Notional$100,000,000
IndexSOFR
Hedge Term2 years
Strike
| 3.00% | 3.25% | 3.50% | 3.75% | 4.00% | 4.25% | 4.50% | |
|---|---|---|---|---|---|---|---|
| Upfront Cost | $1,751,000 | $1,351,000 | $1,000,000 | $723,000 | $530,000 | $400,000 | $312,000 |
| Proj. Payout | |||||||
| Proj. Net Cost | |||||||
| % attributed to vol |
| Period | Reset | Payout |
|---|
Net Cost
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Periods In‑The‑Money
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Avg Reset
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Forward Curve vs Strike
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Forward Curve (Reset)
Strike
Projected Payout (ITM)