Entering Interest Rate Swaps Examples
This topic discusses the following:
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.
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 |
|---|---|---|
|
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 |
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 |
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 |
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 |
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 |
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Interest Dates and Calculation |
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Repeat Interest Dates |
Cleared |
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Pay (group box) |
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Business Day Convention |
Modified Following |
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Receive (group box) |
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Business Day Convention |
Modified Following |
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Interest Calculation Pay |
Day Counted Interest Use Actual Interest Dates |
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Interest Calculation |
Day Counted Interest Use Actual Interest Dates |
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Interest Date Rule — Pay |
No Interest Date Rule |
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Interest Date Rule — Receive |
No Interest Date Rule |
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Pay +/- Date Rules (group box) |
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Payment Date |
Business Days-Paid in Arrears |
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+/-Payment Days |
0 |
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Reset Date |
Set in Advance |
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+/-Reset Date |
0 |
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Receive +/- Date Rules (group box) |
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Payment Date |
Business Days-Paid in Advance |
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+/-Payment Days |
0 |
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Reset Date |
Set in Advance |
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+/-Reset Date |
-2 |
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Accounting Treatment |
Held to Maturity |
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Counterparty |
TUS01 |
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Description |
90 Days to 2003-12-01 Pay USD 1.0m. @ 5% Receive USD 1.0m. @ CP2YC |
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Deal Status |
Open |
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Page |
Field |
Field Value |
|---|---|---|
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Settlement Instructions page |
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Payment Information |
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Our Settle Thru SetID |
SHARE |
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Our Settle Thru Bank |
USBNK |
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Our Settle Thru Account |
CHCK |
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Counterparty's Instructions |
USBKS |
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Payment Method |
Electronic Funds Transfer |
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Layout |
PAYMENTEIP |
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Receipt Information |
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Our Settle Into SetID |
SHARE |
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Our Settle Into Bank |
USBNK |
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Our Settle Into Account |
CHCK |
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Our Settlement Instructions |
TUS01 |
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Page |
Field |
Field Value |
|---|---|---|
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Cashflows |
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Settlement Date Description Amount Currency |
09/02/2003 Receive 2,463.05 USD |
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Interest Dates |
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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 |
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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 |