US GAAP Disclosure List 2017

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Interest Rate Contract


ItemTypePeriodBalanceDescription
Interest Rate Floor durationContracts in which the floor writer, in return for a premium, agrees to limit the risk associated with a decline in interest rates based on a notional amount. If rates fall below an agreed rate, the floor holder will receive cash payments from the floor writer equal to the difference between the market rate and an agreed rate multiplied by the notional principal amount.
Interest Rate Cap durationContract in which the cap writer, in return for a premium, agrees to limit, or cap, the cap holder's risk associated with an increase in interest rates. If rates go above a specified interest-rate-level (the strike price or the cap rate), the cap holder is entitled to receive cash payments equal to the excess of the market rate over the strike price multiplied by the notional principal amount.
Interest Rate Swap durationForward based contracts in which two parties agree to swap periodic payments that are fixed at the outset of the swap contract with variable payments based on a market interest rate (index rate) over a specified period.
Interest Rate Swaption durationAn option granting the owner the right but not the obligation to enter into an interest rate swap.

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