Interest Rate Swap – Counterparty Matching Tool
Interactive tools for assignment 6.2 in FELIX.
Create several pairs. A pair should normally connect one party that wants to pay fixed / receive floating with another that wants to receive fixed / pay floating – but there can be several reasonable choices.
Disclaimer: This tool is an educational tool designed for learning. It is not intended to serve as assistance for investment decisions.
Notional
100 million EUR
Horizon
5 years
Differences
current exposure
preferred rate type
rate expectations
preferred rate type
rate expectations
Counterparty Pool
Drag each card to the right to form swap pairs.
CP1 – Corporate A
Has a fixed-rate loan at 5% and wants floating.
Current: fixed payer
Prefers: floating
Thinks rates will fall
CP2 – Corporate B
Has a floating-rate loan and wants fixed.
Current: floating payer
Prefers: fixed
Thinks rates will rise
CP3 – Insurance Co.
Receives fixed on its assets, wants more floating income.
Current: fixed receiver
Prefers: floating
Neutral on rates
CP4 – Pension Fund
Liabilities are long-term fixed; wants fixed income.
Current: floating receiver
Prefers: fixed
Risk-averse
CP5 – Bank Treasury
Has many floating-rate assets; wants to lock in fixed.
Current: floating receiver
Prefers: fixed
Thinks rates will fall
CP6 – Exporter
Has fixed-rate debt in EUR; uncertain about euro rates.
Current: fixed payer
Prefers: floating
Uncertain on rates
CP7 – Utility Company
Regulated income linked to inflation (semi-floating).
Current: semi-floating
Prefers: fixed
Wants stability
CP8 – Hedge Fund
Speculates on lower rates; wants to receive fixed.
Current: no structural exposure
Prefers: fixed
Thinks rates will fall
CP9 – Real Estate REIT
Owns properties financed by floating-rate loans.
Current: floating payer
Prefers: fixed
Thinks rates could spike
CP10 – Public Sector Entity
Issues fixed-rate debt but considers some floating exposure.
Current: fixed payer
Prefers: mix of fixed & floating
Long-term horizon
Your Swap Pairs
Create several pairs. A pair should normally connect one party that wants to pay fixed / receive floating with another that wants to receive fixed / pay floating – but there can be several reasonable choices.