","Ex Ante","Ex Ante"," "]
[null,"FX","Bond","Yield Curve","Yield Curve","Yield Curve","Yield Curve","Yield Curve","Yield Curve","Yield Curve"," "]
["Date","Spot","Rates","Rates","Rates","Rates","Rates","Rates","Rates","Rates"," "]
["2001-07-01",{"v":2,"d":"2.0000"}," ","2000-09-30"]
["2001-09-30",2.0225,{"v":2.045,"d":"204.5000%"},{"v":0.102,"d":"10.20%"},"2000-12-31"]
["2001-12-31",{"v":2.015,"d":"2.0150"},{"v":2.0375,"d":"203.7500%"},{"v":0.102,"d":"10.20%"},{"v":0.102,"d":"10.20%"},"2001-03-30"]
["2002-03-31",1.9875,{"v":2.0100000000000002,"d":"201.0000%"},{"v":0.102,"d":"10.20%"},{"v":0.102,"d":"10.20%"},{"v":0.102,"d":"10.20%"},"2001-06-29"]
["2002-06-30",{"v":1.975,"d":"1.9750"},{"v":1.9975,"d":"199.7500%"},{"v":0.102,"d":"10.20%"},{"v":0.102,"d":"10.20%"},{"v":0.102,"d":"10.20%"},{"v":0.102,"d":"10.20%"},"2001-09-29"]
["2002-09-30",1.9685,{"v":1.9909999999999999,"d":"199.1000%"},{"v":0.102,"d":"10.20%"},{"v":0.102,"d":"10.20%"},{"v":0.102,"d":"10.20%"},{"v":0.102,"d":"10.20%"},{"v":0.102,"d":"10.20%"},"2001-12-30"]
["2002-12-31",{"v":1.948,"d":"1.9480"},{"v":1.9705,"d":"197.0500%"},{"v":0.102,"d":"10.20%"},{"v":0.102,"d":"10.20%"},{"v":0.102,"d":"10.20%"},{"v":0.102,"d":"10.20%"},{"v":0.102,"d":"10.20%"},{"v":0.102,"d":"10.20%"},"2002-03-30"]
["2003-03-31",1.9325,{"v":1.955,"d":"195.5000%"},{"v":0.102,"d":"10.20%"},{"v":0.102,"d":"10.20%"},{"v":0.102,"d":"10.20%"},{"v":0.102,"d":"10.20%"},{"v":0.102,"d":"10.20%"},{"v":0.102,"d":"10.20%"},{"v":0.102,"d":"10.20%"},"2002-06-30"]
["2003-06-30",{"v":1.93,"d":"1.9300"},{"v":1.9525,"d":"195.2500%"},{"v":0.102,"d":"10.20%"},{"v":0.102,"d":"10.20%"},{"v":0.102,"d":"10.20%"},{"v":0.102,"d":"10.20%"},{"v":0.102,"d":"10.20%"},{"v":0.102,"d":"10.20%"},{"v":0.102,"d":"10.20%"},{"v":0.102,"d":"10.20%"}]
[null,null,"Swap Value =",{"v":-12245.683285158255,"d":"($12,246)"},{"v":11105.431505579654,"d":"$11,105"},{"v":21707.38326786602,"d":"$21,707"},{"v":16345.818391831548,"d":"$16,346"},{"v":21773.653226100436,"d":"$21,774"},{"v":15107.128964098947,"d":"$15,107"},{"v":9352.939725710296,"d":"$9,353"},{"v":0,"d":"$0"}]
[]
[" "]
["The swap outcomes are shown below:",{"$nulls":3}," ",{"$nulls":3},"    There is slight rounding error below:"]
[null,"Fixed","Ex Post","Variable","Fixed ","Spot Rate","Swap Rate","Interest Rate","Interest ","Bond","Bond "]
[null,"Swap","DM/$","Swap","Swap","Relative to","Minus","Swap","Rate Swap","Revenue","Revenue"]
["Date","Receivable","Rates","Receivable","Payable","July 1 Rate","Spot Rate","Cash Flow","Valuation","Unhedged","Hedged"]
["2001-07-01",{"v":0.0255,"d":"2.55%"},{"v":2,"d":"2.0000"},{"v":0.0255,"d":"2.5500%"},{"v":0.0255,"d":"2.5500%"},{"v":1,"d":"100.0000%"},{"v":0,"d":"0.0000%"},{"v":0,"d":"0 "},{"v":-12245.683285158255,"d":"(12,246)"},{"v":127499.99999999999,"d":"127,500 "},{"v":127499.99999999999,"d":"127,500 "}]
["2001-09-30",{"v":0.0255,"d":"2.55%"},2.0225,{"v":0.025786874999999997,"d":"2.5787%"},{"v":0.0255,"d":"2.5500%"},{"v":1,"d":"100.0000%"},{"v":0.00028687499999999894,"d":"0.0287%"},{"v":2868.7499999999895,"d":"2,869 "},{"v":11105.431505579654,"d":"11,105 "},{"v":128934.37499999999,"d":"128,934 "},{"v":131803.12499999997,"d":"131,803 "}]
["2001-12-31",{"v":0.0255,"d":"2.55%"},{"v":2.015,"d":"2.0150"},{"v":0.02569125,"d":"2.5691%"},{"v":0.0255,"d":"2.5500%"},{"v":1,"d":"100.0000%"},{"v":0.00019125000000000045,"d":"0.0191%"},{"v":1912.5000000000045,"d":"1,913 "},{"v":21707.38326786602,"d":"21,707 "},{"v":128456.25,"d":"128,456 "},{"v":130368.75,"d":"130,369 "}]
["2002-03-31",{"v":0.0255,"d":"2.55%"},1.9875,{"v":0.025340625,"d":"2.5341%"},{"v":0.0255,"d":"2.5500%"},{"v":1,"d":"100.0000%"},{"v":-0.0001593749999999998,"d":"-0.0159%"},{"v":-1593.749999999998,"d":"(1,594)"},{"v":16345.818391831548,"d":"16,346 "},{"v":126703.12499999999,"d":"126,703 "},{"v":125109.37499999999,"d":"125,109 "}]
["2002-06-30",{"v":0.0255,"d":"2.55%"},{"v":1.975,"d":"1.9750"},{"v":0.02518125,"d":"2.5181%"},{"v":0.0255,"d":"2.5500%"},{"v":1,"d":"100.0000%"},{"v":-0.0003187499999999996,"d":"-0.0319%"},{"v":-3187.499999999996,"d":"(3,188)"},{"v":21773.653226100436,"d":"21,774 "},{"v":125906.24999999999,"d":"125,906 "},{"v":122718.74999999999,"d":"122,719 "}]
["2002-09-30",{"v":0.0255,"d":"2.55%"},1.9685,{"v":0.025098374999999996,"d":"2.5098%"},{"v":0.0255,"d":"2.5500%"},{"v":1,"d":"100.0000%"},{"v":-0.0004016250000000027,"d":"-0.0402%"},{"v":-4016.250000000027,"d":"(4,016)"},{"v":15107.128964098947,"d":"15,107 "},{"v":125491.87499999999,"d":"125,492 "},{"v":121475.62499999996,"d":"121,476 "}]
["2002-12-31",{"v":0.0255,"d":"2.55%"},{"v":1.948,"d":"1.9480"},{"v":0.024836999999999998,"d":"2.4837%"},{"v":0.0255,"d":"2.5500%"},{"v":1,"d":"100.0000%"},{"v":-0.0006630000000000004,"d":"-0.0663%"},{"v":-6630.000000000004,"d":"(6,630)"},{"v":9352.939725710296,"d":"9,353 "},{"v":124184.99999999999,"d":"124,185 "},{"v":117554.99999999999,"d":"117,555 "}]
["2003-03-31",{"v":0.0255,"d":"2.55%"},1.9325,{"v":0.024639374999999998,"d":"2.4639%"},{"v":0.0255,"d":"2.5500%"},{"v":1,"d":"100.0000%"},{"v":-0.0008606250000000003,"d":"-0.0861%"},{"v":-8606.250000000004,"d":"(8,606)"},{"v":0,"d":"0 "},{"v":123196.875,"d":"123,197 "},{"v":114590.625,"d":"114,591 "}]
[null," "," "," "," "," "," ",{"v":-19252.500000000033,"d":"($19,253)"},"=sum of net swap receipts"]
[]
[]
[]
["The actual note values are compared with the estimated values below:"]
{"$rows_empty":26}
["Other amounts needed for the journal entries under FASB 133 are derived below:"]
[{"$nulls":8}," "]
[{"$nulls":3}," "," ","Accural ="," "," "," "]
[" ",null,null,"Interest"," ","Swap Cash"," "," "," "," "," "]
[" ",null,null,"Rate Swap","Effect of","Flow Minus","Interest Rate","Bond","Interest","Bond","Actual"]
[null,null,"Bond","Swap","Change","Amortization","Swap","Revenue","Rate Swap","Revenue","Bond"]
[null,"Quarter","Principal","Valuation","in Rates","of Basis","Cash Flow","Unhedged","Ineffectiveness","Hedged","Value"]
["2001-07-01",0,{"v":254999.99999999997,"d":"$255,000"},{"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"},{"v":254999.99999999997,"d":"$255,000"}]
["2001-09-30",1,{"v":254999.99999999997,"d":"$255,000"},{"v":-12245.683285158255,"d":"($12,246)"},{"v":-12245.683285158255,"d":"($12,246)"},{"v":0,"d":"$0"},{"v":0,"d":"$0"},{"v":127499.99999999999,"d":"$127,500"},{"v":-8.847089727481715e-12,"d":"($0)"},{"v":127499.99999999997,"d":"$127,500"},{"v":254999.99999999997,"d":"$255,000"}]
["2001-12-31",2,{"v":254999.99999999997,"d":"$255,000"},{"v":11105.431505579654,"d":"$11,105"},{"v":26532.129714509432,"d":"$26,532"},{"v":-312.2649237715355,"d":"($312)"},{"v":2868.7499999999895,"d":"$2,869"},{"v":128934.37499999999,"d":"$128,934"},{"v":-8.847089727481715e-12,"d":"($0)"},{"v":131803.12499999997,"d":"$131,803"},{"v":254999.99999999997,"d":"$255,000"}]
["2002-03-31",3,{"v":254999.99999999997,"d":"$255,000"},{"v":21707.38326786602,"d":"$21,707"},{"v":12231.263258894087,"d":"$12,231"},{"v":283.1885033922812,"d":"$283"},{"v":1912.5000000000045,"d":"$1,913"},{"v":128456.25,"d":"$128,456"},{"v":4.777428452840126e-11,"d":"$0"},{"v":130368.75000000004,"d":"$130,369"},{"v":254999.99999999997,"d":"$255,000"}]
["2002-06-30",4,{"v":254999.99999999997,"d":"$255,000"},{"v":16345.818391831548,"d":"$16,346"},{"v":-7508.853149365052,"d":"($7,509)"},{"v":553.5382733305835,"d":"$554"},{"v":-1593.749999999998,"d":"($1,594)"},{"v":126703.12499999999,"d":"$126,703"},{"v":-8.847089727481715e-12,"d":"($0)"},{"v":125109.37499999997,"d":"$125,109"},{"v":254999.99999999997,"d":"$255,000"}]
["2002-09-30",5,{"v":254999.99999999997,"d":"$255,000"},{"v":21773.653226100436,"d":"$21,774"},{"v":1823.5164652771878,"d":"$1,824"},{"v":416.81836899170446,"d":"$417"},{"v":-3187.499999999996,"d":"($3,188)"},{"v":125906.24999999999,"d":"$125,906"},{"v":-8.847089727481715e-12,"d":"($0)"},{"v":122718.74999999997,"d":"$122,719"},{"v":254999.99999999997,"d":"$255,000"}]
["2002-12-31",6,{"v":254999.99999999997,"d":"$255,000"},{"v":15107.128964098947,"d":"$15,107"},{"v":-11238.002419267077,"d":"($11,238)"},{"v":555.2281572655611,"d":"$555"},{"v":-4016.250000000027,"d":"($4,016)"},{"v":125491.87499999999,"d":"$125,492"},{"v":-8.847089727481715e-12,"d":"($0)"},{"v":121475.62499999994,"d":"$121,476"},{"v":254999.99999999997,"d":"$255,000"}]
["2003-03-31",7,{"v":254999.99999999997,"d":"$255,000"},{"v":9352.939725710296,"d":"$9,353"},{"v":-12769.421026973178,"d":"($12,769)"},{"v":385.23178858452314,"d":"$385"},{"v":-6630.000000000004,"d":"($6,630)"},{"v":124184.99999999999,"d":"$124,185"},{"v":-8.847089727481715e-12,"d":"($0)"},{"v":117554.99999999997,"d":"$117,555"},{"v":254999.99999999997,"d":"$255,000"}]
["2003-06-30",8,{"v":254999.99999999997,"d":"$255,000"},{"v":0,"d":"$0"},{"v":-18197.68968871591,"d":"($18,198)"},{"v":238.49996300561253,"d":"$238"},{"v":-8606.250000000004,"d":"($8,606)"},{"v":123196.875,"d":"$123,197"},{"v":-8.847089727481715e-12,"d":"($0)"},{"v":114590.62499999999,"d":"$114,591"}," ",{"$error":"#REF!"}]
[{"$nulls":3},"Small rounding error in the above calculations. ",{"$nulls":3}," "]
[]
[]
[]
["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",{"$nulls":3},{"v":2836.8355995055463,"d":"2,837 "},{"v":200611.86650185412,"d":"200,612 "},"2001-09-30"]
[null,"Cash",{"$nulls":3},{"v":-2836.8355995055463,"d":"(2,837)"},{"v":9799388.133498145,"d":"9,799,388 "}]
[null,"-To record swap receipt (payment)"]
[{"$nulls":3}," "]
["2001-09-30","Foreign currency swaps receivable/payable",{"$nulls":3},{"v":-12245.683285158255,"d":"(12,246)"},{"v":-12245.683285158255,"d":"(12,246)"},"2001-09-30"]
[null,"OCI adjusted for changes in the swap valuation",{"$nulls":3},{"v":8878.120381739736,"d":"8,878 "},{"v":8878.120381739736,"d":"8,878 "}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":3367.562903418519,"d":"3,368 "},{"v":3367.562903418519,"d":"3,368 "}]
[null,"-To record change in swap's fairvalue"]
[]
["2001-09-30","Retained earnings",{"$nulls":3},{"v":203979.42940527265,"d":"203,979 "},{"v":203979.42940527265,"d":"203,979 "},"2001-09-30"]
[null,"Interest expense/revenue",{"$nulls":3},{"v":-200611.86650185412,"d":"(200,612)"},{"v":0,"d":"0 "}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":-3367.562903418519,"d":"(3,368)"},{"v":0,"d":"0 "}]
[null,"-To close expense and revenue accounts"]
[]
[]
[{"$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",{"$nulls":3},{"v":-198511.16625310172,"d":"(198,511)"},{"v":9600876.967245044,"d":"9,600,877 "}]
[null,"-To record payment on German mark note"]
[]
["2001-12-31","Interest expense/revenue",{"$nulls":3},{"v":1898.2630272952956,"d":"1,898 "},{"v":200409.42928039702,"d":"200,409 "},"2001-12-31"]
[null,"Cash",{"$nulls":3},{"v":-1898.2630272952956,"d":"(1,898)"},{"v":9598978.704217749,"d":"9,598,979 "}]
[null,"-To record swap receipt (payment)"]
[{"$nulls":3}," "]
["2001-12-31","Foreign currency swaps receivable/payable",{"$nulls":3},{"v":23351.11479073791,"d":"23,351 "},{"v":11105.431505579654,"d":"11,105 "},"2001-12-31"]
[null,"Accrued interest on swap",{"$nulls":3},{"v":-312.2649237715355,"d":"(312)"},{"v":-312.2649237715355,"d":"(312)"}]
[null,"OCI adjusted for changes in the swap valuation",{"$nulls":3},{"v":-19984.856202931973,"d":"(19,985)"},{"v":-11106.735821192236,"d":"(11,107)"}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":-3053.993664034404,"d":"(3,054)"},{"v":-3053.993664034404,"d":"(3,054)"}]
[null,"-To record change in swap's fairvalue"]
[]
["2001-12-31","Retained earnings",{"$nulls":3},{"v":197355.4356163626,"d":"197,355 "},{"v":401334.86502163525,"d":"401,335 "},"2001-12-31"]
[null,"Interest expense/revenue",{"$nulls":3},{"v":-200409.42928039702,"d":"(200,409)"},{"v":0,"d":"0 "}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":3053.993664034404,"d":"3,054 "},{"v":0,"d":"0 "}]
[null,"-To close expense and revenue accounts"]
[]
[]
[{"$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",{"$nulls":3},{"v":-201257.86163522012,"d":"(201,258)"},{"v":9397720.84258253,"d":"9,397,721 "}]
[null,"-To record payment on German mark note"]
[]
["2002-03-31","Interest expense/revenue",{"$nulls":3},{"v":-1603.7735849056626,"d":"(1,604)"},{"v":199654.08805031446,"d":"199,654 "},"2002-03-31"]
[null,"Cash",{"$nulls":3},{"v":1603.7735849056626,"d":"1,604 "},{"v":9399324.616167435,"d":"9,399,325 "}]
[null,"-To record swap receipt (payment)"]
[{"$nulls":3}," "]
["2002-03-31","Foreign currency swaps receivable/payable",{"$nulls":3},{"v":10601.951762286364,"d":"10,602 "},{"v":21707.38326786602,"d":"21,707 "},"2002-03-31"]
[null,"Accrued interest on swap",{"$nulls":3},{"v":595.4534271638167,"d":"595 "},{"v":283.1885033922812,"d":"283 "}]
[null,"OCI adjusted for changes in the swap valuation",{"$nulls":3},{"v":-5227.874790787027,"d":"(5,228)"},{"v":-16334.610611979264,"d":"(16,335)"}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":-5969.530398663153,"d":"(5,970)"},{"v":-5969.530398663153,"d":"(5,970)"}]
[null,"-To record change in swap's fairvalue"]
[]
["2002-03-31","Retained earnings",{"$nulls":3},{"v":193684.5576516513,"d":"193,685 "},{"v":595019.4226732865,"d":"595,019 "},"2002-03-31"]
[null,"Interest expense/revenue",{"$nulls":3},{"v":-199654.08805031446,"d":"(199,654)"},{"v":0,"d":"0 "}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":5969.530398663153,"d":"5,970 "},{"v":0,"d":"0 "}]
[null,"-To close interest expense/revenue"]
[]
[]
[{"$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",{"$nulls":3},{"v":-202531.64556962025,"d":"(202,532)"},{"v":9196792.970597815,"d":"9,196,793 "}]
[null,"-To record payment on German mark note"]
[]
["2002-06-30","Interest expense/revenue",{"$nulls":3},{"v":-3227.848101265816,"d":"(3,228)"},{"v":199303.79746835443,"d":"199,304 "},"2002-06-30"]
[null,"Cash",{"$nulls":3},{"v":3227.848101265816,"d":"3,228 "},{"v":9200020.81869908,"d":"9,200,021 "}]
[null,"-To record swap receipt (payment)"]
[{"$nulls":3}," "]
["2002-06-30","Foreign currency swaps receivable/payable",{"$nulls":3},{"v":-5361.56487603447,"d":"(5,362)"},{"v":16345.818391831548,"d":"16,346 "},"2002-06-30"]
[null,"Accrued interest on swap",{"$nulls":3},{"v":270.3497699383023,"d":"270 "},{"v":553.5382733305835,"d":"554 "}]
[null,"OCI adjusted for changes in the swap valuation",{"$nulls":3},{"v":9586.315163849842,"d":"9,586 "},{"v":-6748.295448129422,"d":"(6,748)"}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":-4495.100057753674,"d":"(4,495)"},{"v":-4495.100057753674,"d":"(4,495)"}]
[null,"-To record change in swap's fairvalue"]
[]
["2002-06-30","Retained earnings",{"$nulls":3},{"v":194808.69741060075,"d":"194,809 "},{"v":789828.1200838872,"d":"789,828 "},"2002-06-30"]
[null,"Interest expense/revenue",{"$nulls":3},{"v":-199303.79746835443,"d":"(199,304)"},{"v":0,"d":"0 "}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":4495.100057753674,"d":"4,495 "},{"v":0,"d":"0 "}]
[null,"-To close interest expense/revenue"]
[]
[]
[{"$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",{"$nulls":3},{"v":-203200.40640081282,"d":"(203,200)"},{"v":8996820.412298268,"d":"8,996,820 "}]
[null,"-To record payment on German mark note"]
[]
["2002-09-30","Interest expense/revenue",{"$nulls":3},{"v":-4080.518161036336,"d":"(4,081)"},{"v":199119.88823977648,"d":"199,120 "},"2002-09-30"]
[null,"Cash",{"$nulls":3},{"v":4080.518161036336,"d":"4,081 "},{"v":9000900.930459304,"d":"9,000,901 "}]
[null,"-To record swap receipt (payment)"]
[{"$nulls":3}," "]
["2002-09-30","Foreign currency swaps receivable/payable",{"$nulls":3},{"v":5427.834834268888,"d":"5,428 "},{"v":21773.653226100436,"d":"21,774 "},"2002-09-30"]
[null,"Accrued interest on swap",{"$nulls":3},{"v":-136.71990433887902,"d":"(137)"},{"v":416.81836899170446,"d":"417 "}]
[null,"OCI adjusted for changes in the swap valuation",{"$nulls":3},{"v":696.6397072476093,"d":"697 "},{"v":-6051.655740881813,"d":"(6,052)"}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":-5987.754637177618,"d":"(5,988)"},{"v":-5987.754637177618,"d":"(5,988)"}]
[null,"-To record change in swap's fairvalue"]
[]
["2002-09-30","Retained earnings",{"$nulls":3},{"v":193132.13360259886,"d":"193,132 "},{"v":982960.253686486,"d":"982,960 "},"2002-09-30"]
[null,"Interest expense/revenue",{"$nulls":3},{"v":-199119.88823977648,"d":"(199,120)"},{"v":0,"d":"0 "}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":5987.754637177618,"d":"5,988 "},{"v":0,"d":"0 "}]
[null,"-To close interest expense/revenue"]
[]
[]
[{"$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",{"$nulls":3},{"v":-205338.8090349076,"d":"(205,339)"},{"v":8795562.121424396,"d":"8,795,562 "}]
[null,"-To record payment on German mark note"]
[]
["2002-12-31","Interest expense/revenue",{"$nulls":3},{"v":-6806.981519507186,"d":"(6,807)"},{"v":198531.82751540042,"d":"198,532 "},"2002-12-31"]
[null,"Cash",{"$nulls":3},{"v":6806.981519507186,"d":"6,807 "},{"v":8802369.102943903,"d":"8,802,369 "}]
[null,"-To record swap receipt (payment)"]
[{"$nulls":3}," "]
["2002-12-31","Foreign currency swaps receivable/payable",{"$nulls":3},{"v":-6666.524262001489,"d":"(6,667)"},{"v":15107.128964098947,"d":"15,107 "},"2002-12-31"]
[null,"Accrued interest on swap",{"$nulls":3},{"v":138.40978827385663,"d":"138 "},{"v":555.2281572655611,"d":"555 "}]
[null,"OCI adjusted for changes in the swap valuation",{"$nulls":3},{"v":10682.574938854841,"d":"10,683 "},{"v":4630.9191979730285,"d":"4,631 "}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":-4154.460465127209,"d":"(4,154)"},{"v":-4154.460465127209,"d":"(4,154)"}]
[null,"-To record change in swap's fairvalue"]
["2002-12-31",{"$nulls":6},"2002-12-31"]
[null,"Retained earnings",{"$nulls":3},{"v":194377.36705027323,"d":"194,377 "},{"v":1177337.6207367592,"d":"1,177,338 "}]
[null,"Interest expense/revenue",{"$nulls":3},{"v":-198531.82751540042,"d":"(198,532)"},{"v":0,"d":"0 "}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":4154.460465127209,"d":"4,154 "},{"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":8595383.333215572,"d":"8,595,383 "}]
[null,"-To record payment on German mark note"]
[]
["2003-03-31","Interest expense/revenue",{"$nulls":3},{"v":-8906.856403622223,"d":"(8,907)"},{"v":198078.91332470893,"d":"198,079 "},"2003-03-31"]
[null,"Cash",{"$nulls":3},{"v":8906.856403622223,"d":"8,907 "},{"v":8604290.189619195,"d":"8,604,290 "}]
[null,"-To record swap receipt (payment)"]
[{"$nulls":3}," "]
["2003-03-31","Foreign currency swaps receivable/payable",{"$nulls":3},{"v":-5754.189238388652,"d":"(5,754)"},{"v":9352.939725710296,"d":"9,353 "},"2003-03-31"]
[null,"Accrued interest on swap",{"$nulls":3},{"v":-169.99636868103795,"d":"(170)"},{"v":385.23178858452314,"d":"385 "}]
[null,"OCI adjusted for changes in the swap valuation",{"$nulls":3},{"v":8496.24403164002,"d":"8,496 "},{"v":13127.163229613048,"d":"13,127 "}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":-2572.0584245703303,"d":"(2,572)"},{"v":-2572.0584245703303,"d":"(2,572)"}]
[null,"-To record change in swap's fairvalue"]
[]
["2003-03-31","Retained earnings",{"$nulls":3},{"v":195506.8549001386,"d":"195,507 "},{"v":1372844.4756368978,"d":"1,372,844 "},"2003-03-31"]
[null,"Interest expense/revenue",{"$nulls":3},{"v":-198078.91332470893,"d":"(198,079)"},{"v":0,"d":"0 "}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":2572.0584245703303,"d":"2,572 "},{"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":8397036.303608833,"d":"8,397,036 "}]
[null,"-To record payment on German mark note"]
[]
["2003-06-30","Interest expense/revenue",{"$nulls":3},{"v":-9248.70466321244,"d":"(9,249)"},{"v":198005.18134715027,"d":"198,005 "},"2003-06-30"]
[null,"Cash",{"$nulls":3},{"v":9248.70466321244,"d":"9,249 "},{"v":8406285.008272046,"d":"8,406,285 "}]
[null,"-To record swap receipt (payment)"]
[{"$nulls":3}," "]
["2003-06-30","Foreign currency swaps receivable/payable",{"$nulls":3},{"v":-9352.939725710296,"d":"(9,353)"},{"v":0,"d":"0 "},"2003-06-30"]
[null,"Accrued interest on swap",{"$nulls":3},{"v":-385.23178858452314,"d":"(385)"},{"v":0,"d":"0 "}]
[null,"OCI adjusted for changes in the swap valuation",{"$nulls":3},{"v":9738.171514294818,"d":"9,738 "},{"v":22865.334743907864,"d":"22,865 "}]
[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":198005.18134715027,"d":"198,005 "},{"v":1570849.6569840482,"d":"1,570,850 "},"2003-06-30"]
[null,"Interest expense/revenue",{"$nulls":3},{"v":-198005.18134715027,"d":"(198,005)"},{"v":0,"d":"0 "}]
[null,"Loss (gain) on swap overhedging",{"$nulls":3},{"v":0,"d":"0 "},{"v":0,"d":"0 "}]
[null,"-To close interest expense/revenue"]
[]
["2003-06-30","Cash",{"$nulls":3},{"v":-10000000,"d":"(10,000,000)"},{"v":-1593714.9917279538,"d":"(1,593,715)"},"2003-06-30"]
[null,"Cash",{"$nulls":3},{"v":10000000,"d":"10,000,000 "},{"v":8406285.008272046,"d":"8,406,285 "}]
[null,"-To record exchange of swap notionals"]
[]
[null,"Cash",{"$nulls":3},{"v":-10000000,"d":"(10,000,000)"},{"v":-11593714.991727954,"d":"(11,593,715)"}]
[null,"Notes payable",{"$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","Hedged"," "]
[null,"Note","Currency","Note"," "]
[null,"Interest","Swap","Interest"]
["2001-09-30",{"v":197775.03090234858,"d":"197,775 "},{"v":-2836.8355995055463,"d":"(2,837)"},{"v":200611.86650185412,"d":"200,612 "}]
["2001-12-31",{"v":198511.16625310172,"d":"198,511 "},{"v":-1898.2630272952956,"d":"(1,898)"},{"v":200409.42928039702,"d":"200,409 "}]
["2002-03-31",{"v":201257.86163522012,"d":"201,258 "},{"v":1603.7735849056626,"d":"1,604 "},{"v":199654.08805031446,"d":"199,654 "}]
["2002-06-30",{"v":202531.64556962025,"d":"202,532 "},{"v":3227.848101265816,"d":"3,228 "},{"v":199303.79746835443,"d":"199,304 "}]
["2002-09-30",{"v":203200.40640081282,"d":"203,200 "},{"v":4080.518161036336,"d":"4,081 "},{"v":199119.88823977648,"d":"199,120 "}]
["2002-12-31",{"v":205338.8090349076,"d":"205,339 "},{"v":6806.981519507186,"d":"6,807 "},{"v":198531.82751540042,"d":"198,532 "}]
["2003-03-31",{"v":206985.76972833116,"d":"206,986 "},{"v":8906.856403622223,"d":"8,907 "},{"v":198078.91332470893,"d":"198,079 "}]
["2003-06-30",{"v":207253.8860103627,"d":"207,254 "},{"v":9248.70466321244,"d":"9,249 "},{"v":198005.18134715027,"d":"198,005 "}]
["Total =",{"v":1622854.5755347048,"d":"$1,622,855"},{"v":29139.583806748822,"d":"$29,140"},{"v":1593714.991727956,"d":"$1,593,715"}," "]
[null,null," ",null," "]
[]
[{"$nulls":3}," "]

{"sheet":"Summary","index":2,"n_rows":54,"n_cols":6,"rows_kept":54,"flags":["formulas_cached_only"]}
["This is a summary sheet of the key journal entries and calculations."]
[]
[]
[null,null,"Swap","OCI","Earnings","Cash"]
["Ex Post",null,"Debit (Credit)","Debit (Credit)","Debit (Credit)","Debit (Credit)"]
[{"v":0.0556,"d":"5.56%"},"7/1/X1",0]
[]
[null,"Interest accrued",0]
[null,"Payment (Receipt)",{"v":-27250,"d":"(27,250)"},null,null,{"v":27250,"d":"27,250"}]
[null,"Effect of change in rates",{"v":52100,"d":"52,100"},{"v":-52100,"d":"(52,100)"}]
[null,"Reclassification to earnings",0,{"v":27250,"d":"27,250"},{"v":-27250,"d":"(27,250)"},0]
[{"v":0.0563,"d":"5.63%"},"9/30/X1",{"v":24850,"d":"24,850"},{"v":-24850,"d":"(24,850)"},{"v":-27250,"d":"(27,250)"},{"v":27250,"d":"27,250"}]
[]
[null,"Interest accrued",{"v":349.76375,"d":"$350"},{"v":-349.76375,"d":"(350)"}]
[null,"Payment (Receipt)",{"v":-25500,"d":"(25,500)"},null,null,{"v":25500,"d":"25,500"}]
[null,"Effect of change in rates",{"v":74100.23625,"d":"74,100"},{"v":-74100.23625,"d":"(74,100)"}]
[null,"Reclassification to earnings",0,{"v":25500,"d":"25,500"},{"v":-25500,"d":"(25,500)"},0]
[{"v":0.0556,"d":"5.56%"},"12/31/X1",{"v":73800,"d":"73,800"},{"v":-73800,"d":"(73,800)"},{"v":-25500,"d":"(25,500)"},{"v":25500,"d":"25,500"}]
[]
[null,"Interest accrued",{"v":1025.82,"d":"$1,026"},{"v":-1025.82,"d":"(1,026)"}]
[null,"Payment (Receipt)",{"v":-27250,"d":"(27,250)"},null,null,{"v":27250,"d":"27,250"}]
[null,"Effect of change in rates",{"v":38334.18,"d":"38,334"},{"v":-38334.18,"d":"(38,334)"}]
[null,"Reclassification to earnings",0,{"v":27250,"d":"27,250"},{"v":-27250,"d":"(27,250)"},0]
[{"v":0.0547,"d":"5.47%"},"3/31/X2",{"v":85910,"d":"85,910"},{"v":-85910,"d":"(85,910)"},{"v":-27250,"d":"(27,250)"},{"v":27250,"d":"27,250"}]
[]
[null,"Interest accrued",{"v":1174.81925,"d":"$1,175"},{"v":-1174.81925,"d":"(1,175)"}]
[null,"Payment (Receipt)",{"v":-29500,"d":"(29,500)"},null,null,{"v":29500,"d":"29,500"}]
[null,"Effect of change in rates",{"v":-100404.81925,"d":"(100,405)"},{"v":100404.81925,"d":"100,405"}]
[null,"Reclassification to earnings",0,{"v":29500,"d":"29,500"},{"v":-29500,"d":"(29,500)"},0]
[{"v":0.0675,"d":"6.75%"},"6/30/X2",{"v":-42820,"d":"(42,820)"},{"v":42820,"d":"42,820"},{"v":-29500,"d":"(29,500)"},{"v":29500,"d":"29,500"}]
[]
[null,"Interest accrued",{"v":-722.5875000000001,"d":"$(723)"},{"v":722.5875000000001,"d":"723"}]
[null,"Payment (Receipt)",{"v":2500,"d":"2,500"},null,null,{"v":-2500,"d":"(2,500)"}]
[null,"Effect of change in rates",{"v":7882.5875,"d":"7,883"},{"v":-7882.5875,"d":"(7,883)"}]
[null,"Reclassification to earnings",0,{"v":-2500,"d":"(2,500)"},{"v":2500,"d":"2,500"},0]
[{"v":0.0686,"d":"6.86%"},"9/30/X2",{"v":-33160,"d":"(33,160)"},{"v":33160,"d":"33,160"},{"v":2500,"d":"2,500"},{"v":-2500,"d":"(2,500)"}]
[]
[null,"Interest accrued",{"v":-568.694,"d":"$(569)"},{"v":568.694,"d":"569"}]
[null,"Payment (Receipt)",{"v":5250,"d":"5,250"},null,null,{"v":-5250,"d":"(5,250)"}]
[null,"Effect of change in rates",{"v":6628.6939999999995,"d":"6,629"},{"v":-6628.6939999999995,"d":"(6,629)"}]
[null,"Reclassification to earnings",0,{"v":-5250,"d":"(5,250)"},{"v":5250,"d":"5,250"},0]
[{"v":0.0697,"d":"6.97%"},"12/31/X2",{"v":-21850,"d":"(21,850)"},{"v":21850.000000000004,"d":"21,850"},{"v":5250,"d":"5,250"},{"v":-5250,"d":"(5,250)"}]
[]
[null,"Interest accrued",{"v":-380.73625,"d":"$(381)"},{"v":380.73625,"d":"381"}]
[null,"Payment (Receipt)",{"v":8000,"d":"8,000"},null,null,{"v":-8000,"d":"(8,000)"}]
[null,"Effect of change in rates",{"v":16190.736250000002,"d":"16,191"},{"v":-16190.736250000002,"d":"(16,191)"}]
[null,"Reclassification to earnings",0,{"v":-8000,"d":"(8,000)"},{"v":8000,"d":"8,000"},0]
[{"v":0.0657,"d":"6.57%"},"3/31/X3",{"v":1960,"d":"1,960"},{"v":-1959.9999999999964,"d":"(1,960)"},{"v":8000,"d":"8,000"},{"v":-8000,"d":"(8,000)"}]
[]
[null,"Interest accrued",{"v":32.193,"d":"$32"},{"v":-32.193,"d":"(32)"}]
[null,"Payment (Receipt)",{"v":-2000,"d":"(2,000)"},null,null,{"v":2000,"d":"2,000"}]
[null,"Rounding error",{"v":7.807000000000016,"d":"8"},{"v":-7.807000000000016,"d":"(8)"}]
[null,"Reclassification to earnings",0,{"v":2000,"d":"2,000"},{"v":-2000,"d":"(2,000)"},0]
[null,"6/30/X3",0,{"v":3.637978807091713e-12,"d":"0"},{"v":-2000,"d":"(2,000)"},{"v":2000,"d":"2,000"}]