Text Table 7.5, pg. 176 (or PPoint pg 26). ReDO Table assuming a 5-year fixed for floating currency swap in which BARCLAYS pays 4.5 % fixed in Sterling (British Pounds), and British Petroleum pays floating $ Libor to BARCLAYS. The initial $$ amount of the swap is $16 million. The initial exchange rate is $1.6 per British Pound Sterling. Remember that the appropriate principal-currency amount IS exchanged at the beginning and reversed at the end. Since British Petrol will be paying DOLLAR interest, British Petrol receives/borrows DOLLAR up front, AS IN TABLE 7.5. In addition, assume that the floating $ Libor rates at the 6 dates: (2-1-16 to 2-1-21) are 4 %, 3.8 %, 4.2 % , 4.8 %, 5 %, 4.6%. REDO THE TABLE, again from the British Petrol perspective. Table 7.5 Cash flows to British Petroleum in currency swap Date February 1, 2016 February 1, 2017 February 1, 2018 February 1, 2019 February 1, 2020 February 1, 2021 Dollar cash flow (millions) +15.00 -0.45 -0.45 -0.45 -0.45 -15.45 Sterling cash flow (millions) - 10.00 +0.40 +0.40 +0.40 +0.40 +10.40 Text Table 7.5, pg. 176 (or PPoint pg 26). ReDO Table assuming a 5-year fixed for floating currency swap in which BARCLAYS pays 4.5 % fixed in Sterling (British Pounds), and British Petroleum pays floating $ Libor to BARCLAYS. The initial $$ amount of the swap is $16 million. The initial exchange rate is $1.6 per British Pound Sterling. Remember that the appropriate principal-currency amount IS exchanged at the beginning and reversed at the end. Since British Petrol will be paying DOLLAR interest, British Petrol receives/borrows DOLLAR up front, AS IN TABLE 7.5. In addition, assume that the floating $ Libor rates at the 6 dates: (2-1-16 to 2-1-21) are 4 %, 3.8 %, 4.2 % , 4.8 %, 5 %, 4.6%. REDO THE TABLE, again from the British Petrol perspective. Table 7.5 Cash flows to British Petroleum in currency swap Date February 1, 2016 February 1, 2017 February 1, 2018 February 1, 2019 February 1, 2020 February 1, 2021 Dollar cash flow (millions) +15.00 -0.45 -0.45 -0.45 -0.45 -15.45 Sterling cash flow (millions) - 10.00 +0.40 +0.40 +0.40 +0.40 +10.40
