Foreign Exchange Swap Base

PURPOSE

To show illustration of foreign exchange swap base.

OVERVIEW

TRANSACTION DETAILS

Accounting Base Ccy
SGD
Trade ID
Trade Date
VDate
Sell Currency
Buy Currency
Rate
Sell Amount
Buy Amount
Points

Near Leg

FRX1001
25-Mar-03
27-Mar-03
SGD
USD
1.710000
-1,710,000.00
1,000,000.00
0.000500

Far Leg

FRX1002
25-Mar-03
3-Apr-03
USD
SGD
1.710500
-1,000,000.00
1,710,500.00

SUMMARY OF JOURNALS

IDDateDescription
J127-Mar-03Settlement of Trade
J227-Mar-03Settlement of Trade
J331-Mar-03Month end revaluation
J41-Apr-03Reversal of Month end revaluation
J53-Apr-03Settlement of Trade
J63-Apr-03Settlement of Trade

J1                   Settlement of Trade

TradeIDPostDateB/PAccountCcyCcy AmountExc RateCcyBase AmountLine
FRX100127-Mar-03BFX Cash Clearing AccountUSD-1,000,000.001.717170SGD-1,717,170.00J1a
FRX100127-Mar-03PCash at BankUSD1,000,000.001.717170SGD1,717,170.00J1b

J2                   Settlement of Trade

TradeIDPostDateB/PAccountCcyCcy AmountExc RateCcyBase AmountLine
FRX100127-Mar-03BFX Cash Clearing AccountSGD1,710,000.001.000000SGD1,710,000.00J2a
FRX100127-Mar-03PCash at BankSGD-1,710,000.001.000000SGD-1,710,000.00J2b

J3                   Month end revaluation

TradeIDPostDateB/PAccountCcyCcy AmountExc RateCcyBase AmountLine
FRX100231-Mar-03PFX - Unrealised Losses - FX TradeSGD21,300.001.000000SGD21,300.00J3a
FRX100231-Mar-03BFRX:Derivative Liability Fair ValueSGD-21,300.001.000000SGD-21,300.00J3b

                                     Month End Revaluation

Trade ID ContractME RateDiffCcy
Amount
Gain/(Loss)Rate to Base
Base Amount
FRX10021.7105001.7318000.021300USD
-1,000,000.00
-21,300.001.000000
-21,300.00
Net P/L
-21,300.00

J4                   Reversal of month end revaluation

TradeIDPostDateB/PAccountCcyCcy AmountExc RateCcyBase AmountLine
FRX10021-Apr-03PFX - Unrealised Losses - FX TradeSGD-21,300.001.000000SGD-21,300.00J4a
FRX10021-Apr-03BFRX:Derivative Liability Fair ValueSGD21,300.001.000000SGD21,300.00J4b

J5                   Settlement of Trade

TradeIDPostDateB/PAccountCcyCcy AmountExc RateCcyBase AmountLine
FRX10023-Apr-03BFX Cash Clearing AccountSGD-1,710,500.001.000000SGD-1,710,500.00J5a
FRX10023-Apr-03PCash at BankSGD1,710,500.001.000000SGD1,710,500.00J5b

J6                   Settlement of Trade

TradeIDPostDateB/PAccountCcyCcy AmountExc RateCcyBase AmountLine
FRX10023-Apr-03BFX Cash Clearing AccountUSD1,000,000.001.719940SGD1,719,940.00J6a
FRX10023-Apr-03PCash at BankUSD-1,000,000.001.719940SGD-1,719,940.00J6b

EXCHANGE RATES

Our illustration assumes the company uses different daily exchange rates for accounting.

The following rates were used for this illustration.

Spot rate

DateUSD/SGD
27-Mar-031.717170
31-Mar-031.731800
3-Apr-031.719940

* round to 6 dp. Full precision used for calculation of average rates

FREQUENTLY ASKED QUESTIONS

RELATED INFORMATION

CHANGE HISTORY

DateByChanges
22-Jan-2008CSCreation.
20-Jun-2016RJReformatted.
23-Apr-2020LTRe-formatting.
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