discussion: FX swap --pricing/hedging

Y

yoshimura

Joined
2/26/09
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Points
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how do u price and hedge the structure below:::

FX Reference Type AUD Currency Coupon Swap
(Amount of potential valuation loss: 7.13 billion yen) Estimated rate @65.00
・ Agreed date: October 22, 2007
・ Middle rate as of the last date of agreed month (the end of October 2007)
= JPY 105.83 / AUD (for reference)
・ Payment dates: On the 1st day of each month during the term from
December 1, 2008 to November 1, 2010
・ Agreed amount in Australian Dollars:AUD 1,000,000
・ Agreed rate:First agreed rate JPY 78.00 / AUD
However, if Yen becomes stronger below JPY 78.00 in the FX rate, the agreed
rate thereafter will be re-calculated in the following manner:
[Previous agreed rate] x [78.00 / FX] JPY / AUD
Minimum = JPY 78.00,Maximum = JPY 600.00
・ FX:Middle rate of JPY/AUD exchange rate at 3 p.m. (Tokyo time) on each foreign
exchange reference date
・ Foreign exchange reference date:The business day which is 5 business days before
each payment date.
 
if you tax it at 90%, it might not be that much (the other 10% will be taking care of by the state :) )
 
Yeah, why not just post the confirm? Be sure to leave all the names in.
 
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