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 |
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|
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 |
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|
Our Settle Thru Account |
CHCK |
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|
Counterparty's Instructions |
TRBKS |
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|
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 |