Entering Options
This topic discusses how to:
Enter swaptions.
Enter callable bonds.
Enter foreign exchange deal options.
Enter binary options.
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 Funds Transfer |
|
|
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 Funds Transfer |
|
|
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 |
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 noncallable 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 |
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 |
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 |