Understanding Deals Capture ExamplesIn this appendix we give an overview of deals capture examples and discuss how to:
Enter interest rate physical deals examples.
Enter interest rate swaps examples.
Enter foreign exchange deals examples.
Enter options.
Enter futures contract deals.
Enter commodity deals.
Enter generic deals.
Enter equity deals.
Understanding Deals Capture ExamplesThis appendix discusses the deals-capture component in the context of entering common types of deals. Refer to the chapter Capturing Deals and Trade Tickets for discussion of specific page functionality, term definitions, and page navigation paths.
The examples shown include values you enter (or those values automatically entered by the system, such as the Description) on the Deal Detail, and Deal Detail-related pages. No values are shown for the Settlement Instructions, or User ID pages as those values are generally automatically entered by the system.
The Values on the Cash Flows page are display only.
See Also
Capturing Deals and Trade Tickets
Entering Interest Rate Physical Deals Examples
This section discusses how to:
Enter bonds.
Enter bank loans.
Enter constant method amortizing loans.
Enter sell/buybacks.
Enter repurchase agreements ("repos").
Entering Bonds
On May 11, 2000, you receive an order for a floating rate bond with a par amount of one million USD, an initial rate of 10 percent, and a term of 367 days. The settlement date is May 12, 2000 and the maturity date is May 14, 2001.
|
Section Heading |
Field |
Field Value |
|
Deal Detail |
|
|
|
|
Unit |
US001 |
|
|
Deal ID |
TCORPBOND3 |
|
|
Instrument Type |
CORPBOND |
|
|
Transaction Date |
05/11/2000 |
|
|
Interest Base Type |
Interest Rate Physical |
|
Interest Rate Physical Details |
|
|
|
|
Settlement Date |
05/12/2000 |
|
|
Term |
367 |
|
|
Maturity Date |
05/14/2001 |
|
|
Issue Date |
05/12/2000 |
|
|
Interest Period Start Date |
05/12/2000 |
|
|
Classification |
Debt |
|
|
Rate Type |
Floating |
|
|
Rate |
10.0 |
|
|
Reset Index |
LIBOR |
|
|
Day/Count Basis |
30/360 |
|
|
Interest Calculation |
Interest Bearing |
|
|
Par Amount |
1,000,000.00 |
|
|
Currency |
USD |
|
|
Settlement Amount |
1,000,000.00. |
|
|
Price % of Par |
100.0. (Automatically populated with the default value.) |
|
|
Discount/Premium |
Straightline Method |
|
Interest Dates and Calculations |
|
|
|
|
Repeat Interest Dates |
Selected |
|
|
Interest Frequency |
Semi-Annual |
|
|
Reset Frequency |
Semi-Annual |
|
|
Reset Rate Index Tenor |
6 Month |
|
|
Business Day Convention |
Modified Following |
|
|
Next Interest Payment |
Traded Cum-Interest |
|
|
Interest Calculation |
Day Counted Interest Use Actual Interest Dates |
|
Interest Date Rule |
||
|
|
Interest Date Rule |
Backwards from Maturity Date |
|
|
Payment Date |
Business Days - Paid in Arrears |
|
|
+/- Payment Days |
0 |
|
|
Reset Date |
Set in Advance |
|
|
+/- Reset Days |
0 |
|
|
Accounting Treatment |
Held to Maturity |
|
|
Counterparty |
USBNK |
|
|
Description |
1 Year to 2001-05-14 Debt USD 1.1m. @ LIBOR |
|
|
Deal Status |
Matured |
|
Cash Flows Page |
|
|
|
|
Settlement Date Description Amount Currency |
05/12/2000 Principal 1,000,000.00 USD |
|
|
Settlement Date Description Amount Currency Nominal Date Interest Date |
05/15/2000 Interest -833.33 USD 05/14/2000 11/14/2000 |
|
|
Settlement Date Description Amount Currency Nominal Date Interest Date |
11/14/2000 Interest 0.00 USD 11/14/2000 11/14/2000 |
|
|
Settlement Date Description Amount Currency |
05/14/2001 Principal -1,000,000.00 USD |
|
Settlement Instructions page |
||
|
Payment Information |
||
|
Our Settle Thru SetID |
SHARE |
|
|
Our Settle Thru Bank |
USBNK |
|
|
Our Settle Thru Account |
CHCK |
|
|
Counterparty's Instructions |
USBKS |
|
|
Payment Method |
Wire Transfer |
|
|
Layout |
820 |
|
|
Receipt Information |
||
|
Our Settle Into SetID |
SHARE |
|
|
Our Settle Into Bank |
USBNK |
|
|
Our Settle Into Account |
CHCK |
|
|
Our Settlement Instructions |
TUS01 |
Entering Bank Loans
On October 16, 2000, you receive an order for bank loan of $100,000 USD, with a floating rate tied to the LIBOR (London Inter-bank Offer Rate). The settlement date is October 25, 2000 with a term of 365 days. The Straightline Method is used for the Discount/Premium. Any initial rate value you may have is entered in the Rate field.
|
Section Heading |
Field |
Field Value |
|
Deal Detail |
|
|
|
|
Unit |
US001 |
|
|
Deal ID |
STL2 |
|
|
Instrument Type |
BANKLOAN |
|
|
Transaction Date |
10/16/2000 |
|
|
Instrument Base Type |
Interest Rate Physical |
|
Interest Rate Physical Details |
|
|
|
|
Settlement Date |
10/25/2000 |
|
|
Term |
365 |
|
|
Maturity Date |
10/25/2001 |
|
|
Issue Date |
10/25/2000 |
|
|
Interest Period Start Date |
10/25/2000 |
|
|
Classification |
Debt |
|
|
Rate Type |
Floating |
|
|
Rate |
6.7 |
|
|
Reset Index |
LIBOR |
|
|
Day/Count Basis |
Actual/360 |
|
|
Interest Calculation |
Interest Bearing |
|
|
Par Amount |
1,000,000.00 |
|
|
Currency |
USD |
|
|
Settlement Amount |
1,000,000.00. |
|
|
Price % of Par |
100.0 (Automatically populated with the default value.) |
|
|
Discount/Premium |
Straightline Method |
|
|
Initial Reset Rate |
6.7 |
|
Interest Dates and Calculation |
|
|
|
|
Repeat Interest Dates |
Selected |
|
|
Interest Frequency |
Quarterly |
|
|
Reset Frequency |
Quarterly |
|
|
Reset Rate Index Tenor |
3 Month |
|
|
Business Day Convention |
Modified Following |
|
|
Next Interest Payment |
Traded Cum-Interest |
|
|
Interest Calculation |
Day Counted Interest Use NominalDates |
|
Interest Date Rule |
|
|
|
|
Interest Date Rule |
Backwards from Maturity Date |
|
|
Payment Date |
Business Days - Paid in Arrears |
|
|
+/- Payment Days |
0 |
|
|
Reset Date |
Set in Advance |
|
|
+/- Reset Days |
-2 |
|
|
Accounting Treatment |
Available for Sale |
|
|
Counterparty |
USBNK |
|
|
Issuer |
USBNK |
|
|
Guarantor |
USBNK |
|
|
Description |
1 Year to 2001-10-25 Debt USD 1.0m. @ LIBOR |
|
|
Deal Status |
Matured |
|
Cash Flows Page |
|
|
|
|
Settlement Date Description Amount Currency |
10/25/2000 Principal 1,000,000.00 USD |
|
|
Settlement Date Description Amount Currency Nominal Date Interest Date |
01/25/2001 Interest -17,122.22 USD 01/25/2001 01/25/2001 |
|
|
Settlement Date Description Amount Currency Nominal Date Interest Date |
04/25/2001 Interest -19,500.00 USD 04/25/2001 04/25/2001 |
|
|
Settlement Date Description Amount Currency Nominal Date Interest Date |
07/25/2001 Interest 0.00 USD 07/25/2001 07/25/2001 |
|
|
Settlement Date Description Amount Currency |
10/25/2001 Principal -1,000,000.00 USD |
|
Settlement Instructions page |
||
|
Payment Information |
||
|
Our Settle Thru SetID |
SHARE |
|
|
Our Settle Thru Bank |
USBNK |
|
|
Our Settle Thru Account |
CHCK |
|
|
Counterparty's Instructions |
USBKS |
|
|
Payment Method |
Wire Transfer |
|
|
Layout |
820 |
|
|
Receipt Information |
||
|
Our Settle Into SetID |
SHARE |
|
|
Our Settle Into Bank |
USBNK |
|
|
Our Settle Into Account |
CHCK |
|
|
Our Settlement Instructions |
TUS01 |
Entering Constant Method Amortizing Loans
On April 30, 2003, you initiate a bank loan of $450,000 USD, with a fixed rate of 5%. The settlement date is May 2, 2003 with a term of three years (1096 days). The Straightline Method is used for the Discount/Premium and the loan is to be amortized using the Constant method.
|
Page |
Field |
Field Value |
|
Deal Detail |
|
|
|
|
Unit |
US001 |
|
|
Deal ID |
358 |
|
|
Instrument Type |
BANKLOAN |
|
|
Transaction Date |
04/30/2003 |
|
|
Instrument Base Type |
Interest Rate Physical |
|
Interest Rate Physical Details |
|
|
|
|
Settlement Date |
05/02/2003 |
|
|
Term |
1096 |
|
|
Maturity Date |
05/02/2006 |
|
|
Issue Date |
05/02/2003 |
|
|
Interest Period Start Date |
05/02/2003 |
|
|
Classification |
Debt |
|
|
Rate Type |
Fixed |
|
|
Rate |
5.0 |
|
|
Day Count Basis |
Actual/360 |
|
|
Interest Calculation |
Interest Bearing |
|
|
Par Amount |
450,000.00 |
|
|
Currency |
USD |
|
|
Settlement Amount |
450,000.00. |
|
|
Price % of Par |
100.0 (Automatically populated with the default value.) |
|
|
Discount/Premium |
Straightline Method |
|
|
Amortization Method |
Constant Payment |
|
|
End Principal |
0.00 |
|
Interest Dates and Calculation |
|
|
|
|
Repeat Interest Dates |
Selected |
|
|
Interest Frequency |
Semi-Annual |
|
|
Business Day Convention |
Modified Following |
|
|
Next Interest Payment |
Traded Cum-Interest |
|
|
Interest Calculation |
Same Interest each Period Normal First Coupon Period Normal Last Coupon Period |
|
|
Interest Date Rule |
Forwards from Issue Date |
|
|
Payment Date |
Business Days - Paid in Arrears |
|
|
+/- Payment Days |
0 |
|
|
+/- Reset Days |
0 |
|
|
Accounting Treatment |
Held to Maturity |
|
|
Counterparty |
USBNK |
|
|
Issuer |
USBNK |
|
|
Guarantor |
USBNK |
|
|
Description |
3 Years to 2006–05–02 Debt USD 450K @5% |
|
|
Deal Status |
Open |
When you process a deal, the system (using the TR_POSN process) automatically populates the interest date, amortization and cashflow details with the calculated values.
|
Page |
Field |
Field Value |
|
Interest and Payment Dates page |
|
|
|
|
Type Period End Date Payment Date Amount Principal Balance Interest Payment Principal Payment |
Interest 11/02/2003 11/03/2003 -81,697.49 -450,000.00 -11,250.00 -70,477.49 |
|
|
Type Period End Date Payment Date Amount Principal Balance Interest Payment Principal Payment |
Interest 05/02/2004 05/03/2004 -81,697.49 -379,552.51 -9,488.81 -72,208.68 |
|
|
Type Period End Date Payment Date Amount Principal Balance Interest Payment Principal Payment |
Interest 11/02/2004 11/03/2004 -81,697.49 -307,343.83 -7,683.60 -74,013.89 |
|
|
Type Period End Date Payment Date Amount Principal Balance Interest Payment Principal Payment |
Interest 05/02/2005 05/02/2005 -81,697.49 -233,329.94 -5,833.25 -75,864.24 |
|
|
Type Period End Date Payment Date Amount Principal Balance Interest Payment Principal Payment |
Interest 11/02/2005 11/03/2005 -81,697.49 -157,465.70 -3,936.64 -77,760.85 |
|
|
Type Period End Date Payment Date Amount Principal Balance Interest Payment Principal Payment |
Interest 05/02/2006 05/02/2006 -81,697.47 -79,704.85 -1,992.62 -79,704.85 |
|
Cashflows |
|
|
|
|
Settlement Date Description Amount Currency |
05/02/2003 Principal 450,000.00 USD |
|
|
Settlement Date Description Amount Currency Nominal Date Interest Date |
11/03/2003 Interest -81,697.49 USD 11/02/2003 11/03/2003 |
|
|
Settlement Date Description Amount Currency Nominal Date Interest Date |
05/03/2004 Interest -81,697.49 USD 05/02/2004 05/03/2004 |
|
|
Settlement Date Description Amount Currency Nominal Date Interest Date |
11/02/2004 Interest -81,697.49 USD 11/02/2004 11/02/2004 |
|
|
Settlement Date Description Amount Currency Nominal Date Interest Date |
05/02/2005 Interest -81,697.49 USD 05/02/2005 05/02/2005 |
|
|
Settlement Date Description Amount Currency Nominal Date Interest Date |
11/02/2005 Interest -81,697.49 USD 11/02/2005 11/02/2005 |
|
|
Settlement Date Description Amount Currency |
05/02/2006 Principal & Interest -81,697.47 USD |
Entering Sell/Buybacks
You may enter deals with sell/buyback options. You may exercise a sell/buyback as a full sale transaction or as partial sale transactions. The following two examples describe a Sell/Buyback deal with Partial Sale transactions followed by a Sell/Buyback deal with a Full Sale transaction.
Sell/Buyback with Partial Sale
A corporate bond investment was entered on April 30, 2003. The bond was issued in the amount of $1,000,000.00 USD for 2 years to mature May 1, 2005 at 6.125% interest. On September 30, 2003, the investor partially sells 30% of the investment to another investor.
Access the Deal Detail page for this deal.
|
Page |
Field |
Field Value |
|
Deal Detail page |
|
|
|
|
Instrument Type |
CORPBOND |
|
|
Transaction Date |
04/30/2003 |
|
|
Instrument Base Type |
Interest Rate Physical |
|
Interest Rate Physical Details |
|
|
|
|
Settlement Date |
05/01/2003 |
|
|
Term |
732 |
|
|
Maturity Date |
05/02/2005 |
|
|
Issue Date |
05/01/2003 |
|
|
Interest Period Start Date |
05/01/2003 |
|
|
Classification |
Investment |
|
|
Rate Type |
Fixed |
|
|
Rate |
6.125 |
|
|
Day/Count Basis |
30/360 |
|
|
Interest Calculation |
Interest Bearing |
|
|
Par Amount |
2,000,000.00 |
|
|
Currency |
USD |
|
|
Settlement Amount |
2,000,000.00. |
|
|
Price % of Par |
100.0 |
|
|
Discount/Premium |
Constant Yield Method |
|
Interest Dates and Calculation |
|
|
|
|
Repeat Interest Dates |
Selected |
|
|
Interest Frequency |
Semi-Annual |
|
|
Business Day Convention |
Following |
|
|
Next Interest Payment |
Traded Cum-Interest |
|
|
Interest Calculation |
Day Counted Interest Use Actual Interest Dates |
|
|
Interest Date Rule |
Forwards from Issue Date |
|
|
Payment Date |
Business Days - Paid in Arrears |
|
|
+/- Payment Days |
0 |
|
|
+/- Reset Days |
0 |
|
Portfolio |
DEMO |
|
|
|
Accounting Treatment |
Held to Maturity |
|
|
Counterparty |
USBNK |
|
|
Issuer |
USBNK |
|
|
Guarantor |
USBNK |
|
|
Description |
2 Years to 2005–05–02 Investment USD 2.0 m. @ 6.125% |
|
|
Deal Status |
Open (Before Sell) Partially Sold/Bought Back (After Partial Sell) |
|
Page |
Field |
Field Value |
|
Settlement Instructions page |
||
|
Payment Information |
||
|
Our Settle Thru SetID |
SHARE |
|
|
Our Settle Thru Bank |
USBNK |
|
|
Our Settle Thru Account |
CHCK |
|
|
Counterparty's Instructions |
USBKS |
|
|
Payment Method |
Wire Transfer |
|
|
Layout |
820 |
|
|
Receipt Information |
||
|
Our Settle Into SetID |
SHARE |
|
|
Our Settle Into Bank |
USBNK |
|
|
Our Settle Into Account |
CHCK |
|
|
Our Settlement Instructions |
TUS01 |
|
Page |
Field |
Field Value |
|
Update/Display Sell/Buyback Details page |
|
|
|
|
Unwind Date |
09/30/2003 |
|
|
Settlement Date |
09/30/2003 |
|
Unwind Settlement |
|
|
|
|
Unwind Principal Balance |
2,000,000.00 |
|
|
Unwind Par |
600,000.00 |
|
|
Unwind Pro Rata % |
30.0 |
|
|
Sale Currency |
USD |
|
|
Amortized Disc/Premium |
0.00 |
|
|
Price % of Par |
100.00000000 |
|
|
Unamortized Disc/Premium |
0.00 |
|
|
Unwind Principal Amount |
600,000.00 |
|
|
Write-Off Unam Disc/Prem |
0.00 |
|
|
Unwind Accrual Amt |
15,210.42 |
|
|
Fee Balance |
0.00 |
|
|
Unwind Settlement Amount |
615,210.42 |
|
|
Amortized Fee |
0.00 |
|
|
Unwind Book Value |
600,000.00 |
|
|
Unamortized Fee |
0.00 |
|
|
Gain/Loss |
0.00 |
|
|
Write-Off Fee |
0.00 |
|
Counterparty |
|
|
|
|
SetID |
SHARE |
|
|
Counterparty |
USBNK |
|
Settlement Instructions |
|
|
|
|
Sale Bank SetID |
SHARE |
|
|
Our Settlement Bank |
USBNK |
|
|
Our Settlement Account |
CHCK |
|
|
Settlement Instructions |
TUS01, TUS01 Corporate Tr Settle Inst |
A new deal representing the balance remaining of the original deal after the original deal has been entered as Partially Sold/Bought Back.
Note the new Deal ID, the added field Deal Start Date and the Deal Status.
|
Page |
Field |
Field Value |
|
Deal Detail page |
|
|
|
|
Settlement Date |
05/01/2003 |
|
|
Term |
732 |
|
|
Maturity Date |
05/02/2005 |
|
|
Issue Date |
05/01/2003 |
|
|
Interest Period Start Date |
05/01/2003 |
|
|
Classification |
Investment |
|
|
Rate Type |
Fixed |
|
|
Rate |
6.125 |
|
|
Day/Count Basis |
30/360 |
|
|
Interest Calculation |
Interest Bearing |
|
|
Par Amount |
1,400,000.00 |
|
|
Currency |
USD |
|
|
Settlement Amount |
1,400,000.00. |
|
|
Price % of Par |
100.0 |
|
|
Purchased Interest |
0.00 |
|
|
Discount/Premium |
Constant Yield Method |
|
|
Yield |
4.25000008 |
|
|
Amort Method |
Non Amortizing |
|
Interest Dates and Calculation |
|
|
|
|
Repeat Interest Dates |
Selected |
|
|
Interest Frequency |
Semi-Annual |
|
|
Business Day Convention |
Following |
|
|
Next Interest Payment |
Traded Cum-Interest |
|
|
Interest Calculation |
Day Counted Interest Use Actual Interest Dates |
|
|
Interest Date Rule |
Forwards from Issue Date |
|
|
Payment Date |
Business Days - Paid in Arrears |
|
|
+/- Payment Days |
0 |
|
|
+/- Reset Days |
0 |
|
Portfolio |
DEMO |
|
|
|
Accounting Treatment |
Held to Maturity |
|
|
Counterparty |
USBNK |
|
|
Issuer |
USBNK |
|
|
Guarantor |
USBNK |
|
|
Description |
2 Years to 2005–05–02 Investment USD 2.0 m. @ 6.125% |
|
|
Deal Status |
Open |
|
|
Deal Status |
Open |
|
|
Deal Start Date |
09/30/2003 |
Save the new deal. When you generate cash flows for the original deal and the new deal, the principal and interest values will be updated to reflect the partial sell/buyback transaction.
|
Cashflows page |
|
|
|
|
Date Description Amount Currency Nominal Date Interest Date |
11/03/2003 Interest 43,351.39 USD 11/01/2003 11/03/2003 |
|
|
Date Description Amount Currency Nominal Date Interest Date |
05/03/2004 Interest 42,875.00 USD 05/01/2004 05/03/2004 |
|
|
Date Description Amount Currency Nominal Date Interest Date |
11/01/2004 Interest 42,398.61 USD 11/01/2004 11/01/2004 |
|
|
Date Description Amount Currency |
05/02/2005 Principal & Interest 1,443.113.09 USD |
|
Page |
Field |
Field Value |
|
Interest and Payment Dates page |
|
|
|
|
Type Period End Date Payment Date Amount Principal Balance Rate Set Rate Interest Payment Principal Payment Currency |
Interest 11/03/2003 11/03/2003 43,351.39 1,400,000.00 Selected 6.125 43,351.39 0.00 USD |
|
|
Type Period End Date Payment Date Amount Principal Balance Rate Set Rate Interest Payment Principal Payment Currency |
Interest 05/03/2004 05/03/2004 42,875.00 1,400,000.00 Selected 6.125 42,875.00 0.00 USD |
|
|
Type Period End Date Payment Date Amount Principal Balance Rate Set Rate Interest Payment Principal Payment Currency |
Interest 11/01/2004 11/01/2004 42,398.61 1,400,000.00 Selected 6.125 42,398.61 0.00 USD |
|
|
Type Period End Date Payment Date Amount Principal Balance Rate Set Rate Interest Payment Principal Payment Currency |
Interest 05/02/2005 05/02/2005 43,113.19 1,400,000.00 Selected 6.125 43,113.19 0.00 USD |
|
Page |
Field |
Field Value |
|
Cashflows page |
|
|
|
|
Date Description Amount Currency |
05/01/2003 Principal -2,000,000.00 USD |
|
|
Date Description Amount Currency |
09/30/2003 Sale Settlement 615,210.42 USD |
A corporate bond investment was entered on April 30, 2003. The bond was issued in the amount of $1,000,000.00 USD for 2 years to mature May 1, 2005 at 4.25% interest. On September 25, 2003, the investor sells 100% of the investment.
|
Page |
Field |
Field Value |
|
Deal Detail page |
|
|
|
|
Instrument Type |
CORPBOND |
|
|
Transaction Date |
04/30/2003 |
|
|
Instrument Base Type |
Interest Rate Physical |
|
|
Settlement Date |
05/01/2003 |
|
|
Term |
731 |
|
|
Maturity Date |
05/01/2005 |
|
|
Issue Date |
05/01/2003 |
|
|
Interest Period Start Date |
05/01/2003 |
|
|
Classification |
Investment |
|
|
Rate Type |
Fixed |
|
|
Rate |
4.25 |
|
|
Day/Count Basis |
30/360 |
|
|
Interest Calculation |
Interest Bearing |
|
|
Par Amount |
1,000,000.00 |
|
|
Currency |
USD |
|
|
Settlement Amount |
1,000,000.00. |
|
|
Price % of Par |
100.00000000 |
|
|
Purchased Interest |
0.00 |
|
|
Discount/Premium |
Constant Yield Method |
|
|
Yield |
4.25000000 |
|
Interest Dates and Calculation |
|
|
|
|
Repeat Interest Dates |
Selected |
|
|
Interest Frequency |
Semi-Annual |
|
|
Business Day Convention |
Modified Following |
|
|
Next Interest Payment |
Traded Cum-Interest |
|
|
Interest Calculation |
Same Interest each Period Normal First coupon Period Normal Last Coupon Period |
|
|
Interest Date Rule |
Forwards from Issue Date |
|
|
Payment Date |
Business Days — Paid in Arrears |
|
|
Accounting Treatment |
Held to Maturity |
|
|
Counterparty |
USBNK |
|
|
Issuer |
USBNK |
|
|
Guarantor |
USBNK |
|
|
Description |
2 Years to 2005–05–01 Investment USD 1.0 m. @ 4.25% |
|
|
Deal Status |
Open (Before Sale) Sold/Bought Back (After Sale |
|
Settlement Instructions page |
||
|
Payment Information |
||
|
|
Our Settle Thru SetID |
SHARE |
|
|
Our Settle Thru Bank |
USBNK |
|
|
Our Settle Thru Account |
CHCK |
|
|
Counterparty's Instructions |
USBKS |
|
|
Payment Method |
System Check |
|
Receipt Information |
||
|
|
Our Settle Into SetID |
SHARE |
|
|
Our Settle Into Bank |
USBNK |
|
|
Our Settle Into Account |
CHCK |
|
|
Our Settlement Instructions |
TUS01 |
Select the Sell/Buyback hyperlink and access the Update/Display Sell/Buyback Details page.
|
Page |
Field |
Field Value |
|
Update/Display Sell/Buyback Details page |
|
|
|
|
Unwind Date Settlement Date |
08/25/2003 08/25/2003 |
|
|
Receive |
Yes |
|
|
Unwind Principal Balance |
1,000,000.00 |
|
|
Unwind Par |
1,000,000.00 |
|
|
Unwind Pro Rata % |
100.0 |
|
|
Sale Currency |
USD |
|
|
Amortized Disc/Premium |
0.00 |
|
|
Price % of Par |
100.00000000 |
|
|
Unamortized Disc/Premium |
0.00 |
|
|
Unwind Principal Amt |
1,000,000.00 |
|
|
Write-Off Unam Disc/Prem |
0.00 |
|
|
Unwind Accrual Amt |
13,458.33 |
|
|
Fee Balance |
0.00 |
|
|
Unwind Settlement Amount |
1,013,458.33 |
|
|
Amortized Fee |
0.00 |
|
|
Unwind Book Value |
1,000,000.00 |
|
|
Unamortized Fee |
0.00 |
|
|
Gain/Loss |
0.00 |
|
|
Write-Off Fee |
0.00 |
|
|
Counterparty |
USBNK |
|
|
Our Settlement Bank |
USBNK, USA BANK |
|
|
Our Settlement Account |
CHCK, USBNK CHECKING ACCT |
|
|
Settlement Instructions |
TUS01, TUS01 Corporate Tr Settle Inst |
Process the deal to generate cashflows.
|
Page |
Field |
Field Value |
|
Cashflows page |
|
|
|
|
Settlement Date Description Amount Currency |
05/01/2003 Principal -1,000,000.00 USD |
|
|
Settlement Date Description Amount Currency |
08/25/2003 Sale Settlement 1,013,458.33 USD |
Entering Repurchase Agreements (Repos)
On August 8, 2000, you settle an overnight repurchase agreement for 452,000,000 USD at 5.375%, with a haircut of .442%. The Deal Detail page has two lines for this repo:
One debt line for the Par Amount of 452,000,000.00 USD calculated at a rate of 5.37500000%.
One investment line for the Par Amount of 2,000,000.00 USD calculated at a rate of 0.00000001% (the haircut).
|
Page |
Field |
Field Value |
|
Deal Detail page |
|
|
|
Instrument Type |
REPO |
|
|
Transaction Date |
08/08/2000 |
|
|
Line |
1 of 2 |
|
|
Instrument Base Type |
Interest Rate Physical |
|
|
Settlement Date |
08/08/2000 |
|
|
Term |
1 |
|
|
Maturity Date |
08/09/2000 |
|
|
Issue Date |
08/08/2000 |
|
|
Interest Period Start Date |
08/08/2000 |
|
|
Classification |
Debt |
|
|
Rate Type |
Fixed |
|
|
Rate |
5.375 |
|
|
Day/Count Basis |
Actual/360 |
|
|
Interest Calculation |
Interest Bearing |
|
|
Par Amount |
452,000,000.00 |
|
|
Currency |
USD |
|
|
Settlement Amount |
452,000,000.00. |
|
|
Price % of Par |
100.00000000 |
|
|
Purchased Interest |
0.00 |
|
|
Yield |
5.37499948 Note. This is a system-generated value. You do not need to enter this value. |
|
|
Discount/Premium |
(blank) |
|
|
Interest Dates and Calculation |
|
|
|
Repeat Interest Dates |
Cleared |
|
|
Business Day Convention |
Following |
|
|
Interest Calculation |
Day Counted Interest Use Actual Interest Dates |
|
|
Interest Date Rule |
(blank) |
|
|
Payment Date |
Business Days — Paid in Arrears |
|
|
Deal Detail |
|
|
|
Line |
2 of 2 |
|
|
Instrument Base Type |
Interest Rate Physical |
|
|
Settlement Date |
08/08/2000 |
|
|
Term |
1 |
|
|
Maturity Date |
08/09/2000 |
|
|
Issue Date |
08/08/2000 |
|
|
Interest Period Start Date |
08/08/2000 |
|
|
Classification |
Investment |
|
|
Rate Type |
Fixed |
|
|
Rate |
0.00000001 |
|
|
Day/Count Basis |
Actual/360 |
|
|
Interest Calculation |
Interest Bearing |
|
|
Par Amount |
2,000,000.00 |
|
|
Currency |
USD |
|
|
Settlement Amount |
2,000,000.00. |
|
|
Price % of Par |
100.00000000 |
|
|
Purchased Interest |
0.00 |
|
|
Discount/Premium |
(blank) |
|
|
Yield |
(blank) |
|
|
Interest Dates and Calculation |
|
|
|
Repeat Interest Dates |
Cleared |
|
|
Business Day Convention |
Following |
|
|
Interest Calculation |
Day Counted Interest Use Actual Interest Dates |
|
|
Interest Date Rule |
(blank) |
|
|
Payment Date |
Business Days — Paid in Arrears |
|
|
Portfolio |
DEMO |
|
|
Accounting Treatment |
Held to Maturity |
|
|
Counterparty |
USBNK |
|
|
Issuer |
USBNK |
|
|
Guarantor |
USBNK |
|
|
Description |
Overnight Repurchase Agreement with a 0.44 % "Haircut." 1 day debt to 08/09/00. USD 452,000,000 @ 5.375 |
|
|
Deal Status |
Matured |
|
|
Interest Dates |
|
|
|
Payment Type |
Interest |
|
|
Period End Date |
08/09/2000 |
|
|
Payment Date |
08/09/2000 |
|
|
Override |
(not selected) |
|
|
Amount |
-67,486.11 |
|
Settlement Instructions page |
||
|
Line |
1 |
|
|
Payment Information |
||
|
Our Settle Thru SetID |
SHARE |
|
|
Our Settle Thru Bank |
USBNK |
|
|
Our Settle Thru Account |
CHCK |
|
|
Counterparty's Instructions |
USBKS |
|
|
Payment Method |
Wire Transfer |
|
|
Layout |
820 |
|
|
Receipt Information |
||
|
Our Settle Into SetID |
SHARE |
|
|
Our Settle Into Bank |
USBNK |
|
|
Our Settle Into Account |
CHCK |
|
|
Our Settlement Instructions |
TUS01 |
|
|
Settlement Instructions |
||
|
|
Line |
2 |
|
Payment Information |
||
|
Our Settle Thru SetID |
SHARE |
|
|
Our Settle Thru Bank |
USBNK |
|
|
Our Settle Thru Account |
CHCK |
|
|
Counterparty's Instructions |
USBKS |
|
|
Receipt Information |
||
|
Our Settle Into SetID |
SHARE |
|
|
Our Settle Into Bank |
USBNK |
|
|
Our Settle Into Account |
CHCK |
|
|
Our Settlement Instructions |
TUS01 |
|
Cashflows page |
||
|
Settlement Date Description Amount Currency |
08/08/2000 Principal 452,000,000.00 USD |
|
|
Settlement Date Description Amount Currency |
08/08/2000 Principal -2,000,000.00 USD |
|
|
Settlement Date Description Amount Currency |
08/09/2000 Principal & Interest -452,067,486.11 USD |
|
|
Settlement Date Description Amount Currency |
08/09/2000 Principal 2,000,000.00 USD |
Entering IRPs with Periodic Interest Accruals Paid at Maturity
When you select a periodic compounding frequency for a deal, the amount accrued is compounded into the principal to calculate the new interest. However, there are deal situations when you want the amount to accrue on a periodic basis, but not be compounded into the principal until the maturity date. These deals situations encompass IRP deals with a term over 1 year and the accrued interest to be paid at maturity—instead of the accrued interest being periodically applied to the principal. (In this discussion we use the convention IRP/1+YR/Interest at Maturity to refer to these types of deals.) To accomplish this, you need to create a new instrument and configure certain fields the Deal Detail page. This ensures that the system withholds paying the accrued amount to the principal until the specified Maturity Date.
To create IRP/1+YR/Interest at Maturity deals:
Define a simple interest rate physical instrument, completing the Instrument Detail page as shown in the following two screenshots.
Important! Whenever you configure a new instrument for use in Deal Management, you must also define accounting templates to process the associated accounting events.
See Selecting Accounting Templates.
Note that the Repeat Interest Dates check box is deselected, and the Interest Frequency, Ex-Interest Rule, and Interest Date Rule fields are left blank.
Important! This setting is what enables the system to calculate and pay accrued interest at maturity (for deals created from this instrument).
Once you have defined and saved the IRP/1+YR/Interest at Maturity instrument, you can create IRP/1+YR/Interest at Maturity deals. The following two screenshots illustrate defining a IRP/1+YR/Interest at Maturity deal.
On the Deal Detail page, the option you select for Day Count Basis affects the total accrued interest. In this example, specifying Actual/360 for the Day Count Basis returns a total accrued interest amount of 1 million USD. However, if 30/360 is specified, the total accrued interest amount is slightly lower due to the decreased number of days for interest calculation.
As the Deal Detail page for the IRP/1+YR/Interest at Maturity deal derives information from the Instrument Detail page for the IRP/1+YR/Interest at Maturity instrument, the check box and fields left blank on the instrument are unavailable for entry on the deal.
When you complete entering information and save the deal, the Cashflows page and the Interest and Payment Dates page are populated as shown in the following two page views.
You can view periodic accrual amounts using the Review Interest Accruals page. The monthly interest accrual for this IRP/1+YR/Interest at Maturity deal example is shown in the following application page.
Also, if you set up Treasury Accounting to automatically run (on a periodic basis), the system books the accrual amount each time you run the accounting process. However, the system does not book the interest payment until the defined payment date (which may or may not be the deal maturity date, depending on the deal capture details).
See Also
Reviewing Estimated Interest Accruals
Entering Interest Rate Swaps Examples
This section discusses:
Entering domestic currency and foreign currency swaps.
Entering foreign currency and foreign currency swaps.
Fixed rate and floating rate swaps.
Basis swap floats.
Entering forward rate agreements.
Entering Domestic Currency And Foreign Currency Swaps
On April 30 you enter a deal to exchange $15,000,000.00 USD for $17, 500,000.00 CAD @ LIBOR. The exchange rate is 3.625% for 2 years.
|
Page |
Field |
Field Value |
|
Deal Detail page |
|
|
|
|
Unit |
US001 |
|
|
Deal ID |
362 |
|
|
Instrument Type |
IRSWAP |
|
|
Transaction Date |
04/30/2003 |
|
|
Instrument Base Type |
Interest Rate Swap |
|
Interest Rate Swap Details |
|
|
|
|
Commencement Date |
05/02/2003 |
|
|
Term |
731 |
|
|
Maturity Date |
05/02/2005 |
|
|
Amort Method |
Non Amortizing |
|
|
Swap Principals |
Don't Swap |
|
|
Forward Rate Options |
Not a Forward Rate Agreement |
|
|
Pay (group box) |
|
|
|
Rate Type |
Fixed |
|
|
Rate |
3.625 |
|
|
Interest Calculation |
Interest Bearing |
|
|
Day/Count Basis |
30/360. |
|
|
Notional Amount |
15,000,000.00 |
|
|
Currency |
USD |
|
|
Receive (group box) |
|
|
|
Rate Type |
Floating |
|
|
Rate |
4.1 |
|
|
Interest Calculation |
Interest Bearing |
|
|
Day Count Basis |
Actual/360 |
|
|
Notional Amount |
17,500,000.00 |
|
|
Currency |
CAD |
|
|
Reset Index |
LIBOR |
|
Page |
Field |
Field Value |
|
Interest Dates and Calculation |
|
|
|
|
Repeat Interest Dates |
Selected |
|
|
Pay (group box) |
|
|
|
Interest Frequency |
Semi-Annual |
|
|
Business Day Convention |
Modified Following |
|
|
Receive (group box) |
|
|
|
Interest Frequency |
Semi-Annual |
|
|
Reset Frequency |
Semi-Annual |
|
|
Reset Rate Index Tenor |
6 Month |
|
|
Business Day Convention |
Modified Following |
|
|
Interest Calculation Pay |
Day Counted Interest Use Nominal Dates |
|
|
Interest Calculation Receive |
Day Counted Interest Use Nominal Dates |
|
|
Interest Date Rule Pay |
Forwards from Issue Date |
|
|
Interest Date Rule Receive |
Forwards from Issue Date |
|
|
Pay +/- Date Rules (group box) |
|
|
|
Payment Date |
Business Days-Paid in Arrears |
|
|
+/-Payment Days |
0 |
|
|
Receive +/- Date Rules (group box) |
|
|
|
Payment Date |
Business Days-Paid in Arrears |
|
|
+/-Payment Days |
0 |
|
|
Reset Date |
Set in Advance |
|
|
+/-Payment Days |
0 |
|
|
Portfolio |
DEMO |
|
|
Accounting Treatment |
Held to Maturity |
|
|
Counterparty |
USBNK |
|
|
Issuer |
USBNK |
|
|
Guarantor |
USBNK |
|
|
Description |
2 Years to 2005–05–02 Pay USD 15.0m. @ 3.625% Receive CAD 17.5m. @ LIBOR |
|
|
Deal Status |
Open |
|
Page |
Field |
Field Value |
|
Settlement Instructions page |
||
|
Payment Information |
||
|
Our Settle Thru SetID |
SHARE |
|
|
Our Settle Thru Bank |
USBNK |
|
|
Our Settle Thru Account |
CHCK |
|
|
Counterparty's Instructions |
USBKS |
|
|
Payment Method |
Wire Transfer |
|
|
Layout |
820 |
|
|
Receipt Information |
||
|
Our Settle Into SetID |
SHARE |
|
|
Our Settle Into Bank |
USBNK |
|
|
Our Settle Into Account |
CHCK |
|
|
Our Settlement Instructions |
TUS01 |
|
Page |
Field |
Field Value |
|
Interest and Payment Dates page |
|
|
|
|
Leg Type Period End Date Reset Date Payment Date Amount Principal Balance Rate Set Rate from Reset Source Rate Amount Principal Payment Currency |
Pay Interest 11/02/2003 (blank) 11/03/2003 -271,875.00 -15,000,000.00 Selected (blank) 3.625 -271,875.00 0.00 USD |
|
|
Leg Type Period End Date Reset Date Payment Date Amount Principal Balance Rate Set Rate from Reset Source Rate Amount Principal Payment Currency |
Receive Interest 11/02/2003 05/02/2003 11/03/2003 366,722.22 17,500,000.00 Yes (blank) 4.1 366,722.22 0.00 CAD |
|
|
Leg Type Period End Date Reset Date Payment Date Amount Principal Balance Rate Set Rate from Reset Source Rate Amount Principal Payment Currency |
Pay Interest 05/02/2004 (blank) 05/03/2004 -271,875.00 -15,000,000.00 Yes (blank) 3.625 -271,875.00 0.00 USD |
|
|
Leg Type Period End Date Reset Date Payment Date Amount Principal Balance Rate Set Rate from Reset Source Rate Amount Principal Payment Currency |
Receive Interest 05/02/2004 10/31/2003 05/03/2004 358,312.50 17,500,000.00 Yes (blank) 4.05 358,312.50 0.00 CAD |
|
|
Leg Type Period End Date Reset Date Payment Date Amount Principal Balance Rate Set Rate from Reset Source Rate Amount Principal Payment Currency |
Pay Interest 11/02/2004 (blank) 11/02/2004 -271,875.00 -15,000,000.00 Yes (blank) 3.625 -271,875.00 0.00 USD |
|
|
Leg Type Period End Date Reset Date Payment Date Amount Principal Balance Rate Set Rate from Reset Source Rate Amount Principal Payment Currency |
Receive Interest 11/02/2004 04/30/2004 11/02/2004 353,305.56 17,500,000.00 Yes (blank) 3.95 353,305.56 0.00 CAD |
|
|
Leg Type Period End Date Reset Date Payment Date Amount Principal Balance Rate Set Rate from Reset Source Rate Amount Principal Payment Currency |
Pay Interest 05/02/2005 (blank) 05/02/2005 -271,875.00 -15,000,000.00 Yes (blank) 3.625 -271,875.00 0.00 USD |
|
|
Leg Type Period End Date Reset Date Payment Date Amount Principal Balance Rate Set Rate from Reset Source Rate Amount Principal Payment Currency |
Receive Interest 05/02/2005 11/02/2004 05/02/2005 343,145.83 17,500,000.00 Yes (blank) 3.9 343,145.83 0.00 CAD |
|
Page |
Field |
Field Value |
|
Cashflows page |
|
|
|
|
Settlement Date Description Amount Currency Nominal Date Interest Date |
11/03/2003 Pay -271,875.00 USD 11/03/2003 11/03/2003 |
|
|
Settlement Date Description Amount Currency Nominal Date Interest Date |
11/03/2003 Receive 366,722.22 CAD 11/03/2003 11/03/2003 |
|
|
Settlement Date Description Amount Currency Nominal Date Interest Date |
05/03/2004 Pay -271,875.00 USD 05/03/2004 05/03/2004 |
|
|
Settlement Date Description Amount Currency Nominal Date Interest Date |
05/03/2004 Receive 358,312.50 CAD 05/03/2004 05/03/2004 |
|
|
Settlement Date Description Amount Currency Nominal Date Interest Date |
11/02/2004 Pay -271,875.00 USD 11/02/2004 11/02/2004 |
|
|
Settlement Date Description Amount Currency Nominal Date Interest Date |
11/02/2004 Receive 353,305.56 CAD 11/02/2004 11/02/2004 |
|
|
Settlement Date Description Amount Currency Nominal Date Interest Date |
05/02/2005 Pay -271,875.00 USD 05/02/2005 05/02/2005 |
|
|
Settlement Date Description Amount Currency Nominal Date Interest Date |
05/02/2005 Receive 343,145.83 CAD 05/02/2005 05/02/2005 |
Entering Foreign Currency And Foreign Currency Swaps
On April 30, 2003 you enter a deal to exchange $1,000,000.00 JPY for $15,000.00 CAD at the LIBOR. The exchange rate is 7.25% for 1 year.
|
Page |
Field |
Field Value |
|
Deal Detail page |
|
|
|
|
Unit |
US001 |
|
|
Deal ID |
363 |
|
|
Instrument Type |
IRSWAP |
|
|
Transaction Date |
04/30/2003 |
|
|
Instrument Base Type |
Interest Rate Swap |
|
Interest Rate Swap Details |
|
|
|
|
Commencement Date |
05/02/2003 |
|
|
Term |
367 |
|
|
Maturity Date |
05/03/2004 |
|
|
Amort Method |
Non Amortizing |
|
|
Swap Principals |
At Commencement |
|
|
Forward Rate Options |
Not a Forward Rate Agreement |
|
|
Pay (group box) |
|
|
|
Rate Type |
Fixed |
|
|
Rate |
7.25 |
|
|
Interest Calculation |
Interest Bearing |
|
|
Day/Count Basis |
30/360. |
|
|
Notional Amount |
1,000,000.00 |
|
|
Currency |
JPY |
|
|
Receive (group box) |
|
|
|
Rate Type |
Floating |
|
|
Rate |
4.1 |
|
|
Interest Calculation |
Interest Bearing |
|
|
Day Count Basis |
Actual/360 |
|
|
Notional Amount |
15,000.00 |
|
|
Currency |
CAD |
|
|
Reset Index |
LIBOR |
|
Page |
Field |
Field Value |
|
Interest Dates and Calculation |
|
|
|
|
Repeat Interest Dates |
Selected |
|
|
Pay (group box) |
|
|
|
Interest Frequency |
Semi-Annual |
|
|
Business Day Convention |
Modified Following |
|
|
Receive (group box) |
|
|
|
Interest Frequency |
Semi-Annual |
|
|
Reset Frequency |
Semi-Annual |
|
|
Reset Rate Index Tenor |
6 Month |
|
|
Business Day Convention |
Modified Following |
|
|
Interest Calculation Pay |
Day Counted Interest Use Actual Interest Dates |
|
|
Interest Calculation Receive |
Day Counted Interest Use Actual Interest Dates |
|
|
Interest Date Rule — Pay |
Forwards from Issue Date |
|
|
Interest Date Rule — Receive |
Forwards from Issue Date |
|
|
Pay +/- Date Rules (group box) |
|
|
|
Payment Date |
Business Days-Paid in Arrears |
|
|
+/-Payment Days |
0 |
|
|
Receive +/- Date Rules (group box) |
|
|
|
Payment Date |
Business Days-Paid in Arrears |
|
|
+/-Payment Days |
0 |
|
|
Reset Date |
Set in Advance |
|
|
+/-Payment Days |
0 |
|
|
Accounting Treatment |
Held to Maturity |
|
|
Counterparty |
USBNK |
|
|
Description |
1 year to 2004–05–03 Pay JPY 1.0m. @ 7.25% Receive CAD 15k. @ LIBOR |
|
|
Deal Status |
Open |
|
Page |
Field |
Field Value |
|
Settlement Instructions page |
||
|
Payment Information |
||
|
Our Settle Thru SetID |
SHARE |
|
|
Our Settle Thru Bank |
JPBNK |
|
|
Our Settle Thru Account |
CHCK |
|
|
Payment Method |
Electronic Funds Transfer |
|
|
Layout |
GENX |
|
|
Counterparty's Instructions |
TJPN1 |
|
|
Receipt Information |
||
|
Our Settle Into SetID |
SHARE |
|
|
Our Settle Into Bank |
USBNK |
|
|
Our Settle Into Account |
CAN |
|
|
Our Settlement Instructions |
USCA1 |
|
Page |
Field |
Field Value |
|
Interest and Payment Dates |
|
|
|
|
Leg Type Period End Date Reset Date Payment Date Amount Principal Balance Rate Set Rate Interest Payment Currency |
Pay Interest 11/03/2004 (blank) 11/03/2004 36,451 -1,000,000.00 Selected 7.25 36,451.00 JPY |
|
|
Leg Type Period End Date Reset Date Payment Date Amount Principal Balance Rate Set Rate Interest Payment Currency |
Receive Interest 11/03/2004 05/02/2003 11/03/2003 -316.04 15,000.00 Selected 4.1 –316.04 CAD |
|
|
Leg Type Period End Date Reset Date Payment Date Amount Principal Balance Rate Set Rate Interest Payment Currency |
Pay Interest 05/03/2004 (blank) 05/03/2004 36,250.00 -1,000,000 Selected 7.25 36,250.00 JPY |
|
|
Leg Type Period End Date Reset Date Payment Date Amount Principal Balance Rate Set Rate Interest Payment Currency |
Receive Interest 05/03/2004 11/03/2003 05/03/2004 -307.13 15,000.00 Cleared (blank) -307.13 CAD |
|
Page |
Field |
Field Value |
|
Cashflows |
|
|
|
|
Settlement Date Description Amount Currency |
05/02/2003 Pay -1,000,000.00 JPY |
|
|
Settlement Date Description Amount Currency |
05/02/2003 Receive 15,000.00 CAD |
|
|
Settlement Date Description Amount Currency Nominal Date Interest Date |
11/03/2003 Receive 36,451.00 JPY 11/03/2003 11/03/2003 |
|
|
Settlement Date Description Amount Currency Nominal Date Interest Date |
11/03/2003 Pay -316.04 CAD 11/03/2003 11/03/2003 |
|
|
Settlement Date Description Amount Currency Nominal Date Interest Date |
05/03/2004 Receive 36,250.00 JPY 05/03/2004 05/03/2004 |
|
|
Settlement Date Description Amount Currency Nominal Date Interest Date |
05/03/2004 Pay -307.13 CAD 05/03/2004 05/03/2004 |
Fixed Rate And Floating Rate Swaps
On April 25, 1999, you receive an order to pay 10,000 USD at a 10% fixed rate and a 30/360 Day Count Basis, and receive 10,000 USD at a floating rate set to LIBOR (initial rate of 10%) and an Actual/360 Day Count Basis. The swap has a commencement date of April 27, 1999, and a term of 180 days.
|
Page |
Field |
Field Value |
|
Deal Detail page |
|
|
|
|
Unit |
US001 |
|
|
Deal ID |
TSWAP1 |
|
|
Instrument Type |
IRSWAP |
|
|
Transaction Date |
04/23/1999 |
|
|
Instrument Base Type |
Interest Rate Swap |
|
Interest Rate Swap Details |
|
|
|
Commencement Date |
04/27/1999 |
|
|
Term |
180 |
|
|
Maturity Date |
10/24/1999 |
|
|
Swap Principals |
Don't Swap |
|
|
Forward Rate Options |
Not a Forward Rate Agreement |
|
|
Pay (group box) |
|
|
|
Rate Type |
Fixed |
|
|
Rate |
10.0 |
|
|
Interest Calculation |
Interest Bearing |
|
|
Day/Count Basis |
30/360. |
|
|
Notional Amount |
1,000,000.00 |
|
|
Currency |
USD |
|
|
Receive (group box) |
|
|
|
Rate Type |
Floating |
|
|
Rate |
10.0 |
|
|
Interest Calculation |
Interest Bearing |
|
|
Day Count Basis |
Actual/360 |
|
|
Notional Amount |
1,000,000.00 |
|
|
Currency |
USD |
|
|
Reset Index |
LIBOR |
|
|
Interest Dates and Calculation |
|
|
|
Repeat Interest Dates |
Selected |
|
|
Pay (group box) |
|
|
|
Interest Frequency |
Semi-Annual |
|
|
Business Day Convention |
Modified Following |
|
|
Receive (group box) |
|
|
|
Interest Frequency |
Quarterly |
|
|
Reset Frequency |
Quarterly |
|
|
Reset Rate Index Tenor |
3 Month |
|
|
Business Day Convention |
Modified Following |
|
|
Interest Calculation Pay |
Day Counted Interest Use Nominal Dates |
|
|
Interest Calculation Receive |
Day Counted Interest Use Nominal Dates |
|
|
Interest Date Rule — Pay |
Backwards from Maturity Date |
|
|
Interest Date Rule — Receive |
Backwards from Maturity Date |
|
|
Pay +/- Date Rules (group box) |
|
|
|
Payment Date |
Business Days-Paid in Arrears |
|
|
Receive +/- Date Rules (group box) |
|
|
|
Payment Date |
Business Days-Paid in Arrears |
|
|
+/-Payment Days |
0 |
|
|
Reset Date |
Set in Advance |
|
|
+/-Payment Days |
0 |
|
|
Accounting Treatment |
Held to Maturity |
|
|
Counterparty |
TRBNK |
|
|
Issuer |
TRBNK |
|
|
Guarantor |
TRBNK |
|
|
Description |
180 Days to 1999-10-24 Pay USD 1.0m. @ 10% Receive USD 1.0m. @ LIBOR |
|
|
Deal Status |
Matured |
|
Page |
Field |
Field Value |
|
Settlement Instructions page |
||
|
Payment Information |
||
|
Our Settle Thru SetID |
SHARE |
|
|
Our Settle Thru Bank |
TRBNK |
|
|
Our Settle Thru Account |
CHCK |
|
|
Counterparty's Instructions |
TRBKS |
|
|
Payment Method |
System Check |
|
|
Receipt Information |
||
|
Our Settle Into SetID |
SHARE |
|
|
Our Settle Into Bank |
USBNK |
|
|
Our Settle Into Account |
CHCK |
|
|
Our Settlement Instructions |
TUS4P |
|
Page |
Field |
Field Value |
|
Interest and Payment Dates page |
|
|
|
|
Leg Type Period End Date Reset Date Payment Date Amount Principal Balance Rate Set Rate Interest Payment |
Receive Interest 07/27/1999 04/27/1999 07/27/1999 25,666.67 1,000,000.00 Selected 10.5 25,666.67 |
|
|
Leg Type Period End Date Reset Date Payment Date Amount Principal Balance Rate Set Rate Interest Payment |
Pay Interest 10/24/1999 (blank) 10/25/1999 –49,166.67 –1,000,000.00 Selected 10.0 –49,166.67 |
|
|
Leg Type Period End Date Reset Date Payment Date Amount Principal Balance Rate Set Rate Interest Payment |
Receive Interest 10/24/1999 07/27/1999 10/25/1999 25,555.56 1,000,000.00 Selected 10.0 25,555.56 |
Basis Swap Floats
On April 30, 2003, you enter into a swap to pay one million USD at set at the Corporate A Yield Curve rate and receive one million USD set at the LIBOR.
|
Page |
Field |
Field Value |
|
Deal Detail page |
|
|
|
|
Unit |
US001 |
|
|
Deal ID |
364 |
|
|
Instrument Type |
IRSWAP |
|
|
Transaction Date |
04/30/2003 |
|
|
Instrument Base Type |
Interest Rate Swap |
|
Interest Rate Swap Details |
|
|
|
|
Commencement Date |
04/30/2003 |
|
|
Term |
366 |
|
|
Maturity Date |
04/30/2004 |
|
|
Amort Method |
Non Amortizing |
|
|
Swap Principals |
Don't Swap |
|
|
Forward Rate Options |
Not a Forward Rate Agreement |
|
|
Pay (group box) |
|
|
|
Rate Type |
Floating |
|
|
Rate |
5.1 |
|
|
Interest Calculation |
Interest Bearing |
|
|
Day/Count Basis |
30/360. |
|
|
Notional Amount |
1,000,000.00 |
|
|
Currency |
USD |
|
|
Reset Index |
CP2YC |
|
|
Receive (group box) |
|
|
|
Rate Type |
Floating |
|
|
Rate |
5.0 |
|
|
Interest Calculation |
Interest Bearing |
|
|
Day Count Basis |
Actual/360 |
|
|
Notional Amount |
1,000,000.00 |
|
|
Currency |
USD |
|
|
Reset Index |
LIBOR |
|
Interest Dates and Calculation |
|
|
|
|
Repeat Interest Dates |
Selected |
|
|
Pay (group box) |
|
|
|
Interest Frequency |
Semi-Annual |
|
|
Reset Frequency |
Semi-Annual |
|
|
Reset Rate Index Tenor |
6 Month |
|
|
Business Day Convention |
Modified Following |
|
|
Receive (group box) |
|
|
|
Interest Frequency |
Semi-Annual |
|
|
Reset Frequency |
Semi-Annual |
|
|
Reset Rate Index Tenor |
6 Month |
|
|
Business Day Convention |
Modified Following |
|
|
Interest Calculation Pay |
Day Counted Interest Use Actual Interest Dates |
|
|
Interest Calculation Receive |
Day Counted Interest Use Actual Interest Dates |
|
|
Interest Date Rule — Pay |
Forwards from Issue Date |
|
|
Interest Date Rule — Receive |
Forwards from Issue Date |
|
|
Pay +/- Date Rules (group box) |
|
|
|
Payment Date |
Business Days-Paid in Arrears |
|
|
+/-Payment Days |
0 |
|
|
Reset Date |
Set in Advance |
|
|
+/-Reset Date |
0 |
|
|
Receive +/- Date Rules (group box) |
|
|
|
Payment Date |
Business Days-Paid in Arrears |
|
|
+/-Payment Days |
0 |
|
|
Reset Date |
Set in Advance |
|
|
+/-Reset Date |
0 |
|
|
Portfolio |
DEMO |
|
|
Accounting Treatment |
Other |
|
|
Counterparty |
USBNK |
|
|
Issuer |
USBNK |
|
|
Guarantor |
USBNK |
|
|
Description |
1 Year to 2004–04–30 Pay USD 1.0m. @ CP2YC Receive USD 1.0m. @ LIBOR |
|
|
Deal Status |
Open |
|
|
Net Deal Settlements |
Selected |
|
Page |
Field |
Field Value |
|
Settlement Instructions page |
||
|
Payment Information |
||
|
Our Settle Thru SetID |
SHARE |
|
|
Our Settle Thru Bank |
USBNK |
|
|
Our Settle Thru Account |
CHCK |
|
|
Counterparty's Instructions |
USBKS |
|
|
Payment Method |
Electronic Funds Transfer |
|
|
Layout |
UFF |
|
|
Receipt Information |
||
|
Our Settle Into SetID |
SHARE |
|
|
Our Settle Into Bank |
USBNK |
|
|
Our Settle Into Account |
CHCK |
|
|
Our Settlement Instructions |
TUS01 |
|
Page |
Field |
Field Value |
|
Interest and Payment Dates page |
|
|
|
|
Leg Type Period End Date Reset Date Payment Date Amount Principal Balance Rate Set Rate Interest Payment Principal Payment Currency |
Pay Interest 10/30/2003 04/30/2003 10/30/2003 –25,500.00 -1,000,000.00 Selected 5.1 –25,500.00 00.00 USD |
|
|
Leg Type Period End Date Reset Date Payment Date Amount Principal Balance Rate Set Rate Interest Payment Principal Payment Currency |
Receive Interest 10/30/2003 04/30/2003 10/30/2003 25,416.67 1,000,000.00 Selected 5.0 25,416.67 00.00 USD |
|
|
Leg Type Period End Date Reset Date Payment Date Amount Principal Balance Rate Set Rate Interest Payment Principal Payment Currency |
Pay Interest 04/30/2004 10/30/2003 04/30/2004 –30,000.00 -1,000,000.00 Selected 6.0 –30,000.00 00.00 USD |
|
|
Leg Type Period End Date Reset Date Payment Date Amount Principal Balance Rate Set Rate Interest Payment Principal Payment Currency |
Receive Interest 04/30/2004 10/30/2003 04/30/2004 31,008.33 1,000,000.00 Selected 6.1 31,008.33 00.00 USD |
|
Page |
Field |
Field Value |
|
Cash Flows |
|
|
|
|
Settlement Date Description Amount Currency Nominal Date Interest Date |
10/30/2003 Pay -83.33 USD 10/30/2003 10/30/2003 |
|
|
Settlement Date Description Amount Currency Nominal Date Interest Date |
04/30/2004 Receive 1008.33 USD 04/30/2004 04/30/2004 |
Entering Forward Rate Agreements
On August 4, 2003, you receive an order to enter into a forward deal, paying 1,000,000.00 USD at fixed rate 5% and receiving 1,000,000.00 USD at a floating rate set to the CP2YC. The term is 90 days.
|
Page |
Field |
Field Value |
|
Deal Detail |
|
|
|
|
Unit |
US001 |
|
|
Deal ID |
361 |
|
|
Instrument Type |
FRA |
|
|
Transaction Date |
08/04/2003 |
|
|
Interest Rate Base Type |
Interest Rate Swap |
|
Interest Rate Swap Details |
|
|
|
|
Commencement Date |
09/02/2003 |
|
|
Term |
90 |
|
|
Maturity Date |
12/01/2003 |
|
|
Amort Method |
Non Amortizing |
|
|
Swap Principals |
Don't Swap |
|
|
Forward Rate Options |
Standard Forward Rate |
|
Pay (group box) |
|
|
|
|
Rate Type |
Fixed |
|
|
Rate |
5.0 |
|
|
Interest Calculation |
Interest Bearing |
|
|
Day/Count Basis |
Actual/360. |
|
|
Notional Amount |
1,000,000.00 |
|
|
Currency |
USD |
|
|
Receive (group box) |
|
|
|
Rate Type |
Floating |
|
|
Rate |
6.0 |
|
|
Interest Calculation |
Interest Bearing |
|
|
Day Count Basis |
Actual/360 |
|
|
Notional Amount |
1,000,000.00 |
|
|
Currency |
USD |
|
|
Reset Index |
CP2YC |
|
Interest Dates and Calculation |
|
|
|
|
Repeat Interest Dates |
Cleared |
|
|
Pay (group box) |
|
|
|
Business Day Convention |
Modified Following |
|
|
Receive (group box) |
|
|
|
Business Day Convention |
Modified Following |
|
|
Interest Calculation Pay |
Day Counted Interest Use Actual Interest Dates |
|
|
Interest Calculation |
Day Counted Interest Use Actual Interest Dates |
|
|
Interest Date Rule — Pay |
No Interest Date Rule |
|
|
Interest Date Rule — Receive |
No Interest Date Rule |
|
|
Pay +/- Date Rules (group box) |
|
|
|
Payment Date |
Business Days-Paid in Arrears |
|
|
+/-Payment Days |
0 |
|
|
Reset Date |
Set in Advance |
|
|
+/-Reset Date |
0 |
|
|
Receive +/- Date Rules (group box) |
|
|
|
Payment Date |
Business Days-Paid in Advance |
|
|
+/-Payment Days |
0 |
|
|
Reset Date |
Set in Advance |
|
|
+/-Reset Date |
-2 |
|
|
Accounting Treatment |
Held to Maturity |
|
|
Counterparty |
TUS01 |
|
|
Description |
90 Days to 2003-12-01 Pay USD 1.0m. @ 5% Receive USD 1.0m. @ CP2YC |
|
|
Deal Status |
Open |
|
Page |
Field |
Field Value |
|
Settlement Instructions page |
||
|
Payment Information |
||
|
Our Settle Thru SetID |
SHARE |
|
|
Our Settle Thru Bank |
USBNK |
|
|
Our Settle Thru Account |
CHCK |
|
|
Counterparty's Instructions |
USBKS |
|
|
Payment Method |
Electronic FundsTransfer |
|
|
Layout |
PAYMENTEIP |
|
|
Receipt Information |
||
|
Our Settle Into SetID |
SHARE |
|
|
Our Settle Into Bank |
USBNK |
|
|
Our Settle Into Account |
CHCK |
|
|
Our Settlement Instructions |
TUS01 |
|
Page |
Field |
Field Value |
|
Cashflows |
|
|
|
|
Settlement Date Description Amount Currency |
09/02/2003 Receive 2,463.05 USD |
|
Interest Dates |
|
|
|
|
Leg Type Period End Date Reset Date Payment Date Amount Principal Balance |
No Cashflow Interest 12/01/2003 (blank) 09/02/2003 (blank) -1,000,000.00 |
|
|
Leg Type Period End Date Reset Date Payment Date Amount Principal Balance |
Receive Interest 12/01/2003 08/29/2003 09/02/2003 2463.05 1,000,000.00 |
Entering Foreign Exchange Deals Examples
This section discusses how to:
Enter foreign exchange physicals with domestic currency and foreign currency.
Enter foreign exchange physicals with two foreign currencies.
Enter spots.
Enter forwards.
Entering Foreign Exchange Physicals With Domestic Currency And Foreign
Currency
On April 5, 2000, you receive an order to purchase 1 million JPY at a spot rate of 102%, and sell 10 thousand USD at a forward rate of 100%. The spot date is April 7, 2000, the swap term is 10 days, and the maturity date is April 17, 2000.
|
Page |
Field |
Field Value |
|
Deal Detail |
|
|
|
|
Unit |
US001 |
|
|
Deal ID |
TFX1 |
|
|
Instrument Type |
FX FWD |
|
|
Transaction Date |
04/05/2000 |
|
|
Instrument Base Type |
FX Deal Physical |
|
FX Details |
|
|
|
|
Foreign (group box) |
|
|
|
Buy |
Selected |
|
|
Currency |
JPY |
|
|
Amount |
1,000,000.00 |
|
|
Spot Rate |
102 |
|
|
Spot Date |
04/07/2000 |
|
|
Term |
10 |
|
|
Domestic (group box) |
|
|
|
Sell |
Selected |
|
|
Currency |
USD |
|
|
Amount |
10,000.00 |
|
|
Forward Rate |
100.0 |
|
|
Maturity Date |
04/17/2000 |
|
|
Accounting Treatment |
Held to Maturity |
|
|
Counterparty |
USBNK |
|
|
Issuer |
USBNK |
|
|
Guarantor |
USBNK |
|
|
Description |
Buy JPY 1.0m. Sell USD 10k. @ 100 2000-04-17 |
|
|
Deal Status |
Matured |
|
Page |
Field |
Field Value |
|
Settlement Instructions page |
||
|
Payment Information |
||
|
Our Settle Thru SetID |
SHARE |
|
|
Our Settle Thru Bank |
USBNK |
|
|
Our Settle Thru Account |
CHCK |
|
|
Counterparty's Instructions |
USBKS |
|
|
Payment Method |
Wire Transfer |
|
|
Layout |
820 |
|
|
Receipt Information |
||
|
Our Settle Into SetID |
SHARE |
|
|
Our Settle Into Bank |
USBNK |
|
|
Our Settle Into Account |
JCHK |
|
|
Our Settlement Instructions |
USBKJ |
|
Page |
Field |
Field Value |
|
Cash Flows |
|
|
|
|
Settlement Date Description Amount Currency |
04/17/2000 Buy 1,000,000.00 JPY |
|
|
Settlement Date Description Amount Currency |
04/17/2000 Buy 1,000,000.00 USD |
|
|
Settlement Date Description Amount Currency |
04/17/2000 Sell -1,000,000.00 USD |
|
|
Settlement Date Description Amount Currency |
04/17/2000 Sell -10,000.00 USD |
Entering Foreign Exchange Physicals With Two Foreign Currencies
On April 30, 2003, you receive an order to purchase 1 million JPY and sell 15,000 CAD. The a spot rate is 1.75 %, the forward rate is 1.5%, and the spot date is May 1, 2003 with a term of 60 days.
|
Page |
Field |
Field Value |
|
Deal Detail |
|
|
|
|
Unit |
US001 |
|
|
Deal ID |
365 |
|
|
Instrument Type |
FX FWD |
|
|
Transaction Date |
04/30/2003 |
|
|
Instrument Base Type |
FX Deal Ph |
|
FX Details |
|
|
|
|
Foreign (group box) |
|
|
|
Buy |
Selected |
|
|
Currency |
JPY |
|
|
Amount |
1,000,000.00 |
|
|
Spot Rate |
1.75 |
|
|
Spot Date |
05/01/2003 |
|
|
Term |
60 |
|
|
Foreign2 (group box) |
|
|
|
Sell |
Yes |
|
|
Currency |
CAD |
|
|
Amount |
15,000.00 |
|
|
Forward Rate |
1.5 |
|
|
Maturity Date |
06/302003 |
|
|
Accounting Treatment |
Trading |
|
|
Counterparty |
USBNK |
|
|
Issuer |
USBNK |
|
|
Guarantor |
USBNK |
|
|
Description |
Buy JPY 1.0m. Sell CAD 15k @ 1.5 2003–06–30 |
|
|
Deal Status |
Open |
|
Page |
Field |
Field Value |
|
Settlement Instructions page |
||
|
Payment Information |
||
|
Our Settle Thru SetID |
SHARE |
|
|
Our Settle Thru Bank |
USBNK |
|
|
Our Settle Thru Account |
CAN |
|
|
Counterparty's Instructions |
USCA2 |
|
|
Payment Method |
Wire Transfer |
|
|
Layout |
PAYMENTEIP |
|
|
Receipt Information |
||
|
Our Settle Into SetID |
SHARE |
|
|
Our Settle Into Bank |
JPBNK |
|
|
Our Settle Into Account |
CHCK |
|
|
Our Settlement Instructions |
TJPN2 |
|
Page |
Field |
Field Value |
|
Cashflows |
|
|
|
|
Settlement Date Description Amount Currency |
06/30/2003 Buy 1,000,000.00 JPY |
|
|
Settlement Date Description Amount Currency |
06/30/2003 Sell –15,000.00 CAD |
Entering Spots
On April 30, 2003, you receive an order to purchase 16 million CAD and sell 10 million USD. Both the a spot rate and forward rate is 1.6%, and the spot date is May 1, 2003 with a term of 4 days.
|
Page |
Field |
Field Value |
|
Deal Detail |
|
|
|
|
Unit |
US001 |
|
|
Deal ID |
366 |
|
|
Instrument Type |
FX SPOT |
|
|
Transaction Date |
04/30/2003 |
|
|
Instrument Base Type |
FX Deal Physical |
|
FX Details |
|
|
|
|
Foreign (group box) |
|
|
|
Buy |
Yes |
|
|
Currency |
CAD |
|
|
Amount |
16,000,000.00 |
|
|
Spot Rate |
1.6 |
|
|
Spot Date |
05/01/2003 |
|
|
Term |
4 |
|
|
Domestic (group box) |
|
|
|
Sell |
Yes |
|
|
Currency |
USD |
|
|
Amount |
10,000,000.00 |
|
|
Forward Rate |
1.6 |
|
|
Maturity Date |
05/05/2003 |
|
|
Accounting Treatment |
Trading |
|
|
Counterparty |
USBNK |
|
|
Description |
Buy CAD 16.0m. Sell USD 10.0m. @ 1.6 2003–05–05 |
|
|
Deal Status |
Open |
|
|
Net Deal Settlement Cashflows |
Selected |
|
Page |
Field |
Field Value |
|
Settlement Instructions page |
||
|
Payment Information |
||
|
Our Settle Thru SetID |
SHARE |
|
|
Our Settle Thru Bank |
USBNK |
|
|
Our Settle Thru Account |
CHCK |
|
|
Counterparty's Instructions |
USBKS |
|
|
Payment Method |
Wire Transfer |
|
|
Layout |
820 |
|
|
Receipt Information |
||
|
Our Settle Into SetID |
SHARE |
|
|
Our Settle Into Bank |
USBNK |
|
|
Our Settle Into Account |
CAN |
|
|
Our Settlement Instructions |
USCA1 |
|
Page |
Field |
Field Value |
|
Cashflows |
|
|
|
|
Settlement Date Description Amount Currency |
05/05/2003 Buy 16,000,000.00 CAD |
|
|
Settlement Date Description Amount Currency |
05/05/2003 Sell –10,000,000.00 USD |
Entering Options
This section discusses how to:
Enter swaptions.
Enter callable bonds.
Enter foreign exchange deal options.
Enter binary options.
Entering Swaptions
On August 4, 2003 you receive an order to enter into a swaption. The terms are 10,000,000 USD at a rate of 5.3% with a term of 728 days.
|
Page |
Field |
Field Value |
|
Deal Detail, Line 1 |
|
|
|
Unit |
US001 |
|
|
Deal ID |
365 |
|
|
Instrument Type |
IRSWPTN |
|
|
Transaction Date |
08/04/2003 |
|
|
Instrument Base Type |
Option |
|
|
Option Details |
|
|
|
Start Date |
08/04/2003 |
|
|
Term |
728 |
|
|
Expiry Date |
08/01/2005 |
|
|
Purchase/Write |
Purchase |
|
|
Option Status |
Active |
|
|
Strike Rate |
5.3 |
|
|
Option Delta |
1.0 |
|
|
Initial Intrinsic Value |
10,000,000.00 |
|
|
Currency |
USD |
|
|
Premium Payments/Receipts (group box) |
|
|
|
Payment Date |
08/01/2005 |
|
|
Payment Amount |
-10,000,000.00 |
|
|
Payment Currency |
USD |
|
|
Deal Detail, Line 2 |
|
|
|
Instrument Base Type |
Interest Rate Swap |
|
|
Interest Rate Swap Details |
||
|
Commencement Date |
08/04/2003 |
|
|
Term |
728 |
|
|
Maturity Date |
08/01/2005 |
|
|
Amort Method |
Non Amortizing |
|
|
Swap Principals |
Don't Swap |
|
|
Forward Rate Options |
Not a Forward Rate Agreement |
|
|
Pay (group box) |
|
|
|
Rate Type |
Floating |
|
|
Rate |
6.0 |
|
|
Interest Calculation |
Interest Bearing |
|
|
Day Count Basis |
Actual/360 |
|
|
Amount |
10,000,000.00 |
|
|
Currency |
USD |
|
|
Reset Index |
LIBOR |
|
|
Receive (group box) |
|
|
|
Rate Type |
Fixed |
|
|
Rate |
6.5 |
|
|
Interest Calculation |
Interest Bearing |
|
|
Day Count Basis |
Actual/360 |
|
|
Amount |
10,000,000.00 |
|
|
Currency |
USD |
|
|
Interest Dates and Calculation |
|
|
|
Repeat Interest Dates |
Cleared |
|
|
Pay (group box) |
|
|
|
Interest Frequency |
(blank) |
|
|
Reset Frequency |
(blank) |
|
|
Business Day Convention |
Modified Following |
|
|
Receive (group box) |
|
|
|
Interest Frequency |
(blank) |
|
|
Reset Frequency |
(blank) |
|
|
Business Day Convention |
Modified Following |
|
|
Interest Calculation Pay |
Day Counted Interest Use Actual Interest Dates |
|
|
Interest Calculation Receive |
Day Counted Interest Use Actual Interest Dates |
|
|
Interest Date Rule — Pay |
(blank) |
|
|
Interest Date Rule — Receive |
(blank) |
|
|
Pay +/- Date Rules (group box) |
|
|
|
Payment Date |
Business Days-Paid in Advance |
|
|
+/-Payment Days |
0 |
|
|
Reset Date |
Set in Advance |
|
|
+/-Reset Date |
0 |
|
|
Receive +/- Date Rules (group box) |
|
|
|
Payment Date |
Business Days-Paid in Advance |
|
|
+/-Payment Days |
0 |
|
|
Reset Date |
Set in Advance |
|
|
+/-Reset Date |
0 |
|
|
Accounting Treatment |
Held to Maturity |
|
|
Counterparty |
USBNK |
|
|
Net Deal Settlement Cashflows |
Selected |
|
|
Accounting Treatment |
Held to Maturity |
|
|
Counterparty |
USBNK |
|
|
Description |
2 Years to 2005-08-04 Swaption USD 10.0m. @ 5.3% |
|
|
Deal Status |
Open |
|
Page |
Field |
Field Value |
|
Settlement Instructions page |
||
|
Payment Information (Line 1) |
||
|
Our Settle Thru SetID |
SHARE |
|
|
Our Settle Thru Bank |
USBNK |
|
|
Our Settle Thru Account |
CHCK |
|
|
Counterparty's Instructions |
USBKS |
|
|
Payment Method |
Electronic FundsTransfer |
|
|
Layout |
820 |
|
|
Receipt Information (Line 1) |
||
|
Our Settle Into SetID |
SHARE |
|
|
Our Settle Into Bank |
USBNK |
|
|
Our Settle Into Account |
CHCK |
|
|
Our Settlement Instructions |
TUS01 |
|
|
Payment Information (Line 2) |
||
|
Our Settle Thru SetID |
SHARE |
|
|
Our Settle Thru Bank |
USBNK |
|
|
Our Settle Thru Account |
CHCK |
|
|
Counterparty's Instructions |
USBKS |
|
|
Payment Method |
Electronic FundsTransfer |
|
|
Layout |
820 |
|
|
Receipt Information (Line 2) |
||
|
Our Settle Into SetID |
SHARE |
|
|
Our Settle Into Bank |
USBNK |
|
|
Our Settle Into Account |
CHCK |
|
|
Our Settlement Instructions |
TUS01 |
|
Page |
Field |
Field Value |
|
Cashflows |
|
|
|
|
Settlement Date Description Amount Currency |
08/01/2005 Option Payment -10,000,000.00 USD |
Entering a Callable Bonds Deal
A callable bond, also known as a redeemable bond, is a bond in which the issuer has the right to redeem prior to its maturity date, under certain conditions. When issued, the bond will explain when it can be redeemed and what the price will be. In most cases, the price will be slightly above the par value for the bond and will increase the earlier the bond is called. If interest rates drop enough, the investor may wind up with their principal returned and be faced with less attractive bond offerings.
On May 25, 2006, you purchase a $30,000 10-year callable bond paying 6.5% interest, which is a higher interest rate than similar non-callable bonds. The bond is callable after five years at a price of 103 (that is, 103% of the face value, or $30,900). The option instrument (line 1 of 2) is used to define the early bond buy-back schedule.
|
Page |
Field |
Field Value |
|
Deal Detail |
|
|
|
|
Unit |
US001 |
|
|
Deal ID |
TCALL |
|
|
Instrument Type |
CALLBOND |
|
|
Transaction Date |
05/31/2006 |
|
|
Line |
1 of 2 |
|
|
Instrument Base Type |
Option |
|
Option Details (section) |
||
|
|
Start Date |
05/31/2006 |
|
|
Term |
3653 |
|
|
Expiry Date |
05/31/2016 |
|
|
Purchase/Write |
Purchase |
|
|
Option Status |
Active |
|
|
Option Delta |
1.00000000 |
|
|
Initial Intrinsic Value |
0.0 |
|
|
Currency |
USD |
|
|
Premium Payments/Receipts (group box) |
|
|
|
Payment Date |
06/02/2006 |
|
|
Payment Amount |
0.00 |
|
|
Payment Currency |
USD |
|
|
Option Exercise Dates (group box) |
|
|
Start Date |
05/31/2006 |
|
|
End Date |
05/31/2016 |
|
|
Strike Rate |
103.00000 |
|
|
Deal Detail |
|
|
|
|
Line |
2 of 2 |
|
|
Instrument Base Type |
Interest Rate Physical |
|
|
Contingent Upon Base Line |
1 |
|
|
Settlement Date |
05/31/2006 |
|
|
Term |
3653 |
|
|
Maturity Date |
05/31/2016 |
|
|
Issue Date |
05/31/2006 |
|
|
Coupon Date |
05/31/2006 |
|
Classification |
Investment |
|
|
|
Rate Type |
Fixed |
|
Rate |
6.5000000 |
|
|
Day Count Basis |
Actual/Actual |
|
|
Interest Calculation |
Interest Bearing |
|
|
Par Amount |
30,000.00 |
|
|
Currency |
USD |
|
|
Settlement Amount |
30,900.00 |
|
|
Price % of Par |
103.00000000 |
|
|
Discount Premium |
Constant Yield Method |
|
|
Amort Method |
Non Amortization |
|
|
Interest Dates and Calculations (section) |
||
|
Interest Frequency |
Quarterly |
|
|
Interest Calculation (group box) |
||
|
Same Interest Each Period |
(selected) |
|
|
First Coupon |
Normal First Coupon Period |
|
|
Last Coupon |
Normal Last Coupon Period |
|
|
Interest Date Rule (section) |
||
|
Forwards from Issue Date |
(selected) |
|
|
Payment Date |
Business Days - Paid in Arrears |
|
|
Accounting Treatment |
Held to Maturity |
|
|
Deal Status |
Open |
Entering Foreign Exchange Deal Options
On January 4, 1999, you receive an option to purchase with a strike rate of 5%, a premium of 2,221 USD and a term of 240 days. Underlying the option is a foreign exchange deal physical to buy 7500 DEM at a spot rate of 1.4%, and sell 5000 USD at a forward rate of 1.5%. The FX deal spot date is January 5, 1999, with a term of 240 days.
|
Page |
Field |
Field Value |
|
Deal Detail |
|
|
|
|
Unit |
US001 |
|
|
Deal ID |
TOPTION |
|
|
Instrument Type |
FXAMCLPT |
|
|
Transaction Date |
01/02/1999 |
|
|
Line |
1 of 2 |
|
|
Instrument Base Type |
Option |
|
Option Details |
||
|
|
Start Date |
01/04/1999 |
|
|
Term |
240 |
|
|
Expiry Date |
09/01/1999 |
|
|
Purchase/Write |
Purchase |
|
|
Option Status |
Active |
|
|
Strike Rate |
5.0 |
|
|
Option Delta |
1.0 |
|
|
Initial Intrinsic Value |
0.0 |
|
|
Currency |
USD |
|
|
Premium Payments/Receipts (group box) |
|
|
|
Payment Date |
01/04/1999 |
|
|
Payment Amount |
—2,221.00 |
|
|
Payment Currency |
USD |
|
|
Strike Rate |
5.0 |
|
Deal Detail |
|
|
|
|
Line |
2 of 2 |
|
|
Instrument Base Type |
FX Deal Physical |
|
|
Contingent Upon Base Line |
1 |
|
FX Details |
|
|
|
|
Foreign (group box) |
|
|
|
Buy |
Selected |
|
|
Currency |
DEM |
|
|
Amount |
7,500.00 |
|
|
Domestic (group box) |
|
|
|
Sell |
Selected |
|
|
Currency |
USD |
|
|
Amount |
5,000.00 |
|
|
Spot Rate |
1.4 |
|
|
Forward Rate |
1.5 |
|
|
Spot Date |
01/05/1999 |
|
|
Term |
240 |
|
|
Maturity Date |
09/02/1999 |
|
|
Portfolio |
GTI |
|
|
Accounting Treatment |
Held to Maturity |
|
|
Counterparty |
USBNK |
|
|
Issuer |
USBNK |
|
|
Guarantor |
USBNK |
|
|
Description |
3 Years to 2006–05–02 Debt USD 450K @5% |
|
|
Deal Status |
Matured |
|
|
Net Deal Settlement Cashflows |
Selected |
|
Page |
Field |
Field Value |
|
Settlement Instructions page |
||
|
Line |
1 |
|
|
Payment Information |
||
|
Our Settle Thru SetID |
SHARE |
|
|
Our Settle Thru Bank |
USBNK |
|
|
Our Settle Thru Account |
CHCK |
|
|
Payment Method |
Wire Transfer |
|
|
Layout |
820 |
|
|
Counterparty's Instructions |
USBKS |
|
|
Receipt Information |
||
|
Our Settle Into SetID |
SHARE |
|
|
Our Settle Into Bank |
USBNK |
|
|
Our Settle Into Account |
CHCK |
|
|
Our Settlement Instructions |
TUS01 |
|
|
Settlement Instructions page |
||
|
Line |
2 |
|
|
Payment Information |
||
|
Our Settle Thru SetID |
SHARE |
|
|
Our Settle Thru Bank |
USBNK |
|
|
Our Settle Thru Account |
CHCK |
|
|
Counterparty's Instructions |
USBKS |
Binary Options
On April 30, 2003 you receive an order to purchase 10,000,000 USD with strike rate of 1.6% for a term of 246 days.
|
Page |
Field |
Field Value |
|
Deal Detail |
|
|
|
Unit |
US001 |
|
|
Instrument Type |
BINARY |
|
|
Transaction Date |
04/30/2003 |
|
|
Line |
1 of 2 |
|
|
Instrument Base Type |
Option |
|
|
Option Details |
|
|
|
Start Date |
04/30/2003 |
|
|
Term |
247 |
|
|
Expiry Date |
01/02/2004 |
|
|
Purchase/Write |
Purchase |
|
|
Option Status |
Active |
|
|
Strike Rate |
1.6 |
|
|
Option Delta |
1.0 |
|
|
Initial Intrinsic Value |
10,000,000. |
|
|
Currency |
USD |
|
|
Premium Payments/Receipts (group box) |
|
|
|
Payment Date |
05/02/2003 |
|
|
Payment Amount |
–10,000,000. |
|
|
Payment Currency |
USD |
|
|
Deal Detail |
|
|
|
Line |
1 of 2 |
|
|
Instrument Base Type |
Option — Binary Payoff |
|
|
Contingent Upon Option Line |
1 |
|
|
Binary Option Details |
|
|
|
Amount |
10,000,000. |
|
|
Currency |
USD |
|
|
Counterparty |
BR1 (Goldman Sachs) |
|
|
Accounting Treatment |
Held to Maturity |
|
|
Description |
247 Days to 2004–01–02 Investment USD 10.0m @ 1.6% |
|
|
Deal Status |
Open |
|
Page |
Field |
Field Value |
|
Settlement Instructions page |
||
|
Payment Information |
||
|
Our Settle Thru SetID |
SHARE |
|
|
Our Settle Thru Bank |
TRBNK |
|
|
Our Settle Thru Account |
CHCK |
|
|
Counterparty's Instructions |
TRBKS |
|
|
Payment Method |
System Check |
|
|
Receipt Information |
||
|
Our Settle Into SetID |
SHARE |
|
|
Our Settle Into Bank |
TRBNK |
|
|
Our Settle Into Account |
CHCK |
|
|
Our Settlement Instructions |
TUS4P |
|
|
Payment Information (Line 2) |
||
|
Our Settle Thru SetID |
SHARE |
|
|
Our Settle Thru Bank |
USBNK |
|
|
Our Settle Thru Account |
CHCK |
|
|
Counterparty's Instructions |
TRBKS |
|
|
Payment Method |
System Check |
|
|
Receipt Information |
||
|
Our Settle Into SetID |
SHARE |
|
|
Our Settle Into Bank |
USBNK |
|
|
Our Settle Into Account |
CHCK |
|
|
Our Settlement Instructions |
TUS01 |
Entering Futures Contract Deals
This section discusses entering a futures contract deal.
Entering Futures Contract DealsOn April 6, 2001, you receive an order to buy 50 Treasury bond futures at 100 USD each, with a delivery date of December 2001.
|
Page |
Field |
Field Value |
|
Deal Detail |
|
|
|
|
Unit |
US001 |
|
|
Deal ID |
T FUTURE |
|
|
Instrument Type |
FUTR-TBOND |
|
|
Transaction Date |
04/06/2001 |
|
|
Line |
1 of 2 |
|
|
Instrument Base Type |
Futures Contract |
|
Futures Details |
||
|
|
Buy/Sell |
Buy |
|
|
# of Contracts |
50.0 |
|
|
Delivery Year |
2001 |
|
|
Month |
12 |
|
|
Original Price |
100.0 |
|
Deal Detail |
|
|
|
|
Line |
2 of 2 |
|
|
Instrument Base Type |
Interest Rate Physical |
|
|
Contingent Upon Future Line |
1 |
|
Interest Rate Physical Details |
|
|
|
|
Settlement Date |
12/19/2001 |
|
|
Term |
365 |
|
|
Maturity Date |
12/19/2001 |
|
|
Issue Date |
12/19/2001 |
|
|
Interest Period Start Date |
12/19/2001 |
|
|
Classification |
Investment |
|
|
Rate Type |
Fixed |
|
|
Rate |
8.0 |
|
|
Day/Count Basis |
Actual/Actual |
|
|
Interest Calculation |
Interest Bearing |
|
Par Amount |
5,000,000.00 |
|
|
Currency |
USD |
|
|
Settlement Amount |
5,000,000.00. |
|
|
Price % of Par |
100.0.(Automatically populated with the default value.) |
|
|
Discount/Premium |
Straightline Method |
|
|
Interest Dates and Calculations |
||
|
Repeat Interest Dates |
Selected |
|
|
Interest Frequency |
Semi-Annual |
|
|
Business Day Convention |
Following |
|
|
Next Interest Payment |
Traded Cum-Interest |
|
|
Interest Calculation |
Same Interest Each Period Normal First Coupon Period Normal Last Coupon Period |
|
|
Interest Date Rule |
Forward from Issue Date |
|
|
|
Payment Date |
Business Days - Paid in Arrears |
|
|
Accounting Treatment |
Held to Maturity |
|
|
Counterparty |
USBNK |
|
|
Description |
3 Years to 2006–05–02 Debt USD 450K @5% |
|
|
Deal Status |
Open |
Entering Commodity Deals
This section discusses entering a commodity deal.
Entering Commodity Deals
On April 25, 2003, you receive an order to buy 100 units of gold priced at 336.60 USD per ounce for a term of 222 days.
|
Page |
Field |
Field Value |
|
Deal Detail |
|
|
|
Instrument Type |
COMMGOLD |
|
|
Transaction Date |
04/25/2003 |
|
|
Instrument Base Type |
Commodity |
|
|
Commodity Details |
||
|
Spot Date |
04/25/2003 |
|
|
Term |
222 |
|
|
Maturity Date |
12/03/2003 |
|
|
Market/Exchange |
NYMEX |
|
|
Commodity Code |
GOLD |
|
|
Buy/Sell |
Buy |
|
|
Unit of Measure |
OZT |
|
|
Price per Unit |
336.60 |
|
|
Quantity |
100 |
|
|
Rate Reset Type |
Fixed |
|
|
Amount |
33,660.00 |
|
|
Currency |
USD |
|
|
Accounting Treatment |
Other |
|
|
Counterparty |
USBNK |
|
|
Issuer |
USBNK |
|
|
Guarantor |
USBNK |
|
|
Description |
Buy Commodity GOLD, 100 quantity for 336.6 each on 2003-04-25, maturing on 2003-12-03 |
|
|
Deal Status |
Open |
|
Page |
Field |
Field Value |
|
Settlement Instructions page |
||
|
Payment Information |
||
|
Our Settle Thru SetID |
SHARE |
|
|
Our Settle Thru Bank |
USBNK |
|
|
Our Settle Thru Account |
CHCK |
|
|
Counterparty's Instructions |
USBKS |
|
|
Payment Method |
System Check |
|
|
Receipt Information |
||
|
Our Settle Into SetID |
SHARE |
|
|
Our Settle Into Bank |
USBNK |
|
|
Our Settle Into Account |
CHCK |
|
|
Our Settlement Instructions |
TUS01 |
Entering Generic DealsIn this section we discuss entering generic deals.
Entering Generic Deals
On April 25, 2003, you receive an order to loan 500,000,000. USD for a term of 366 days.
|
Page |
Field |
Field Value |
|
Deal Detail |
|
|
|
Instrument Type |
GENERIC |
|
|
Transaction Date |
04/25/2003 |
|
|
Instrument Base Type |
Generic Instrument |
|
|
Cashflows Details (group box) |
|
|
|
Rate |
1.6 |
|
|
Market Date |
04/30/2003 |
|
|
Generic Details (group box) |
|
|
|
Asset or Liability |
Liability |
|
|
Amount |
500,000,000.00 |
|
|
Position Currency |
USD |
|
|
Start Date |
04/30/2003 |
|
|
Term |
366 |
|
|
Maturity Date |
04/30/2004 |
|
|
Accounting Treatment |
Other |
|
|
Counterparty |
BR1 |
|
|
Deal Status |
Open |
|
Page |
Field |
Field Value |
|
Settlement Instructions page |
||
|
Payment Information |
||
|
Our Settle Thru SetID |
SHARE |
|
|
Our Settle Thru Bank |
TRBNK |
|
|
Our Settle Thru Account |
CHCK |
|
|
Counterparty's Instructions |
TRBKS |
|
|
Payment Method |
System Check |
|
|
Receipt Information |
||
|
Our Settle Into SetID |
SHARE |
|
|
Our Settle Into Bank |
TRBNK |
|
|
Our Settle Into Account |
CHCK |
|
|
Our Settlement Instructions |
TUS4P |