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1、 1 2013 Product Descriptions Interest Rates Swaps Interest Rates Swaps Product Descriptions 2 2013 Product Descriptions Interest Rates Swaps Products Fixed for Floating IRS o Colombian IRS o Colombian UVR (Inflation) IRS o Colombian Cross Currency IRS o Peruvian Cross Currency IRS o Peruvian IRS o P
2、eruvian VAC (Inflation) IRS o Argentine Cross Currency IRS o Argentine CER (Inflation) IRS o Mexican IRS o General Collateral Index Swaps (GCIS) Basis Swaps o Colombian Cross-Currency Basis Swaps o Cross Currency Mexican Basis o US Floating Libor Rate vs Camara Floating Rate Basis Swap o Muni Basis
3、Swaps Forward Rate Agreements (FRA) Overnight Index Swaps (OIS) o CLP Fixed vs Camara Floating Rate OIS o CLF Fixed vs Camara Floating Rate XCCY OIS Non Deliverables Swaps o Non Deliverable Swap (NDS) o Non Deliverable IRS (ND IRS) o Non Deliverable OIS (ND OIS) o Cross Currency Swap (CCS) Interest
4、Rate Options o Swap Options o Inflation Swaps o Inflation Rate Options o Exotic Options and Swaps o Interest Rate Options on the Mexican Peso o TIPS Asset Swaps Product Specifications Fixed for Floating IRS A Fixed for Floating IRS is an Interest Rate Swap for which settlement is in the form of peri
5、odic fixed interest payments and a stream of periodic floating interest payments based on an interest rate over a term to maturity. The interest rate payments are exchanged for a specified period based on a notional amount. Currencies USD AUD HUF EUR CHF RON JPY SEK NZD GBP DKK SAR CLP NOK SGD COL Z
6、AR HKD 3 2013 Product Descriptions Interest Rates Swaps Currencies ARS PLN THB PEN TRY RUB MXN CZK KRW BRL ILS CAD AED Specifications Trading Conventions o Buyer (Payer) pays fixed interest rate and receives floating interest rate. o Seller (Receiver) receives fixed interest rate and pays floating i
7、nterest rate. Swap Leg Conventions o The terms of Fixed versus Floating Interest Rate Swaps are based on a number of combinations of the criteria below. ? Fixed Leg Payment Frequency o Monthly, Quarterly, Semi-Annually, or Annually Day Count Convention o Actual/360, actual/365, 360/360, 30/360, 30E/
8、360, Actual Fixed/365, actual /366, actual / actual Holiday Calendar o Applied in accordance for the country currency denoted for the instrument Business Day Convention o Modified following with adjustment to period end dates. Business days in this convention must be valid business days for the coun
9、tries denoted by the currency. If not, it will be the next day that is a business day on both calendars. Fixed Rate o The traded interest rate yield or basis points on Trade Date ? Floating Leg Reset Frequency o Monthly, Quarterly, Semi-Annual Day Count Convention o Actual/360, actual/365, 360/360,
10、30/360, 30E/360, Actual Fixed/365, actual /366, actual / actual Holiday Calendar o Applied in accordance for the country currency denoted for the instrument Business Day Convention o Modified Following with adjustment to period end dates. Business days in this convention must be valid business days
11、for the countries denoted by the currency. If not, it will be the next day that is a business day on both calendars. Fixed Rate o The traded interest rate yield or basis points on Trade Date Interest Rate Benchmark 4 2013 Product Descriptions Interest Rates Swaps o EBOR, BBSW, LIBOR, EURIBOR, CIDOR,
12、 PRIBOR, CIBOR2, BUBOR, TELBOR, NIBOR, BKBM, WIBOR, STIBOR, JIBAR, SAIBOR, TIBOR, CZEONIA, TRLIBOR, MOSPRIME Effective Date o The first date from which fixed and floating interest amounts accrue. It is also referred to as the Start Date or the Value Date. The Effective Date of the Swap must be a bus
13、iness day subject to the appropriate Business Day Convention. Trade Start Type o Spot Starting ? A swap whose Effective Date is 2 business days from the Trade Date (T+2). o Forward Starting ? A swap whose Effective Date is anything after the Effective Date for a Spot Starting swap. o Same Day Starti
14、ng ? A swap whose Effective Date is the same as the Trade Date (T+0) Maturity Date o The final date until which Fixed and Floating amounts accrue Tenor o The duration of time from the Effective Date to the Maturity Date. Tenors of any duration greater than 0 years to 50 years. ? Listed Tenors, also
15、known as On-the-Run, are whole calendar year Spot Starting Contracts with a Tenor of 1 through 60 years. ? Other Tenors, also known as Off-the-Run, means any partial year Tenor (Months, Weeks, Days). Roll Day Convention o The date used for determining all fixed and floating Reset Dates. Roll Days de
16、fine the beginning and end of Fixed and Floating interest accrual periods. o For On-the-Run Contracts, the Roll Day is the same date of the month as the Effective Date. For Off-the-Run Contracts, it can be any date of the month, subject to the provisions of the Business Day Convention. Roll Day mark
17、s the start of a new interest accrual period, and is the date on which a Reset Rate takes effect. Floating Reset Dates o Dates utilized to determine the Floating Rate amounts for each interest accrual period during the Tenor of the contract. Except in the case of a Stub Period, the Reset Date is ali
18、gned with the floating rate frequency as determined. First Period Fixing Date o For Spot Starting swaps, the Interest Rate for the first interest period is fixed on the Trade Date, for both Floating and Fixed Rates. o For Forward Starting swaps, the Fixed Rate for the first interest period is fixed
19、on the Trade Date, and the Floating Rate for the first interest period is fixed 2 business days prior to the first floating payment date, taking into account agreed non working days Stub Period Rate o For swaps with partial year Tenors, an interest period that is shorter than the standard underlying
20、 Floating index interest periods may occur between the Effective Date and the first or last Roll Date (knows as a Stub Period). In these cases, the Interest Rate for such Stub Period is determined using linear interpolation based on the two index rates that surround the Stub Period this can be appli
21、ed either at the start or end of that period: Front or Back. 5 2013 Product Descriptions Interest Rates Swaps Trade Types o The Platform may support the following trade types: ? Outrights An Outright swap is where one party is the payer of the fixed rate and receiver of the floating rate and the oth
22、er party is the receiver of the fixed fate and payer of the floating rate. ? Switches or Spreads Is the simultaneous purchase and sale of two different Tenors of the yield curve (e.g. 2 year by 10 year). ? Butterflies Butterflies are a combination of two spreads/switches (e.g. 2 year by 5 year by 10
23、 year). Contract Size o Minimum notional size is dependent on currency and tenor Minimum Price Fluctuation o Outrights ? The interest rate yield is quoted in increments of a minimum of .000025 (1/40th of a basis point). o Spreads and Butterflies will be quoted in basis points dependent in multiples
24、of the increments of the underlying Outrights Final Settlement Price o Multiple payments take place during the term of the swap. Settlement price used for the periodic exchange of fixed and floating payments is based on the following factors: ? Fixed Leg Payment amount on the fixed leg is based on t
25、he traded price and notional amounts of the swap on Trade Date. Payment timing on the fixed leg is based on the Payment Frequency, Day Count Convention, Business Day Convention, and Roll Day. ? Floating Leg Payment on the floating leg is based on the Interest Rate and notional amounts of the swap. P
26、ayments on the floating leg are based on the Payment Frequency, Day Count Convention, Business Day Convention, Roll Day Convention and Floating Reset Dates. Additionally, please see clearable contract definitions at http:/ and http:/ Colombian Interest Rate Swaps The plain vanilla swap, fixed Colomb
27、ian versus IBR (which is a Colombian floating overnight lending rate) is quoted with both fixed and floating side payment frequencys of bullet (or at maturity) for trades of 1 month to 18 months, or quarterly, 2 year thru 30 year. Value: T+2 Fixed/ Floating Rate Frequency: Bullet (1 month to 18 mont
28、h), Quarterly (2 year to 30 year) Fixed/ Floating Rate Day count: ACT/360 6 2013 Product Descriptions Interest Rates Swaps This market is subject to modified NY and Bogota business days. When a swap matures on a NY or Bogota holiday, we will roll forward to the next good business day, unless month e
29、nd, in which case we will roll back to the first good business day. Colombian UVR (Inflation) Interest Rate Swaps The plain vanilla swap, fixed UVR (which is a Colombian floating inflation index) versus floating 6 Month US Dollar Libor, is quoted with both fixed and floating side payment frequencys
30、of semi-annually, 1 year thru 30 year. Value: T+2 Fixed/ Floating Rate Frequency: Semi-Annually (1 year to 30 year) Fixed/ Floating Rate Day count: ACT/360 This market is subject to modified NY and Bogota business days. When a swap matures on a NY or Bogota holiday, we will roll forward to the next
31、good business day, unless month end, in which case we will roll back to the first good business day. Colombian Cross Currency Interest Rate Swaps The plain vanilla swap, fixed Colombian versus floating 6 Month US Dollar Libor, is quoted with both fixed and floating side payment frequencys of semi-an
32、nually, 1 year thru 30 year. Value: T+2 Fixed/ Floating Rate Frequency: Semi-Annually (1 year to 30 year) Fixed/ Floating Rate Day count: ACT/360 This market is subject to modified NY and Bogota business days. When a swap matures on a NY or Bogota holiday, we will roll forward to the next good busin
33、ess day, unless month end, in which case we will roll back to the first good business day. Peruvian Cross Currency Interest Rate Swaps The plain vanilla swap, fixed Peruvian versus floating 6 Month US Dollar Libor, is quoted with both fixed and floating side payment frequencys of semi-annually, 1 ye
34、ar thru 30 year. Value: T+2 Fixed/ Floating Rate Frequency: Semi-Annually (1 year to 30 year) Fixed/ Floating Rate Day count: ACT/360 This market is subject to modified NY and Lima business days. When a swap matures on a NY or Lima holiday, we will roll forward to the next good business day, unless
35、month end, in which case we will roll back to the first good business day. 7 2013 Product Descriptions Interest Rates Swaps Peruvian Interest Rate Swaps The plain vanilla swap, fixed Peru versus TIS (which is a Peruvian floating overnight lending rate) is quoted with both fixed and floating side pay
36、ment frequencys of bullet (or at maturity) for trades of 1 month to 11 months, or quarterly, 1 year thru 30 year. Value: T+2 Fixed/ Floating Rate Frequency: Bullet (1 month to 11 month), Quarterly (1 year to 30 year) Fixed/ Floating Rate Day count: ACT/360 This market is subject to modified NY and L
37、ima business days. When a swap matures on a NY or Lima holiday, we will roll forward to the next good business day, unless month end, in which case we will roll back to the first good business day. Peruvian VAC (Inflation) Interest Rate Swaps The plain vanilla swap, fixed VAC (which is a Peruvian fl
38、oating inflation index) versus floating 6 Month US Dollar Libor, is quoted with both fixed and floating side payment frequencys of semi-annually, 1 year thru 30 year. Value: T+2 Fixed/ Floating Rate Frequency: Semi-Annually (1 year to 30 year) Fixed/ Floating Rate Day count: ACT/360 This market is s
39、ubject to modified NY and Lima business days. When a swap matures on a NY or Lima holiday, we will roll forward to the next good business day, unless month end, in which case we will roll back to the first good business day. Argentine Cross Currency Interest Rate Swaps The plain vanilla swap, fixed
40、Argentine versus floating 6 Month US Dollar Libor, is quoted with both fixed and floating side payment frequencys of semi-annually, 1 year thru 30 year. Value: T+2 Fixed/ Floating Rate Frequency: Semi-Annually (1 year to 30 year) Fixed/ Floating Rate Day count: 30/360 This market is subject to modif
41、ied NY and Buenos Aires business days. When a swap matures on a NY or Buenos Aires holiday, we will roll forward to the next good business day, unless month end, in which case we will roll back to the first good business day. 8 2013 Product Descriptions Interest Rates Swaps Argentine CER (Inflation)
42、 Interest Rate Swaps The plain vanilla swap, fixed CER (which is a Argentine floating inflation index) versus floating 6 Month US Dollar Libor, is quoted with both fixed and floating side payment frequencys of semi-annually, 1 year thru 30 year. Value: T+2 Fixed/ Floating Rate Frequency: Semi-Annual
43、ly (1 year to 30 year) Fixed/ Floating Rate Day count: 30/360 This market is subject to modified NY and Buenos Aires business days. When a swap matures on a NY or Buenos Aires holiday, we will roll forward to the next good business day, unless month end, in which case we will roll back to the first
44、good business day. Mexican Interest Rates Swaps The plain vanilla swap is quoted with both fixed and floating side payment frequencies of 28 days. Since the payment periods are 28 day “months”, a one year swap will have 13 payment periods and a maturity of 364 days, a two year swap will have 26 peri
45、ods, and so on. Value: T+1 Fixed/ Floating Rate Frequency: 28 day rolls Fixed/ Floating Rate Day count: ACT/360 This market is subject to Mexico following business day convention. When a 28 day period ends in a Mexican holiday, it is rolled forward to the next good business day in Mexico. Prior to t
46、he 1998 inception of the Mexican TIIE IRS market, and in the absence of a viable repo market, forward foreign exchange provided the only opportunity to express bi- directional interest rate views. The interest rate swap market evolved at this time, as an alternative vehicle for both hedgers and spec
47、ulators to go short or long, and at the same time reducing the credit profile of the trade along the term structure. General Collateral Index Swaps (GCIS) Currencies USD Specifications Trading Conventions o Buyer - A buyer of GCIS will pay the Fixed Rate and receive the Floating Rate o Seller - A se
48、ller of GCIS will pay the Floating Rate and receive the Fixed Rate GCIS Terms o Effective Date 9 2013 Product Descriptions Interest Rates Swaps ? Trade Date + 2 o Termination Date ? End Date (Maturity of trade) o Floating Rate ? DTCC GCF Repo Index Day Count Convention o Act/360 Holiday Calendar Con
49、ventions o SIFMA/FICC Business Day Conventions o Modified Following Effective Date o The effective date will be a valid business day Termination Date o The maturity date will be a valid business day Settlement o Two business days after Termination date Contract Size o Minimum and Incremental Sizes ? 50mm minimum ? 25mm incremental Quotin