IRS Same Ccy – Notional

PURPOSE

To show illustration of IRS same 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

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

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-03BIRS - Interest ReceivablesUSD3,538.891.000000USD3,538.89J1a
IRS100128-Feb-03PIRS - Interest IncomeUSD-3,538.891.000000USD-3,538.89J1b
IRS100128-Feb-03BIRS - Interest PayablesUSD-3,611.111.000000USD-3,611.11J1c
IRS100128-Feb-03PIRS - Interest ExpenseUSD3,611.111.000000USD3,611.11J1d
IRS100128-Feb-03BIRS - MTM RevaluationUSD2,023.381.000000USD2,023.38J1e
IRS100128-Feb-03PIRS: MTM GainsUSD-2,023.381.000000USD-2,023.38J1f

Note J1a:          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 Interest12,386.11=C
Period Interest3,538.89=C*A/B

Note J1c:           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

Note J1f:           The MTM value of 28-Feb-03 is maintained manually at the Interest Rate Swap screen.

J2                     Reversal Month End IRS Accruals.

TradeIDPostDateB/PAccountCcyCcy AmountExc RateCcyBase AmountLine
IRS10011-Mar-03BIRS - Interest ReceivablesUSD-3,538.891.000000USD-3,538.89J2a
IRS10011-Mar-03PIRS - Interest IncomeUSD3,538.891.000000USD3,538.89J2b
IRS10011-Mar-03BIRS - Interest PayablesUSD3,611.111.000000USD3,611.11J2c
IRS10011-Mar-03PIRS - Interest ExpenseUSD-3,611.111.000000USD-3,611.11J2d
IRS10011-Mar-03BIRS - MTM RevaluationUSD-2,023.381.000000USD-2,023.38J2e
IRS10011-Mar-03PIRS: MTM GainsUSD2,023.381.000000USD2,023.38J2f

J3                     Month End IRS Accruals.

TradeIDPostDateB/PAccountCcyCcy AmountExc RateCcyBase AmountLine
IRS100131-Mar-03BIRS - Interest ReceivablesUSD7,758.331.000000USD7,758.33J3a
IRS100131-Mar-03PIRS - Interest IncomeUSD-7,758.331.000000USD-7,758.33J3b
IRS100131-Mar-03BIRS - Interest PayablesUSD-7,916.671.000000USD-7,916.67J3c
IRS100131-Mar-03PIRS - Interest ExpenseUSD7,916.671.000000USD7,916.67J3d
IRS100131-Mar-03BIRS - MTM RevaluationUSD2,054.131.000000USD2,054.13J3e
IRS100131-Mar-03PIRS: MTM GainsUSD-2,054.131.000000USD-2,054.13J3f

Note J3a:          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 Interest12,386.11=C
Period Interest7,758.33=C*A/B

Note J3c:           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

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

TradeIDPostDateB/PAccountCcyCcy AmountExc RateCcyBase AmountLine
IRS10011-Apr-03BIRS - Interest ReceivablesUSD-7,758.331.000000USD-7,758.33J4a
IRS10011-Apr-03PIRS - Interest IncomeUSD7,758.331.000000USD7,758.33J4b
IRS10011-Apr-03BIRS - Interest PayablesUSD7,916.671.000000USD7,916.67J4c
IRS10011-Apr-03PIRS - Interest ExpenseUSD-7,916.671.000000USD-7,916.67J4d
IRS10011-Apr-03BIRS - MTM RevaluationUSD-2,054.131.000000USD-2,054.13J4e
IRS10011-Apr-03PIRS: MTM GainsUSD2,054.131.000000USD2,054.13J4f

J5                     Month End IRS Accruals

TradeIDPostDateB/PAccountCcyCcy AmountExc RateCcyBase AmountLine
IRS100130-Apr-03BIRS - Interest ReceivablesUSD11,841.671.000000USD11,841.67J5a
IRS100130-Apr-03PIRS - Interest IncomeUSD-11,841.671.000000USD-11,841.67J5b
IRS100130-Apr-03BIRS - Interest PayablesUSD-12,083.331.000000USD-12,083.33J5c
IRS100130-Apr-03PIRS - Interest ExpenseUSD12,083.331.000000USD12,083.33J5d
IRS100130-Apr-03BIRS - MTM RevaluationUSD2,061.201.000000USD2,061.20J5e
IRS100130-Apr-03PIRS: MTM GainsUSD-2,061.201.000000USD-2,061.20J5f

Note J5a:          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 Interest12,386.11=C
Period Interest11,841.67=C*A/B

Note J5c:           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

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

TradeIDPostDateB/PAccountCcyCcy AmountExc RateCcyBase AmountLine
IRS10011-May-03BIRS - Interest ReceivablesUSD-11,841.671.000000USD-11,841.67J6a
IRS10011-May-03PIRS - Interest IncomeUSD11,841.671.000000USD11,841.67J6b
IRS10011-May-03BIRS - Interest PayablesUSD12,083.331.000000USD12,083.33J6c
IRS10011-May-03PIRS - Interest ExpenseUSD-12,083.331.000000USD-12,083.33J6d
IRS10011-May-03BIRS - MTM RevaluationUSD-2,061.201.000000USD-2,061.20J6e
IRS10011-May-03PIRS: MTM GainsUSD2,061.201.000000USD2,061.20J6f

J7                      Interest Settlement on IRS

TradeIDPostDateB/PAccountCcyCcy AmountExc RateCcyBase AmountLine
IRS10015-May-03PIRS - Interest IncomeUSD-12,386.111.000000USD-12,386.11J7a
IRS10015-May-03BCash at BankUSD-252.781.000000USD-252.78J7b
IRS10015-May-03PIRS - Interest ExpenseUSD12,638.891.000000USD12,638.89J7c

Note J7b:           Net Interest Calculation in USD

Pay Amount-12,638.89
Receive Amount12,386.11
Net-252.78

J8                     Final Settlement on IRS

TradeIDPostDateB/PAccountCcyCcy AmountExc RateCcyBase AmountLine
IRS10013-Feb-06PIRS - Interest IncomeUSD-12,522.221.000000USD-12,522.22J8a
IRS10013-Feb-06BCash at BankUSD-255.561.000000USD-255.56J8b
IRS10013-Feb-06PIRS - Interest ExpenseUSD12,777.781.000000USD12,777.78J8c

Note J8b:        Net Interest Calculation in USD

Pay Amount-12,777.78
Receive Amount12,522.22
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.

DateUSD
1-Feb-031.000000

FREQUENTLY ASKED QUESTIONS

RELATED INFORMATION

Updating IRS MTM

CHANGE HISTORY

DateByChanges
23-Aug-2008CSCreation.
13-Jun-2016RJReformatted.
10-Oct-2016TSUpdated with MTM journal entries.
6-May-2020LTRe-formatting.
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