Cornell_Swap_Teach_In_9-21_v1

Cash cash stock 1m libor ticker amzn start date

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Cash Cash Stock 1M Libor Ticker AMZN Start Date 1/2/2009 # Shares 500,000 Ending Date 3/2/2009 Cost of Funds 1M Libor Days 59 Rate 1M Libor + 40 # resets 2 Action Date $ Price Notional 1M Libor TR Leg Financing Leg DB Cost Client CF Entry (MOC) 1/2/2009 54.36 27,180,000 0.4300% Reset 2/2/2009 61.15 30,575,000 0.4375% 3,395,000 (19,160) (9,926) 3,375,840 Close (Agent) 3/2/2009 61.99 30,995,000 420,000 (19,643) (10,261) 400,357 Client P/L 3,776,197 DB P/L 18,616 (27,180,000)*(.083)*(31/365) (27,180,000)*(.043)*(31/365)
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8 Portfolio Swap Example : Client Short 5mm shares Ford (long) Total Return 5mm Shares F FF – 30bps Client (short) Lender Market Stock Borrow Cash Stock FF – 10bps Cash Ticker F Start Date 2/2/2009 # Shares 5,000,000 Ending Date 3/2/2009 Cost of Funds FF-10 Days 28 Rate FF-30 # resets 4 Action Date $ Price Notional FF TR Leg Financing Leg Proceeds Client CF Entry (VWAP) 2/2/2009 1.88 9,400,000 0.3125% Reset 2/9/2009 1.90 9,500,000 0.2813% (100,000) 23 383 (99,977) Reset 2/17/2009 1.69 8,450,000 0.3500% 1,050,000 (39) 377 1,049,961 Reset 2/23/2009 1.73 8,650,000 0.2200% (200,000) 69 347 (199,931) Close (Agent) 3/2/2009 1.88 9,400,000 (750,000) (133) 199 (750,133) Client P/L (80) DB P/L 1,387 9,400,000*(.000125)*(7/365) FF - 30bps 9,400,000*(.002125)*(7/365) FF - 10bps
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9 •ISDA MASTER AGREEMENT – Governs all OTC derivative transactions. Schedule contains termination provisions, tax representations, documents to be delivered (financial reports, etc) and other provisions (additional reps, etc.) PORTFOLIO SWAP STANDARD TERMS-MASTER CONFIRMATION supplements the ISDA Master Agreement and defines the non-economic terms and conditions of all the portfolio swaps entered into between the parties •CREDIT SUPPORT ANNEX – details the collateral requirements of the parties to the ISDA Master Agreement Access Markets: •INDIA SIDE LETTER •CHINA SIDE LETTER SAUDI ARABIA SIDE LETTER Swap Documents Credit/Legal Process
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1 Table of Contents I. Introduction to Swaps and Mechanics I. Reasons for trading on swap I. Trade examples
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1 Global Swap Access - Client doesn't have an ID in an ID market and needs to use DB's ID to access these markets. Leverage - Clients can magnify their return with the same view. Anonymity - Clients with high profiles may not want the market to know about their holdings. Don’t want companies to know that they are short. Operational Efficiency take advantages of Deutsche Bank in terms of ensuring that filings are done properly, such as registration of 144A bonds, MLPs, Bank Loans and other threshold holding reporting etc. Why do clients trade swap?
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1 Synthetics Available Worldwide AUSTRALIA BANGLADESH CHINA HONG KONG INDIA INDONESIA JAPAN MALAYSIA NEW ZEALAND PAKISTAN PHILIPPINES SINGAPORE SOUTH KOREA SRI LANKA TAIWAN THAILAND VIETNAM EGYPT MOROCCO NIGERIA SOUTH AFRICA ARGENTINA BRAZIL CHILE COLOMBIA MEXICO PERU AUSTRIA BELGIUM DENMARK FINLAND FRANCE GERMANY ITALY LUXEMBOURG NETHERLANDS NORWAY PORTUGAL SPAIN SWEDEN SWITZERLAND UK ABU DHABI BAHRAIN DUBAI ISRAEL JORDAN KUWAIT LEBANON OMAN QATAR SAUDI ARABIA CZECH REPUBLIC GREECE HUNGARY POLAND RUSSIA TURKEY CANADA USA
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1 Access Markets: India India: -Thru 2007, no hedge funds could trade India on cash ID -DB and other banks managed billions of equity inflows via P-notes and swap -Equity inflows were so strong into the market that it was causing the rupee to appreciate. SEBI (Securities and Exchange Board of
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  • Fall '06
  • ZURACK,MARK
  • Deutsche bank AG, libor 1m libor, 1m libor 1m

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