Filetype Excel XLS | Posted on 09 Aug 2022 | 3 years ago
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204x Filetype XLS File size 0.25 MB Source: www.theice.com
Sheet 1: Introduction
| Date | Version Number | Version Comments | |||||||||||
| Jun-14 | 1 | Implementation of Excel Spreadsheet to calculate the List of Notional Cashflows for all Swapnote® contracts. | |||||||||||
| Select the required delivery month in the orange cell C4 on the required currency tab | |||||||||||||
| June-14 | ||||||||||||
| September-14 | Euro Swapnote® Contracts: List of Notional Cashflows | |||||||||||
| #VALUE! | ||||||||||||
| #VALUE! | Delivery Month: | Sep-14 | <--- Please Select the Delivery Month |
|||||||||
| #VALUE! | Last Trading Day: | #VALUE! | ||||||||||
| #VALUE! | Effective (Delivery) Date: | #VALUE! | ||||||||||
| #VALUE! | Notes: | |||||||||||
| #VALUE! | All notional cashflow dates are adjusted for days which are not TARGET business days. | |||||||||||
| #VALUE! | The day-count fraction represents the number of years from the previous notional cashflow date (or delivery day where appropriate) to the specified notional cashflow date, calculated on a 30/360 day count basis. The fraction is rounded to eight decimal places prior to being used in calculations and ensures that if a notional cashflow is deferred in order to accommodate a non-TARGET business day, the appropriate notional coupons are increased/decreased by the appropriate daily coupon accrual. | |||||||||||
| #VALUE! | The day-count fraction is rounded to eight decimal places and is then multiplied by the notional coupon to give the notional cashflow. This is not rounded when establishing the Exchange Delivery Settlement Price (“EDSP”). For convenience, each notional cashflow quoted above is rounded to eight decimal places, albeit that this rounded number would not be used to calculate the EDSP. | |||||||||||
| #VALUE! | ||||||||||||
| #VALUE! | 0.06 | 2 | 0.06 | 5 | 0.06 | 10 | 0.06 | 30 | ||||
| #VALUE! | 6.00% Two Year Euro Swapnote® | 6.00% Five Year Euro Swapnote® | 6.00% Ten Year Euro Swapnote® | 6.00% Thirty Year Euro Swapnote® | ||||||||
| #VALUE! | Sep-14 | Sep-14 | Sep-14 | Sep-14 | ||||||||
| 12 | Cash flow Payment Date | Relevant Day Count Fraction | Notional Cashflow | Cash flow Payment Date | Relevant Day Count Fraction | Notional Cashflow | Cash flow Payment Date | Relevant Day Count Fraction | Notional Cashflow | Cash flow Payment Date | Relevant Day Count Fraction | Notional Cashflow |
| 1 | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! |
| 2 | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! |
| 3 | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | |||
| 4 | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | |||
| 5 | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | |||
| 6 | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | ||||||
| 7 | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | ||||||
| 8 | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | ||||||
| 9 | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | ||||||
| 10 | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | ||||||
| 11 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 12 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 13 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 14 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 15 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 16 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 17 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 18 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 19 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 20 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 21 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 22 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 23 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 24 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 25 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 26 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 27 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 28 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 29 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 30 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| June-14 | ||||||||||||
| September-14 | U.S. Dollar Swapnote® Contracts: List of Notional Cashflows | |||||||||||
| #VALUE! | ||||||||||||
| #VALUE! | Delivery Month: | Jun-14 | <--- Please Select the Delivery Month |
|||||||||
| #VALUE! | Last Trading Day: | #VALUE! | ||||||||||
| #VALUE! | Effective (Delivery) Date: | #VALUE! | ||||||||||
| #VALUE! | Notes: | |||||||||||
| #VALUE! | All notional cashflow dates are adjusted for days which are not business days in both London and New York | |||||||||||
| #VALUE! | The day-count fraction represents the number of years from the previous notional cashflow date (or delivery day where appropriate) to the specified notional cashflow date, calculated on a 30/360 day count basis. The fraction is rounded to eight decimal places prior to being used in calculations and ensures that if a notional cashflow is deferred in order to accommodate a non-London or non-New York business day, the appropriate notional coupons are increased/decreased by the appropriate daily coupon accrual. | |||||||||||
| #VALUE! | The day-count fraction is rounded to eight decimal places and is then multiplied by the notional coupon to give the notional cashflow. This is not rounded when establishing the Exchange Delivery Settlement Price (“EDSP”). For convenience, each notional cashflow quoted above is rounded to eight decimal places, albeit that this rounded number would not be used to calculate the EDSP. | |||||||||||
| #VALUE! | ||||||||||||
| #VALUE! | 0.06 | 2 | 0.06 | 5 | 0.06 | 10 | 0.06 | 30 | ||||
| #VALUE! | 6.00% Two Year U.S. Dollar Swapnote® | 6.00% Five Year U.S. Dollar Swapnote® | 6.00% Ten Year U.S. Dollar Swapnote® | 6.00% Thirty Year U.S. Dollar Swapnote® | ||||||||
| #VALUE! | Jun-14 | Jun-14 | Jun-14 | Jun-14 | ||||||||
| 6 | Cash flow Payment Date | Relevant Day Count Fraction | Notional Cashflow | Cash flow Payment Date | Relevant Day Count Fraction | Notional Cashflow | Cash flow Payment Date | Relevant Day Count Fraction | Notional Cashflow | Cash flow Payment Date | Relevant Day Count Fraction | Notional Cashflow |
| 0.5 | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! |
| 1 | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! |
| 1.5 | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! |
| 2 | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! |
| 2.5 | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | |||
| 3 | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | |||
| 3.5 | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | |||
| 4 | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | |||
| 4.5 | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | |||
| 5 | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | |||
| 5.5 | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | ||||||
| 6 | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | ||||||
| 6.5 | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | ||||||
| 7 | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | ||||||
| 7.5 | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | ||||||
| 8 | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | ||||||
| 8.5 | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | ||||||
| 9 | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | ||||||
| 9.5 | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | ||||||
| 10 | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | #VALUE! | ||||||
| 10.5 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 11 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 11.5 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 12 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 12.5 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 13 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 13.5 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 14 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 14.5 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 15 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 15.5 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 16 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 16.5 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 17 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 17.5 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 18 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 18.5 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 19 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 19.5 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 20 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 20.5 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 21 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 21.5 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 22 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 22.5 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 23 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 23.5 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 24 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 24.5 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 25 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 25.5 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 26 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 26.5 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 27 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 27.5 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 28 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 28.5 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 29 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 29.5 | #VALUE! | #VALUE! | #VALUE! | |||||||||
| 30 | #VALUE! | #VALUE! | #VALUE! | |||||||||
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