PURPOSE
To show illustration of IRS same currency – notional – hedging derivatives.
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
USD 1,000,000 |
| Float |
4.900000 |
| Act/360 |
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% |
USD (Rec) Float
12,386.11 |
12,950.31 |
12,522.22 |
SUMMARY OF JOURNALS
| ID | Date | Description | Scenario |
|---|---|---|---|
| J1 | 28-Feb-03 | Month End IRS Accruals | Net interest payable to bank, gain on MTM revaluation. |
| J2 | 1-Mar-03 | Reversal Month End IRS Accruals | |
| J3 | 31-Mar-03 | Month End IRS Accruals | Net interest payable to bank, loss on MTM revaluation. |
| J4 | 1-Apr-03 | Reversal Month End IRS Accruals. | |
| J5 | 30-Apr-03 | Month End IRS Accruals. | Net interest payable to bank, gain on MTM revaluation. |
| J6 | 1-May-03 | Reversal Month End IRS Accruals | |
| J7 | 5-May-03 | Interest Settlement on IRS | |
| J8 | 31-May-03 | Month End IRS Accruals | Net interest receivable from bank, gain on MTM revaluation. |
| J9 | 1-Jun-03 | Reversal Month End IRS Accruals | |
| J10 | 30-Jun-03 | Month End IRS Accruals | Net interest receivable from bank, loss on MTM revaluation. |
| J11 | 1-Jul-03 | Reversal Month End IRS Accruals | |
| J12 | 3-Feb-06 | Final Settlement on IRS |
J1 Month End IRS Accruals
| TradeID | PostDate | B/P | Account | Ccy | Ccy Amount | Exc Rate | Ccy | Base Amount | Line |
|---|---|---|---|---|---|---|---|---|---|
| IRS1001 | 28-Feb-03 | B | IRS - Interest Receivables | USD | 3,538.89 | 1.000000 | USD | 3,538.89 | J1a |
| IRS1001 | 28-Feb-03 | P | IRS - Interest Income | USD | -3,538.89 | 1.000000 | USD | -3,538.89 | J1b |
| IRS1001 | 28-Feb-03 | B | IRS - Interest Payables | USD | -3,611.11 | 1.000000 | USD | -3,611.11 | J1c |
| IRS1001 | 28-Feb-03 | P | IRS - Interest Expense | USD | 3,611.11 | 1.000000 | USD | 3,611.11 | J1d |
| IRS1001 | 28-Feb-03 | B | IRS - MTM Revaluation | USD | 2,023.38 | 1.000000 | USD | 2,023.38 | J1e |
| IRS1001 | 28-Feb-03 | P | IRS: MTM Gains | USD | -2,023.38 | 1.000000 | USD | -2,023.38 | J1f |
| IRS1001 | 28-Feb-03 | B | IRS - Hedging Reserve | USD | 3,538.89 | 1.000000 | USD | 3,538.89 | J1a |
| IRS1001 | 28-Feb-03 | B | IRS - DFI - Non-Current Asset | USD | -3,538.89 | 1.000000 | USD | -3,538.89 | J1b |
| IRS1001 | 28-Feb-03 | B | IRS - Hedging Reserve | USD | -3,611.11 | 1.000000 | USD | -3,611.11 | J1c |
| IRS1001 | 28-Feb-03 | B | IRS - DFI - Non-Current Asset | USD | 3,611.11 | 1.000000 | USD | 3,611.11 | J1d |
Note J1a: Calculation of Accrual in USD
| Start date | 3-Feb-03 | |
| Month End Date | 28-Feb-03 | |
| Days (include 28-Feb) | 26 | =A |
| Start date | 3-Feb-03 | |
| Maturity Date | 5-May-03 | |
| Days (exclude 5-May) | 91 | =B |
| Total Interest | 12,386.11 | =C |
| Period Interest | 3,538.89 | =C*A/B |
Note J1c: Calculation of Accrual in USD
| Start date | 3-Feb-03 | |
| Month End Date | 28-Feb-03 | |
| Days (include 28-Feb) | 26 | =A |
| Start date | 3-Feb-03 | |
| Maturity Date | 5-May-03 | |
| Days (exclude 5-May) | 91 | =B |
| Total Interest | 12,638.89 | =C |
| Period Interest | 3,611.11 | =C*A/B |
Note J1b&d: System journals to DFI – Non-Current Assets if net interest is a payable to bank and MTM is a gain.
Note J1f: The MTM value of 28-Feb-03 is maintained manually at the Interest Rate Swap screen.
J2 Reversal Month End IRS Accruals.
| TradeID | PostDate | B/P | Account | Ccy | Ccy Amount | Exc Rate | Ccy | Base Amount | Line |
|---|---|---|---|---|---|---|---|---|---|
| IRS1001 | 1-Mar-03 | B | IRS - Interest Receivables | USD | -3,538.89 | 1.000000 | USD | -3,538.89 | J2a |
| IRS1001 | 1-Mar-03 | P | IRS - Interest Income | USD | 3,538.89 | 1.000000 | USD | 3,538.89 | J2b |
| IRS1001 | 1-Mar-03 | B | IRS - Interest Payables | USD | 3,611.11 | 1.000000 | USD | 3,611.11 | J2c |
| IRS1001 | 1-Mar-03 | P | IRS - Interest Expense | USD | -3,611.11 | 1.000000 | USD | -3,611.11 | J2d |
| IRS1001 | 1-Mar-03 | B | IRS - MTM Revaluation | USD | -2,023.38 | 1.000000 | USD | -2,023.38 | J2e |
| IRS1001 | 1-Mar-03 | P | IRS: MTM Gains | USD | 2,023.38 | 1.000000 | USD | 2,023.38 | J2f |
| IRS1001 | 1-Mar-03 | B | IRS - Hedging Reserve | USD | -3,538.89 | 1.000000 | USD | -3,538.89 | J2a |
| IRS1001 | 1-Mar-03 | B | IRS - DFI - Non-Current Asset | USD | 3,538.89 | 1.000000 | USD | 3,538.89 | J2b |
| IRS1001 | 1-Mar-03 | B | IRS - Hedging Reserve | USD | 3,611.11 | 1.000000 | USD | 3,611.11 | J2c |
| IRS1001 | 1-Mar-03 | B | IRS - DFI - Non-Current Asset | USD | -3,611.11 | 1.000000 | USD | -3,611.11 | J2d |
J3 Month End IRS Accruals.
| TradeID | PostDate | B/P | Account | Ccy | Ccy Amount | Exc Rate | Ccy | Base Amount | Line |
|---|---|---|---|---|---|---|---|---|---|
| IRS1001 | 31-Mar-03 | B | IRS - Interest Receivables | USD | 7,758.33 | 1.000000 | USD | 7,758.33 | J3a |
| IRS1001 | 31-Mar-03 | P | IRS - Interest Income | USD | -7,758.33 | 1.000000 | USD | -7,758.33 | J3b |
| IRS1001 | 31-Mar-03 | B | IRS - Interest Payables | USD | -7,916.67 | 1.000000 | USD | -7,916.67 | J3c |
| IRS1001 | 31-Mar-03 | P | IRS - Interest Expense | USD | 7,916.67 | 1.000000 | USD | 7,916.67 | J3d |
| IRS1001 | 31-Mar-03 | B | IRS - MTM Revaluation | USD | -2,054.13 | 1.000000 | USD | -2,054.13 | J3e |
| IRS1001 | 31-Mar-03 | P | IRS: MTM Losses | USD | 2,054.13 | 1.000000 | USD | 2,054.13 | J3f |
| IRS1001 | 31-Mar-03 | B | IRS - Hedging Reserve | USD | 7,758.33 | 1.000000 | USD | 7,758.33 | J3a |
| IRS1001 | 31-Mar-03 | B | IRS - DFI - Non-Current Liability | USD | -7,758.33 | 1.000000 | USD | -7,758.33 | J3b |
| IRS1001 | 31-Mar-03 | B | IRS - Hedging Reserve | USD | -7,916.67 | 1.000000 | USD | -7,916.67 | J3c |
| IRS1001 | 31-Mar-03 | B | IRS - DFI - Non-Current Liability | USD | 7,916.67 | 1.000000 | USD | 7,916.67 | J3d |
Note J3a: Calculation of Accrual in USD
| Start date | 3-Feb-03 | |
| Month End Date | 31-Mar-03 | |
| Days (include 31-Mar) | 57 | =A |
| Start date | 3-Feb-03 | |
| Maturity Date | 5-May-03 | |
| Days (exclude 5-May) | 91 | =B |
| Total Interest | 12,386.11 | =C |
| Period Interest | 7,758.33 | =C*A/B |
Note J3c: Calculation of Accrual in USD
| Start date | 3-Feb-03 | |
| Month End Date | 31-Mar-03 | |
| Days (include 31-Mar) | 57 | =A |
| Start date | 3-Feb-03 | |
| Maturity Date | 5-May-03 | |
| Days (exclude 5-May) | 91 | =B |
| Total Interest | 12,638.89 | =C |
| Period Interest | 7,916.67 | =C*A/B |
Note J3b&d: System journals to DFI – Non-Current Liability if net interest is a payable to bank and MTM is a loss.
Note J3f: The MTM value as of 31-Mar-03 is maintained manually at the Interest Rate Swap screen.
J4 Reversal Month End IRS Accruals
| TradeID | PostDate | B/P | Account | Ccy | Ccy Amount | Exc Rate | Ccy | Base Amount | Line |
|---|---|---|---|---|---|---|---|---|---|
| IRS1001 | 1-Apr-03 | B | IRS - Interest Receivables | USD | -7,758.33 | 1.000000 | USD | -7,758.33 | J4a |
| IRS1001 | 1-Apr-03 | P | IRS - Interest Income | USD | 7,758.33 | 1.000000 | USD | 7,758.33 | J4b |
| IRS1001 | 1-Apr-03 | B | IRS - Interest Payables | USD | 7,916.67 | 1.000000 | USD | 7,916.67 | J4c |
| IRS1001 | 1-Apr-03 | P | IRS - Interest Expense | USD | -7,916.67 | 1.000000 | USD | -7,916.67 | J4d |
| IRS1001 | 1-Apr-03 | B | IRS - MTM Revaluation | USD | 2,054.13 | 1.000000 | USD | 2,054.13 | J4e |
| IRS1001 | 1-Apr-03 | P | IRS: MTM Losses | USD | -2,054.13 | 1.000000 | USD | -2,054.13 | J4f |
| IRS1001 | 1-Apr-03 | B | IRS - Hedging Reserve | USD | -7,758.33 | 1.000000 | USD | -7,758.33 | J4a |
| IRS1001 | 1-Apr-03 | B | IRS - DFI - Non-Current Liability | USD | 7,758.33 | 1.000000 | USD | 7,758.33 | J4b |
| IRS1001 | 1-Apr-03 | B | IRS - Hedging Reserve | USD | 7,916.67 | 1.000000 | USD | 7,916.67 | J4c |
| IRS1001 | 1-Apr-03 | B | IRS - DFI - Non-Current Liability | USD | -7,916.67 | 1.000000 | USD | -7,916.67 | J4d |
J5 Month End IRS Accruals
| TradeID | PostDate | B/P | Account | Ccy | Ccy Amount | Exc Rate | Ccy | Base Amount | Line |
|---|---|---|---|---|---|---|---|---|---|
| IRS1001 | 30-Apr-03 | B | IRS - Interest Receivables | USD | 11,841.67 | 1.000000 | USD | 11,841.67 | J5a |
| IRS1001 | 30-Apr-03 | P | IRS - Interest Income | USD | -11,841.67 | 1.000000 | USD | -11,841.67 | J5b |
| IRS1001 | 30-Apr-03 | B | IRS - Interest Payables | USD | -12,083.33 | 1.000000 | USD | -12,083.33 | J5c |
| IRS1001 | 30-Apr-03 | P | IRS - Interest Expense | USD | 12,083.33 | 1.000000 | USD | 12,083.33 | J5d |
| IRS1001 | 30-Apr-03 | B | IRS - MTM Revaluation | USD | 2,061.20 | 1.000000 | USD | 2,061.20 | J5e |
| IRS1001 | 30-Apr-03 | P | IRS: MTM Gains | USD | -2,061.20 | 1.000000 | USD | -2,061.20 | J5f |
| IRS1001 | 30-Apr-03 | B | IRS - Hedging Reserve | USD | 11,841.67 | 1.000000 | USD | 11,841.67 | J5a |
| IRS1001 | 30-Apr-03 | B | IRS - DFI - Non-Current Asset | USD | -11,841.67 | 1.000000 | USD | -11,841.67 | J5b |
| IRS1001 | 30-Apr-03 | B | IRS - Hedging Reserve | USD | -12,083.33 | 1.000000 | USD | -12,083.33 | J5c |
| IRS1001 | 30-Apr-03 | B | IRS - DFI - Non-Current Asset | USD | 12,083.33 | 1.000000 | USD | 12,083.33 | J5d |
Note J5a: Calculation of Accrual in USD
| Start date | 3-Feb-03 | |
| Month End Date | 30-Apr-03 | |
| Days (include 30-Apr) | 87 | =A |
| Start date | 3-Feb-03 | |
| Maturity Date | 5-May-03 | |
| Days (exclude 5-May) | 91 | =B |
| Total Interest | 12,386.11 | =C |
| Period Interest | 11,841.67 | =C*A/B |
Note J5c: Calculation of Accrual in USD
| Start date | 3-Feb-03 | |
| Month End Date | 30-Apr-03 | |
| Days (include 30-Apr) | 87 | =A |
| Start date | 3-Feb-03 | |
| Maturity Date | 5-May-03 | |
| Days (exclude 5-May) | 91 | =B |
| Total Interest | 12,638.89 | =C |
| Period Interest | 12,083.33 | =C*A/B |
Note J5b&d: System journals to DFI – Non-Current Assets if net interest is a payable to bank and MTM is a gain.
Note J5f: The MTM value as of 30-Apr-03 is maintained manually at the Interest Rate Swap screen.
J6 Reversal Month End IRS Accruals
| TradeID | PostDate | B/P | Account | Ccy | Ccy Amount | Exc Rate | Ccy | Base Amount | Line |
|---|---|---|---|---|---|---|---|---|---|
| IRS1001 | 1-May-03 | B | IRS - Interest Receivables | USD | -11,841.67 | 1.000000 | USD | -11,841.67 | J5a |
| IRS1001 | 1-May-03 | P | IRS - Interest Income | USD | 11,841.67 | 1.000000 | USD | 11,841.67 | J5b |
| IRS1001 | 1-May-03 | B | IRS - Interest Payables | USD | 12,083.33 | 1.000000 | USD | 12,083.33 | J5c |
| IRS1001 | 1-May-03 | P | IRS - Interest Expense | USD | -12,083.33 | 1.000000 | USD | -12,083.33 | J5d |
| IRS1001 | 1-May-03 | B | IRS - MTM Revaluation | USD | -2,061.20 | 1.000000 | USD | -2,061.20 | J5e |
| IRS1001 | 1-May-03 | P | IRS: MTM Gains | USD | 2,061.20 | 1.000000 | USD | 2,061.20 | J5f |
| IRS1001 | 1-May-03 | B | IRS - Hedging Reserve | USD | -11,841.67 | 1.000000 | USD | -11,841.67 | J5a |
| IRS1001 | 1-May-03 | B | IRS - DFI - Non-Current Asset | USD | 11,841.67 | 1.000000 | USD | 11,841.67 | J5b |
| IRS1001 | 1-May-03 | B | IRS - Hedging Reserve | USD | 12,083.33 | 1.000000 | USD | 12,083.33 | J5c |
| IRS1001 | 1-May-03 | B | IRS - DFI - Non-Current Asset | USD | -12,083.33 | 1.000000 | USD | -12,083.33 | J5d |
J7 Interest Settlement on IRS
| TradeID | PostDate | B/P | Account | Ccy | Ccy Amount | Exc Rate | Ccy | Base Amount | Line |
|---|---|---|---|---|---|---|---|---|---|
| IRS1001 | 5-May-03 | P | IRS - Interest Income | USD | -12,386.11 | 1.000000 | USD | -12,386.11 | J7a |
| IRS1001 | 5-May-03 | B | Cash at Bank | USD | -252.78 | 1.000000 | USD | -252.78 | J7b |
| IRS1001 | 5-May-03 | P | IRS - Interest Expense | USD | 12,638.89 | 1.000000 | USD | 12,638.89 | J7c |
Note J7b: Net Interest Calculation in USD
| Pay Amount | -12,638.89 |
| Receive Amount | 12,386.11 |
| Net | -252.78 |
J8 Month End IRS Accruals
| TradeID | PostDate | B/P | Account | Ccy | Ccy Amount | Exc Rate | Ccy | Base Amount | Line |
|---|---|---|---|---|---|---|---|---|---|
| IRS1001 | 31-May-03 | B | IRS - Interest Receivables | USD | 3,842.40 | 1.000000 | USD | 3,842.40 | J8a |
| IRS1001 | 31-May-03 | P | IRS - Interest Income | USD | -3,842.40 | 1.000000 | USD | -3,842.40 | J8b |
| IRS1001 | 31-May-03 | B | IRS - Interest Payables | USD | -3,750.00 | 1.000000 | USD | -3,750.00 | J8c |
| IRS1001 | 31-May-03 | P | IRS - Interest Expense | USD | 3,750.00 | 1.000000 | USD | 3,750.00 | J8d |
| IRS1001 | 31-May-03 | B | IRS - MTM Revaluation | USD | 2,054.22 | 1.000000 | USD | 2,054.22 | J8e |
| IRS1001 | 31-May-03 | P | IRS: MTM Gains | USD | -2,054.22 | 1.000000 | USD | -2,054.22 | J8f |
| IRS1001 | 31-May-03 | B | IRS - Hedging Reserve | USD | 3,842.40 | 1.000000 | USD | 3,842.40 | J8a |
| IRS1001 | 31-May-03 | B | IRS - DFI - Non-Current Asset | USD | -3,842.40 | 1.000000 | USD | -3,842.40 | J8b |
| IRS1001 | 31-May-03 | B | IRS - Hedging Reserve | USD | -3,750.00 | 1.000000 | USD | -3,750.00 | J8c |
| IRS1001 | 31-May-03 | B | IRS - DFI - Non-Current Asset | USD | 3,750.00 | 1.000000 | USD | 3,750.00 | J8d |
Note J8a: Calculation of Accrual in USD
| Start date | 5-May-03 | |
| Month End Date | 31-May-03 | |
| Days (include 31-May) | 27 | =A |
| Start date | 5-May-03 | |
| Maturity Date | 4-Aug-03 | |
| Days (exclude 4-Aug) | 91 | =B |
| Total Interest | 12,950.31 | =C |
| Period Interest | 3,842.40 | =C*A/B |
Note J8c: Calculation of Accrual in USD
| Start date | 5-May-03 | |
| Month End Date | 31-May-03 | |
| Days (include 31-May) | 27 | =A |
| Start date | 5-May-03 | |
| Maturity Date | 4-Aug-03 | |
| Days (exclude 4-Aug) | 91 | =B |
| Total Interest | 12,638.89 | =C |
| Period Interest | 3,750.00 | =C*A/B |
Note J8b&d: System journals to DFI – Non-Current Assets if net interest is a receivable from bank and MTM is a gain.
Note J8f: The MTM value of 31-May-03 is maintained manually at the Interest Rate Swap screen.
J9 Reversal Month End IRS Accruals
| TradeID | PostDate | B/P | Account | Ccy | Ccy Amount | Exc Rate | Ccy | Base Amount | Line |
|---|---|---|---|---|---|---|---|---|---|
| IRS1001 | 1-Jun-03 | B | IRS - Interest Receivables | USD | -3,842.40 | 1.000000 | USD | -3,842.40 | J9a |
| IRS1001 | 1-Jun-03 | P | IRS - Interest Income | USD | 3,842.40 | 1.000000 | USD | 3,842.40 | J9b |
| IRS1001 | 1-Jun-03 | B | IRS - Interest Payables | USD | 3,750.00 | 1.000000 | USD | 3,750.00 | J9c |
| IRS1001 | 1-Jun-03 | P | IRS - Interest Expense | USD | -3,750.00 | 1.000000 | USD | -3,750.00 | J9d |
| IRS1001 | 1-Jun-03 | B | IRS - MTM Revaluation | USD | -2,054.22 | 1.000000 | USD | -2,054.22 | J9e |
| IRS1001 | 1-Jun-03 | P | IRS: MTM Gains | USD | 2,054.22 | 1.000000 | USD | 2,054.22 | J9f |
| IRS1001 | 1-Jun-03 | B | IRS - Hedging Reserve | USD | -3,842.40 | 1.000000 | USD | -3,842.40 | J9a |
| IRS1001 | 1-Jun-03 | B | IRS - DFI - Non-Current Asset | USD | 3,842.40 | 1.000000 | USD | 3,842.40 | J9b |
| IRS1001 | 1-Jun-03 | B | IRS - Hedging Reserve | USD | 3,750.00 | 1.000000 | USD | 3,750.00 | J9c |
| IRS1001 | 1-Jun-03 | B | IRS - DFI - Non-Current Asset | USD | -3,750.00 | 1.000000 | USD | -3,750.00 | J9d |
J10 Month End IRS Accruals
| TradeID | PostDate | B/P | Account | Ccy | Ccy Amount | Exc Rate | Ccy | Base Amount | Line |
|---|---|---|---|---|---|---|---|---|---|
| IRS1001 | 30-Jun-03 | B | IRS - Interest Receivables | USD | 8,111.73 | 1.000000 | USD | 8,111.73 | J10a |
| IRS1001 | 30-Jun-03 | P | IRS - Interest Income | USD | -8,111.73 | 1.000000 | USD | -8,111.73 | J10b |
| IRS1001 | 30-Jun-03 | B | IRS - Interest Payables | USD | -7,916.67 | 1.000000 | USD | -7,916.67 | J10c |
| IRS1001 | 30-Jun-03 | P | IRS - Interest Expense | USD | 7,916.67 | 1.000000 | USD | 7,916.67 | J10d |
| IRS1001 | 30-Jun-03 | B | IRS - MTM Revaluation | USD | -2,043.89 | 1.000000 | USD | -2,043.89 | J10e |
| IRS1001 | 30-Jun-03 | P | IRS: MTM Losses | USD | 2,043.89 | 1.000000 | USD | 2,043.89 | J10f |
| IRS1001 | 30-Jun-03 | B | IRS - Hedging Reserve | USD | 8,111.73 | 1.000000 | USD | 8,111.73 | J10a |
| IRS1001 | 30-Jun-03 | B | IRS - DFI - Non-Current Liability | USD | -8,111.73 | 1.000000 | USD | -8,111.73 | J10b |
| IRS1001 | 30-Jun-03 | B | IRS - Hedging Reserve | USD | -7,916.67 | 1.000000 | USD | -7,916.67 | J10c |
| IRS1001 | 30-Jun-03 | B | IRS - DFI - Non-Current Liability | USD | 7,916.67 | 1.000000 | USD | 7,916.67 | J10d |
Note J10a: Calculation of Accrual in USD
| Start date | 5-May-03 | |
| Month End Date | 30-Jun-03 | |
| Days (include 30-Jun) | 57 | =A |
| Start date | 5-May-03 | |
| Maturity Date | 4-Aug-03 | |
| Days (exclude 4-Aug) | 91 | =B |
| Total Interest | 12,950.31 | =C |
| Period Interest | 8,111.73 | =C*A/B |
Note J10c: Calculation of Accrual in USD
| Start date | 5-May-03 | |
| Month End Date | 30-Jun-03 | |
| Days (include 30-Jun) | 57 | =A |
| Start date | 5-May-03 | |
| Maturity Date | 4-Aug-03 | |
| Days (exclude 4-Aug) | 91 | =B |
| Total Interest | 12,638.89 | =C |
| Period Interest | 7,916.67 | =C*A/B |
Note J10b&d: System journals to DFI – Non-Current Liability if net interest is a receivable from bank and MTM is a loss.
Note J10f: The MTM value of 30-Jun-03 is maintained manually at the Interest Rate Swap screen.
J11 Reversal Month End IRS Accruals
| TradeID | PostDate | B/P | Account | Ccy | Ccy Amount | Exc Rate | Ccy | Base Amount | Line |
|---|---|---|---|---|---|---|---|---|---|
| IRS1001 | 1-Jul-03 | B | IRS - Interest Receivables | USD | -8,111.73 | 1.000000 | USD | -8,111.73 | J11a |
| IRS1001 | 1-Jul-03 | P | IRS - Interest Income | USD | 8,111.73 | 1.000000 | USD | 8,111.73 | J11b |
| IRS1001 | 1-Jul-03 | B | IRS - Interest Payables | USD | 7,916.67 | 1.000000 | USD | 7,916.67 | J11c |
| IRS1001 | 1-Jul-03 | P | IRS - Interest Expense | USD | -7,916.67 | 1.000000 | USD | -7,916.67 | J11d |
| IRS1001 | 1-Jul-03 | B | IRS - MTM Revaluation | USD | 2,043.89 | 1.000000 | USD | 2,043.89 | J11e |
| IRS1001 | 1-Jul-03 | P | IRS: MTM Losses | USD | -2,043.89 | 1.000000 | USD | -2,043.89 | J11f |
| IRS1001 | 1-Jul-03 | B | IRS - Hedging Reserve | USD | -8,111.73 | 1.000000 | USD | -8,111.73 | J11a |
| IRS1001 | 1-Jul-03 | B | IRS - DFI - Non-Current Liability | USD | 8,111.73 | 1.000000 | USD | 8,111.73 | J11b |
| IRS1001 | 1-Jul-03 | B | IRS - Hedging Reserve | USD | 7,916.67 | 1.000000 | USD | 7,916.67 | J11c |
| IRS1001 | 1-Jul-03 | B | IRS - DFI - Non-Current Liability | USD | -7,916.67 | 1.000000 | USD | -7,916.67 | J11d |
J12 Final Settlement on IRS
| TradeID | PostDate | B/P | Account | Ccy | Ccy Amount | Exc Rate | Ccy | Base Amount | Line |
|---|---|---|---|---|---|---|---|---|---|
| IRS1001 | 3-Feb-06 | P | IRS - Interest Income | USD | -12,522.22 | 1.000000 | USD | -12,522.22 | J12a |
| IRS1001 | 3-Feb-06 | B | Cash at Bank | USD | -255.56 | 1.000000 | USD | -255.56 | J12b |
| IRS1001 | 3-Feb-06 | P | IRS - Interest Expense | USD | 12,777.78 | 1.000000 | USD | 12,777.78 | J12c |
Note J12b: Net Interest Calculation in USD
| Pay Amount | -12,777.78 |
| Receive Amount | 12,522.22 |
| Net | -255.56 |
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.
| Date | USD |
| 1-Feb-03 | 1.000000 |
FREQUENTLY ASKED QUESTIONS
RELATED INFORMATION
CHANGE HISTORY
| Date | By | Changes |
|---|---|---|
| 10-Oct-2016 | TS | Creation. |
| 14-Dec-2016 | TS | Updated. Changed DFI - Non-Current Asset/ Liability to BS. |
| 6-May-2020 | LT | Re-formatting. |
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