Interest Rate Swaps – example 11 Example 11: Using a floating for fixed interest rate swap to hedge out cash flow risk Entity A issued 5 year bonds on 1 January 2010 for R1 million. INTEREST RATE SWAPS - Member | SOA, Understanding Interest Rate Swap Math & Pricing September 22, 2015 Interest Rate Hedging Opportunities for Today’s Banking Environment Presented By: Jeff Mazur – Managing Director PNC Derivative Products Group The Pricing and Valuation of Swaps1 I. Introduction The size and continued growth of the global market for OTC derivative products such as swaps, Instructions and Guide for Pricing and Valuation of Interest Rate Swap Lab FINC413 Lab c 2014 Paul Laux and Huiming Zhang 1 Introduction 1.1 Overview

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Interest Rate Swaps – example 11 Example 11: Using a floating for fixed interest rate swap to hedge out cash flow risk Entity A issued 5 year bonds on 1 January 2010 for R1 million. Interest Rate Models - Department Mathematik, interest rate swaps Accounting for Interest Rate Derivatives - Wilary Winn Accounting for Interest Rate Derivatives The accounting rules governing derivatives are covered in FASB Accounting Standards Codification (“FASB ASC”) – Topic 815 – Derivatives and Hedging. Reforming major interest rate benchmarks . Progress report on implementation of July 2014 FSB recommendations . 10 October 2017 For other loans, the interest rate on the loan will be variable. A variable interest rate is adjusted periodically, upward or downward, to reflect the level of market interest rates at the time of the Interest Rate Swaps – example 11 Understanding Interest Rate Swap Math & Pricing

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