MORGAN STANLEY FIXED INCOME RESEARCH See additional important disclosures at the end of this report. 8 May 11, 2006 Using and Trading Asset Swaps Interest Rate Strategy Exhibit 5 Indicative Cash Flows Arising From the MVA Asset Swap of the 4% Feb ’15 US Treasury Bond T4% Feb '15 Swap Frequency Semi-Annual Fixed Notional 100,000,000$ Basis Act/Act Floating Notional 97,622,583$ Price 96-30 Floating Basis Act/360 Accrued 685,083$ Margin -47.3714 Full Price 97,622,583$ Fixed 4.000%, Act/Act Price - Par -2,377,417 $ PV Fixed ($ 33,526,168) Settlement 18-Apr-05 PV Floating $ 33,526,164 Net PV ($ 3) Swap Fee (at maturity) $ 2,377,417 Date Bond Swap Fixed Forward 6m Libor Swap Floating 18-Apr-05 ($ 97,622,583) 15-Aug-05 $ 2,000,000 ($ 2,000,000) 3.252% $ 896,383 15-Feb-06 $ 2,000,000 ($ 2,000,000) 3.883% $ 1,701,334 15-Aug-06 $ 2,000,000 ($ 2,000,000) 4.226% $ 1,841,667 15-Feb-07 $ 2,000,000 ($ 2,000,000) 4.426% $ 1,972,091 15-Aug-07 $ 2,000,000 ($ 2,000,000)
Summary
| status | not learned | measured difficulty | 37% [default] | last interval [days] | |||
|---|---|---|---|---|---|---|---|
| repetition number in this series | 0 | memorised on | scheduled repetition | ||||
| scheduled repetition interval | last repetition or drill |