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 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 |