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 Funds Transfer |
|
|
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 |