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Swap evaluation service
Our company computes calculation of the prices of various derivatives.
- Interest rate swap（IRS）
- Currency swap（CRS）
- Credit default swap（CDS）
- Option transaction
Interest rate (currency) swap
Interest rate swap is the exchange transaction of a floating rate and a fixed rate.
Currency swap is the exchange transaction of the interest rates between different currencies.
As a financial derivative, interest rate (currency) swap requires principles and market value evaluation. It can be used in the following situations.
- Profit and loss analysis at the first stage of transactions of interest rate swap
- Initial judgment for handling of special cases of interest rate swap when financial instruments accounting is applied
- Judgment of hedge effectiveness of the deferred hedge when hedge accounting is applied
- Estimation of the amount of profit and loss generated when hedge accounting discontinues or comes to an end
- Market value evaluation at the end of term of interest rate swap
In yenbridge, bulk evaluation is carried out for swap transactions.
Since bulk evaluation carries out simple evaluation of a large amount of transactions by using a fixed format,
it is possible to have a sharp reduction in price at the time of market value evaluation
as compared with the valuation obtained from the conventional derivative evaluation.
Price of bulk evaluation of interest rate (currency) swap
| Categories | Summary | Unit price amount (excluding tax) |
|---|---|---|
| Interest rate swap | No change of the notional principal | 29,800 yens |
| Change of the notional principal | 49,800 yens | |
| Currency swap | No change of the notional principal | 49,800 yens |
| Change of the notional principal | 59,800 yens | |
| Principal exchange | 59,800 yens |
Moreover, volume discount is set when collective evaluation is requested.
| Order unit | Discount （Discount rate） |
|---|---|
| More than 10 orders | Total amount × 10% |
| More than 20 orders | Total amount × 20% |
| More than 50 orders | Total amount × 30% |
However, swaps (currency exchange transactions) that are not based on interest rate are not included in the scale listed above.
Since complicated calculation models like Monte Carlo simulation are used for this type of cases,
please contact us for further discussions.
Please view the following file for sample of evaluation report.
Interest rate swap evaluation report sample（PDF）
Please view the following file for more details.
Commencement notice of"Bulk evaluation of interest rate (currency) swap"（PDF）
For details of the contents and amount of evaluation, please click here to contact us.