Swaptions

The terms and conditions of the swaptions incorporate by reference such credit and other terms as the parties may establish through their pre-existing bilateral agreement. The swaptions have the following characteristics:
   
Contract Overview: A swaption is a derivative financial instrument that gives the owner the right but not the obligation to enter into the underlying interest rate swap
Trade Date: The date on which parties enter into the contract
Swaption Type: – A payer swaption gives the owner of the swaption the right to enter into a swap where they pay the fixed leg and receive the floating leg
– A receiver swaption gives the owner of the swaption the right to enter into a swap in which they will receive the fixed leg, and pay the floating rate leg
Payer Currency: Currency for payer swaption
Receiver Currency: Currency for receiver swaption
Strike Price: The asset price at which the investor can exercise an option
Expiration Date: Date at which swaption contract expires
Expiration Time: Time at which swaption contract expires
Settlement Date: Settlement date of the swaption contract
Premium: Premium amount expressed in premium currency
Premium Currency: Currency in which swaption premium is expressed
Premium Date: Date on which premium amount is due
Quoting Convention and Minimum Increment: Notional amount, as agreed by counterparties
Minimum Size: Notional amount, as agreed by counterparties
Notional Currency: Currency in which contract size is expressed
Settlement Procedure: Bilateral settlement performed in settlement currency
Trading Hours:     00:01 – 24:00 Sunday-Friday Eastern Time
Clearing Venue: Bilateral