1 No hay riesgo ni de renovacion ni de ajuste de precios, pero puede versse afectado si es que la tasa

2 No hay riesgo de renovacion, hay riesgo por ajuste de precios

3 Hay riesgo por reajuste de precios y por renovación
versse afectado si es que la tasa de interes aumenta
Forward Rate Agreement

Supuestos
Deuda (EUR) 6,000,000
Plazo (años) 4
Costo del contrato FRA - eur 100,000
% del nominal 80%

a) Tasa LIBOR baja 0.4% Año 0 Año 1

0.40%
LIBOR esperado 5.00% 4.60%
Spread bancario 2.70% 2.70%
Tasa de interés 7.70% 7.30%

Monto por préstamo 6,000,000

Costo del contrato FRA - eur (100,000)
Pago por intereses: (t. interés*principal) (438,000)
FRA: (T. I. Actual - T. I. Inicial)*Principal (24,000)
Pago de principal
Flujo de caja 5,900,000 (462,000)

Costo todo incluido (AIC) 8.2%

RPTA: Como la tasa LIBOR siempre cae, la empresa debe de pagarle a la aseguradora la diferencia entre la tasa original
A pesar que la tasa de interés cae y le saldría más caro coberturarse por el costo del contrato, la emprese deberá comp
riesgo del movimiento de la tasas de interés .

b) Tasa LIBOR sube 0.3% Año 0 Año 1

LIBOR esperado 5.00% 5.30%

Spread bancario 2.70% 2.70%
Tasa de interés 7.70% 8.00%

Monto por préstamo 6,000,000

Costo del contrato FRA - eur (100,000)
Pago por intereses (480,000)
(t. interés*principal)
FRA: (T. I. Actual - T. I. Inicial)*Principal*80% 14,400
Pago de principal
Flujo de caja 5,900,000 (465,600)

Costo todo incluido (AIC) 8.4%

RPTA: Como la tasa LIBOR siempre sube, la empresa debe de recibir de parte de la aseguradora la diferencia entre la ta
La tasa de interés sube y le saldría más barato coberturarse por el menor costo de interés respecto a la subida de la ta
FRA dado que mitiga el riesgo del movimiento de la tasas de interés .
 Año 2 Año 3 Año 4
0.40% 0.40% 0.40%
4.20% 3.80% 3.40%
2.70% 2.70% 2.70%
6.90% 6.50% 6.10%

(414,000) (390,000) (366,000)

(48,000) (72,000) (96,000)
(6,000,000)
(462,000) (462,000) (6,462,000)

erencia entre la tasa original y la nueva tasa.

ato, la emprese deberá comprar un FRA dado que mitiga el

Año 2 Año 3 Año 4

5.60% 5.90% 6.20%

2.70% 2.70% 2.70%
8.30% 8.60% 8.90%

(498,000) (516,000) (534,000)

28,800 43,200 57,600

(6,000,000)
(469,200) (472,800) (6,476,400)

dora la diferencia entre la tasa original y la nueva tasa.

respecto a la subida de la tasa flotante. La emprese deberá comprar un
Problem 9.5 Chrysler LLC

Chrysler LLC, the now privately held company sold-off by DaimlerChrysler, must pay floating rate interest
three months from now. It wants to lock in these interest payments by buying an interest rate futures
contract. Interest rate futures for three months from now settled at 93.07, for a yield of 6.93% per annum.

a. If the floating interest rate three months from now is 6.00%, what did Chrysler gain or lose?
b. If the floating interest rate is 8.00% three months from now, what did Chrysler gain or lose?

Assumptions Values
Interest rate futures, closing price 93.07
Effective yield on interest rate futures 6.930%

Three Months From Now

Floating Rate is Floating Rate is
Chrysler's interest rate payments with futures 6.000% 8.000%

Interest payment due in three months 6.000% 8.000%

Sell a future (take a short position) -6.930% -6.930%
Gain or loss on position -0.930% 1.070%
Loss Gain

Compra un futuro (compra un FRA) = comprar deuda a tasa fija

Problem 9.6 Cañon Chemicals

Amanda Suvari, the treasurer of Cañon Chemicals believes interest rates are going to rise, so she wants to swap her future
floating rate interest payments for fixed rates. At present she is paying LIBOR + 2% per annum on $5,000,000 of debt for the
next two years, with payments due semiannually. LIBOR is currently 4.00% per annum. Ms. Suvari has just made an interest
payment today, so the next payment is due six months from today.

Ms. Suvari finds that she can swap her current floating rate payments for fixed payments of 7.00% per annum. (Cañon’s
weighted average cost of capital is 12%, which Ms. Suvari calculates to be 6% per six month period, compounded
semiannually).

a. If LIBOR rises at the rate of 50 basis points per six month period, starting tomorrow, how much does Ms. Suvari save or cost
her company by making this swap?

b. If LIBOR falls at the rate of 25 basis points per six month period, starting tomorrow, how much does Ms. Suvari save or cost
her company by making this swap?

Assumptions Values
Notional principal $ 5,000,000
LIBOR, per annum 4.000%
Spread paid over LIBOR, per annum 2.000%
Swap rate, to pay fixed, per annum 7.000%

First Second Third Fourth

Interest & Swap Payments 6-months 6-months 6-months 6-months

a. LIBOR increases 50 basis pts/6 months 0.500%

Expected LIBOR 4.500% 5.000% 5.500% 6.000%

Current loan agreement:

Expected LIBOR (for 6 months) -2.250% -2.500% -2.750% -3.000%
Spread (for 6 months) -1.000% -1.000% -1.000% -1.000%
Expected interest payment -3.250% -3.500% -3.750% -4.000%

Swap Agreement:
Pay fixed (for 6-months) -3.500% -3.500% -3.500% -3.500%
Receive floating (LIBOR for 6 months) 3.250% 3.500% 3.750% 4.000%

Net interest (loan + swap) -3.500% -3.500% -3.500% -3.500%

Swap savings?
Net interest after swap $ (175,000) $ (175,000) $ (175,000) $ (175,000)
Loan agreement interest (162,500) (175,000) (187,500) (200,000)
Swap savings (swap cost) $ (12,500) $ - $ 12,500 $ 25,000
PV $ 18,505

b. LIBOR decreases 25 basis pts/6 months -0.250%

Expected LIBOR 3.750% 3.500% 3.250% 3.000%

Current loan agreement:

Expected LIBOR (for 6 months) -1.875% -1.750% -1.625% -1.500%
Spread (for 6 months) -1.000% -1.000% -1.000% -1.000%
Expected interest payment -2.875% -2.750% -2.625% -2.500%

Swap Agreement:
Pay fixed (for 6-months) -3.500% -3.500% -3.500% -3.500%
Receive floating (LIBOR for 6 months) 2.875% 2.750% 2.625% 2.500%

Net interest (loan + swap) -3.500% -3.500% -3.500% -3.500%

Swap savings?
Net interest after swap $ (175,000) $ (175,000) $ (175,000) $ (175,000)
Loan agreement interest (143,750) (137,500) (131,250) (125,000)
Swap savings (swap cost) $ (31,250) $ (37,500) $ (43,750) $ (50,000)
PV $ (139,194)

In both cases Canon is suffering higher total interest costs as a result of the swap.
Supuestos Valores Tasas Swap Bid - 3 años- compra Ask - 3 años-venta
Principal $ 10,000,000 USD 5.56% 5.59%
Tipo de cambio spot SF/USD 1.5000 Francos suizos 1.93% 2.01%

a) Interest & Swap Payments Year 0 Year 1 Year 2 Year 3

Receive fixed rate dollars at this rate: 5.56% 5.56% 5.56%

On a notional principal of: $ 10,000,000
Trident will receive cash flows: → $ 556,000 → $ 556,000 → $ 10,556,000
↑
Exchange rate, time of swap (SFr./$) 1.5000
↓
Trident will pay cash flows: → SFr. 301,500 → SFr. 301,500 → SFr. 15,301,500
On a notional principal of: SFr. 15,000,000
Pay fixed rate Swiss francs at this rate: 2.01% 2.01% 2.01%

b) Unwinding the swap after one-year Year 1 Year 2 Year 3

Remaining dollar cash inflows $ 556,000 $ 10,556,000

PV factor at now current fixed $ interest 5.20% 0.9506 0.9036
PV of remaining dollar cash inflows $ 528,517 $ 9,538,232
Cumulative PV of dollar cash infllows $ 10,066,750

Remaining Swiss franc cash outflows SFr. 301,500 SFr. 15,301,500

PV factor at now current fixed SF interest 2.20% 0.9785 0.9574
PV of remaining SF cash outflows SFr. 295,010 SFr. 14,649,818
Cumulative PV of SF cash outflows SFr. 14,944,827
New current spot rate, SFr./$ 1.5560
Cumulative PF of SF cash outflows in $ $ 9,604,645

Settlement:
Cash inflow (USD) $ 10,066,750
Cash outflow (CHF en USD) (9,604,645)
Net cash settlement of unwinding $ 462,105 This is a cash receipt by Trident from the swap dealer.