IRS Cross Ccy – Notional

PURPOSE

To show illustration of IRS cross currency notional.

OVERVIEW

TRANSACTION DETAILS

Accounting Base Ccy
Trade ID
Trade Date
Start Date
Maturity Date
Structure
USD
IRS1001
3-Feb-03
3-Feb-03
3-Feb-06
Notional
Principal
Basis
Rate %
Accrual Method
Frequency

Pay Leg

USD 1,000,000
Fixed
5.000000
Act/360
Quarterly

Rec Leg

SGD 1,750,000
Float
5.000000
Act/365 (fixed)
Quarterly

Interest Payment Dates

From Date

3-Feb-03
5-May-03
3-Nov-05

To Date

5-May-03
4-Aug-03
3-Feb-06

Days

91
91
92

Fix Rate

5.000000%
5.000000%
5.000000%

USD (Pay) Fix

-12,638.89
-12,638.89
-12,777.78

Float Reset

4.900000%
5.123200%
4.900000%

SGD (Rec) Float

21,378.77
22,352.59
21,613.70

SUMMARY OF JOURNALS

IDDateDescription
J128-Feb-03Month End IRS Accruals
J21-Mar-03Reversal Month End IRS Accruals
J331-Mar-03Month End IRS Accruals
J41-Apr-03Reversal Month End IRS Accruals.
J530-Apr-03Month End IRS Accruals.
J61-May-03Reversal Month End IRS Accruals
J75-May-03Interest Settlement on IRS
J83-Feb-06Final Settlement on IRS

J1                    Month End IRS Accruals

TradeIDPostDateB/PAccountCcyCcy AmountExc RateCcyBase AmountLine
IRS100128-Feb-03B[7000] IRS ReceivableSGD6,108.220.568919USD3,475.08J1a
IRS100128-Feb-03P[7002] IRS IncomeSGD-6,108.220.571584USD-3,491.36J1b
IRS100128-Feb-03P[5003] Unrealised FX Gains and LossSGD0.000.000000USD16.28J1c
IRS100128-Feb-03B[7001] IRS PayableUSD-3,611.111.000000USD-3,611.11J1d
IRS100128-Feb-03P[7003] IRS ExpensesUSD3,611.111.000000USD3,611.11J1e

Note J1a:          Calculation of Accrual in SGD

Start date3-Feb-03
Month End Date28-Feb-03
Days (include 28-Feb)26=A
Start date3-Feb-03
Maturity Date5-May-03
Days (exclude 5-May)91=B
Total Interest21,378.77=C
Period Interest6,108.22=C*A/B

Note J1b:           The average multiplier rate between 3-Feb and 28-Feb is 0.571584. See Exchange Rates below.

Note J1c:           The unrealised foreign exchange loss on interest income is analyzed as follows:

SGDRate+
USD
At Closing Rate6,108.220.568919
3,475.08
At Average Rate6,108.220.571584
3,491.36
Loss in exchange
-16.28

+ Rates used for calculation are in full precision. Illustrated rates are rounded to 6dp.

Note J1d:           Calculation of Accrual in USD

Start date3-Feb-03
Month End Date28-Feb-03
Days (include 28-Feb)26=A
Start date3-Feb-03
Maturity Date5-May-03
Days (exclude 5-May)91=B
Total Interest12,638.89=C
Period Interest3,611.11=C*A/B

J2                     Reversal Month End IRS Accruals.

TradeIDPostDateB/PAccountCcyCcy AmountExc RateCcyBase AmountLine
IRS10011-Mar-03B[7000] IRS ReceivableSGD-6,108.220.568919USD-3,475.08J2a
IRS10011-Mar-03P[7002] IRS IncomeSGD6,108.220.571584USD3,491.36J2b
IRS10011-Mar-03P[5003] Unrealised FX Gains and LossSGD0.000.000000USD-16.28J2c
IRS10011-Mar-03B[7001] IRS PayableUSD3,611.111.000000USD3,611.11J2d
IRS10011-Mar-03P[7003] IRS ExpensesUSD-3,611.111.000000USD-3,611.11J2e

J3                     Month End IRS Accruals.

TradeIDPostDateB/PAccountCcyCcy AmountExc RateCcyBase AmountLine
IRS100131-Mar-03B[7000] IRS ReceivableSGD13,391.100.577434USD7,732.47J3a
IRS100131-Mar-03P[7002] IRS IncomeSGD-13,391.100.571775USD-7,656.70J3b
IRS100131-Mar-03P[5003] Unrealised FX Gains and LossSGD0.000.000000USD-75.77J3c
IRS100131-Mar-03B[7001] IRS PayableUSD-7,916.671.000000USD-7,916.67J3d
IRS100131-Mar-03P[7003] IRS ExpensesUSD7,916.671.000000USD7,916.67J3e

Note J3a:          Calculation of Accrual in SGD

Start date3-Feb-03
Month End Date31-Mar-03
Days (include 31-Mar)57=A
Start date3-Feb-03
Maturity Date5-May-03
Days (exclude 5-May)91=B
Total Interest21,378.77=C
Period Interest13,391.10=C*A/B

Note J3b:           The average multiplier rate between 3-Mar and 31-Mar is 0.571775. See Exchange Rates below.

Note J3c:           The unrealised foreign exchange gain on interest income is analyzed as follows:

SGDRate+
USD
At Closing Rate13,391.100.577434
7,732.47
At Average Rate13,391.100.571775
7,656.70
Gain in exchange
75.77

+ Rates used for calculation are in full precision. Illustrated rates are rounded to 6dp.

Note J3d:           Calculation of Accrual in USD

Start date3-Feb-03
Month End Date31-Mar-03
Days (include 31-Mar)57=A
Start date3-Feb-03
Maturity Date5-May-03
Days (exclude 5-May)91=B
Total Interest12,638.89=C
Period Interest7,916.67=C*A/B

J4                     Reversal Month End IRS Accruals

TradeIDPostDateB/PAccountCcyCcy AmountExc RateCcyBase AmountLine
IRS10011-Apr-03B[7000] IRS ReceivableSGD-13,391.100.577434USD-7,732.47J4a
IRS10011-Apr-03P[7002] IRS IncomeSGD13,391.100.571775USD7,656.70J4b
IRS10011-Apr-03P[5003] Unrealised FX Gains and LossSGD0.000.000000USD75.77J4c
IRS10011-Apr-03B[7001] IRS PayableUSD7,916.671.000000USD7,916.67J4d
IRS10011-Apr-03P[7003] IRS ExpensesUSD-7,916.671.000000USD-7,916.67J4e

J5                     Month End IRS Accruals

TradeIDPostDateB/PAccountCcyCcy AmountExc RateCcyBase AmountLine
IRS100130-Apr-03B[7000] IRS ReceivableSGD20,439.040.567681USD11,602.85J5a
IRS100130-Apr-03P[7002] IRS IncomeSGD-20,439.040.572554USD-11,702.46J5b
IRS100130-Apr-03P[5003] Unrealised FX Gains and LossSGD0.000.000000USD99.61J5c
IRS100130-Apr-03B[7001] IRS PayableUSD-12,083.331.000000USD-12,083.33J5d
IRS100130-Apr-03P[7003] IRS ExpensesUSD12,083.331.000000USD12,083.33J5e

Note J5a:          Calculation of Accrual in SGD

Start date3-Feb-03
Month End Date30-Apr-03
Days (include 30-Apr)87=A
Start date3-Feb-03
Maturity Date5-May-03
Days (exclude 5-May)91=B
Total Interest21,378.77=C
Period Interest20,439.04=C*A/B

Note J5b:          The average multiplier rate between 3-Feb to 30-Apr is 0.572554. See Exchange Rates below.

Note J5c:           The unrealised foreign exchange loss on interest income is analyzed as follows:

SGDRate+
USD
At Closing Rate20,439.040.567681
11,602.85
At Average Rate20,439.040.572554
11,702.46
Loss in exchange
-99.61

+ Rates used for calculation are in full precision. Illustrated rates are rounded to 6dp.

Note J5d:           Calculation of Accrual in USD

Start date3-Feb-03
Month End Date30-Apr-03
Days (include 30-Apr)87=A
Start date3-Feb-03
Maturity Date5-May-03
Days (exclude 5-May)91=B
Total Interest12,638.89=C
Period Interest12,083.33=C*A/B

J6                      Reversal Month End IRS Accruals

TradeIDPostDateB/PAccountCcyCcy AmountExc RateCcyBase AmountLine
IRS10011-May-03B[7000] IRS ReceivableSGD-20,439.040.567681USD-11,602.85J6a
IRS10011-May-03P[7002] IRS IncomeSGD20,439.040.572554USD11,702.46J6b
IRS10011-May-03P[5003] Unrealised FX Gains and LossSGD0.000.000000USD-99.61J6c
IRS10011-May-03B[7001] IRS PayableUSD12,083.331.000000USD12,083.33J6d
IRS10011-May-03P[7003] IRS ExpensesUSD-12,083.331.000000USD-12,083.33J6e

J7                      Interest Settlement on IRS

TradeIDPostDateB/PAccountCcyCcy AmountExc RateCcyBase AmountLine
IRS10015-May-03BCashSGD21,378.770.570125USD12,188.58J7a
IRS10015-May-03P[7002] IRS IncomeSGD-21,378.770.572689USD-12,243.39J7b
IRS10015-May-03P[5008] FX Realised - IncomeSGD0.000.000000USD54.81J7c
IRS10015-May-03BCashUSD-12,638.891.000000USD-12,638.89J7d
IRS10015-May-03P[7003] IRS ExpensesUSD12,638.891.000000USD12,638.89J7e

Note J7a:           The realised foreign exchange loss on interest income is analyzed as follows:

SGDRate+
USD
At Closing Rate21,378.770.570125
12,188.58
At Average Date21,378.770.572689
12,243.39
Loss in exchange
-54.81

+ Rates used for calculation are in full precision. Illustrated rates are rounded to 6dp.

Note J7b:          The average multiplier rate between 3-Feb to 5-May is 0.572689. See Exchange Rates below.

J8                     Final Settlement on IRS

TradeIDPostDateB/PAccountCcyCcy AmountExc RateCcyBase AmountLine
IRS10013-Feb-06BCashSGD21,613.700.564898USD12,209.54J8a
IRS10013-Feb-06P[7002] IRS IncomeSGD-21,613.700.574810USD-12,423.78J8b
IRS10013-Feb-06P[5008] FX Realised - IncomeSGD0.000.000000USD214.24J8c
IRS10013-Feb-06BCashUSD-12,777.781.000000USD-12,777.78J8d
IRS10013-Feb-06P[7003] IRS ExpensesUSD12,777.781.000000USD12,777.78J8e

Note J8b:         The average multiplier rate between 3-Nov to 3-Feb is 0.574810. See Exchange Rates below.

Note J8c:        The realised foreign exchange loss on interest income is analyzed as follows:

SGDRate+
USD
At Closing Rate21,613.700.564898
12,209.54
At Average Date21,613.700.574810
12,423.78
Loss in exchange
-214.24

+ Rates used for calculation are in full precision. Illustrated rates are rounded to 6dp.

EXCHANGE RATES

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

Average rates are computed by using the multiplier rate from trade/transaction currency to the base currency each day and averaging this over the relevant period.

The following rates were used for this illustration.

Spot Rate

DateUSD/SGDSGD/USD*
3-Feb-031.7622500.567456
28-Feb-031.7577200.568919
31-Mar-031.7318000.577434
30-Apr-031.7803700.561681
5-May-031.7540000.570125
1-Jun-031.7543600.570008
3-Nov-051.7439000.586720
3-Feb-061.7702300.564898

Average

From DateTo DateSGD/USD*
3-Feb-0328-Feb-030.571584
3-Feb-0331-Mar-030.571775
3-Feb-0330-Apr-030.572554
3-Feb-035-May-030.572689
3-Nov-053-Feb-060.574810

* Rates used for calculation are in full precision. Illustrated rates are rounded to 6dp.

FREQUENTLY ASKED QUESTIONS

RELATED INFORMATION

CHANGE HISTORY

DateByChanges
23-Aug-2008CSCreation.
13-Jun-2016RJReformatted.
6-May-2020LTRe-formatting.
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