IMM Swaps
HOW TO USE IMM SWAPS
 
These indications are provided for informational purposes only and are based on information that BMTS feels is reliable and are subject to change. BMTS maes no warranty as to their suitability for any purpose, and in no event will be liable for direct or indirect special or consequential damages resulting from their use.


How to use IMM swaps--
To convert a futures price to an interbank (spot or cash) price, do the following (note: futures prices are usually quoted without decimals).
For the  YEN, SF and CD:
    FORMULA:  Bank spot rate = (1/futures) - (swap rate). 

    Example: sfh = .7346, swap = -.0136

    Calculate the spot rate: (1/.7346) - (-.0136) = $/sfr 1.3749


    Example: jyh = .008458, swap -1.60

    Calculate the spot rate: (1/.008458) - (-1.60) = $/yen 119.83


    Example: cdh = .6504, swap -.0010

    To calculate the spot rate: (1/.6504) - (-.0010) = $/cad 1.5365

For EC, BP, AD and EC:

 FORMULA: Bank spot rate = futures - swap rate
 

Example: ech = 1.1280, swap +.0015
To calculate the spot rate:
1.1280 - (+.0015) = eur/$ 1.1265.

    Example: bph = 1.6540, swap -.0055

    To calculate the spot rate: 1.6540 - (-0.0055) = stg 1.6595


    Example: adh = .6205, swap +.0008

    To calculate the spot rate: .6205 - (+0.0008) = aud .6197