LCY Credit Bond / Loan FX Hedging and Financing Calculator

CNH · HKD CREDITS, USD IMPLIED RATE (CCS) & LEVERAGED USD RETURN

FX Jul 27 13:10 HKT · SOFR Jul 24 close · Barchart

Inputs

Bond

Currency

CNH HKD

Coupon rate (p.a., nominal)

Coupon frequency

Tenor

Purchase price (% of par)

Face amount

Tenor × frequency must be a whole number of coupon periods.

USD Financing

LTV

Financing spread

Fixed for the full tenor at SOFR swap (bond tenor) + spread · interest on coupon dates · bullet at maturity

FX Quote Side

Bid Mid Ask

Ask (right side) = conservative for a bond buyer hedging into USD

USD Investment Return — Leveraged Equity IRR

— eff. p.a.

—

FX-hedged USD YTM—

Credit Spread—

Financing Rate (Fixed)—

FX & Rates

Tenor	USD SOFR	CCS Rate	Basis

Bond

Currency—

Credit spread—

Local currency YTM—

FX hedged YTM (USD)—

Implied local CCS rate—

USD Financing

LTV—

Financing spread—

Financing rate (fixed)—

Borrowed USD—

Equity invested USD—

FX-Hedged & Leveraged Cash Flows

#	Date	t	Local CF	Fwd Pts	Fwd Rate	USD Hedged CF	SOFR	DF	PV USD	Financing CF	Levered CF

CCS / FX-Implied Rates by Tenor both currencies · selected side

Tenor	USD SOFR	CNH Pts	CNH Fwd	Implied CNH	CNH − SOFR	HKD Pts	HKD Fwd	Implied HKD	HKD − SOFR

Market Data — Editable static snapshot · Barchart 2026-07-27

Italic = interpolated / extrapolated (auto-derived from anchors) · amber = your edit · forward points in pips (1 pip = 0.0001)

Tenor	CNH Bid	CNH Ask	HKD Bid	HKD Ask	SOFR %	Source

Method Notes

Forward outright F(t) = Spot + points(t)/10,000; points and SOFR interpolated linearly between grid tenors for each coupon date. Implied local (CCS) rate, annual compounding: r = ((F/S)·(1+SOFR)^t)^(1/t) − 1.

Local YTM: level-coupon solve on nominal coupon, purchase price, par redemption (bond-equivalent). Credit spread = local YTM − CCS rate at maturity. Implied USD coupon (par-solve): level USD coupon on invested USD, PV-equivalent at SOFR discounting to the forward-hedged bond flows.

Financing: borrowed = LTV × USD cost at a fixed rate of SOFR swap (bond tenor) + spread; interest each coupon date, principal at maturity. Leveraged IRR = XIRR of equity cash flows (hedged USD CF + financing CF). Settlement assumed today for date generation.

Sources: Barchart ^USDCNH / ^USDHKD forward-rates pages (spot + all points, bid/ask), SOFWAPY1/2/3/5.RT SOFR OIS swaps, CME Term SOFR sub-1Y anchors. CNH points beyond 3Y are extrapolated — replace with dealer quotes. Indicative analytics, not a dealing price; quotes delayed.