Designation Change - What type of amortization is expected (assuming no missed forecast)
IR Swap: MTM--> Cashflow
Inception Off Market
On which date does inception off market element amortization begin?
later of designation date or effective date
Which type of amortization does not stop automatically when a transaction is terminated/de designated?
Frozen OCI
How is FSCSS amortization calculated?
Straightline
IR Cap: Cashflow --> MTM
Frozen OCI
On which date does inception excluded component amortization begin?
Designation Date
What does the interest expense recognition of a cap excluding time value (100% of premium = time value) look like?
straightline from designation date to maturity
When does frozen OCI amortization begin for FSCSS?
Debt issuance date (effective date of HYPOFinal)
IR cap: cashflow --> cashflow
Frozen OCI & Inception Excluded Component
On which date does frozen OCI amortization begin?
later of de-designation date or effective date
Why is P&L Methods not compatable with IFRS excluded component amortization?
IFRS amortizes from IS account to IS account, P&L Methods requires OCI
When would there be frozen OCI amortization after the trade maturity date?
FSCSS amortizing based on hypo
IR Swap: cashflow--> cashflow
Frozen OCI & Inception Off Market Element
On which date does G20 amortization begin?
later of designation date or effective date
Why can't you calculate excluded component amortization using notional weighted straightline?
if the trade is forward starting, there is no notional for the period between designation date and effective date
When do I need to select the frozen OCI schedule template (system set up) when a trade is terminated?
Before running the termination entries
Worthless IR Cap: MTM --> Cashflow
None
On which date does inception excluded component amortization end?
Termination/de designation Date (if applicable) or maturity date
How is G20 amortization calculated?
the inception value/premium is allocated based on inception caplet values (backweighted)
Why do we use scheduled JEs for DPCs?
Interest Expense is both debited and credited