SWAPS
example - cont.
Settlement date
ABC pmt 10.50 x 1mil = 105,000
XYZ pmt 7.25 x 1mil = 72,500
net cash pmt by ABC = 32,500
if libor rises to 9%
settlement date
ABC pmt 10.50 x 1mil = 105,000
XYZ pmt 9.25 x 1mil = 92,500
net cash pmt by ABC = 12,500