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