Accounting for Investments, Volume 2: Fixed Income Securities and Interest Rate Derivatives—A Practitioner's Guide

SOLUTION TO PROBLEM 2: INTEREST RATE CAP—PAY

T-1 On entering into interest rate cap trade (off balance sheet entry):

T-2 On accounting for premium received on interest rate cap trade:

T-3 On accounting for premium received:

T-4 On accounting for interest expense on interest rate cap:

T-5 On accounting for interest accrued on valuation date on interest rate cap:

T-6 On valuation of interest rate cap as on date:

T-7 On reversal of interest accrued on valuation date:

T-8 On accounting for interest expense on interest rate cap:

T-9 On reversal of existing net present value of interest rate ...