The terms and conditions of the swap as established by the DCO in its rules or bylaws are incorporated by reference herein and are the terms and conditions of the swap. The swaps have the following characteristics:
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| Currency: |
Sterling |
| Fixed Coupon: |
http://www.sifma.org/services/standard-forms-and-documentation/swaps/
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| Floating Rate Indexes: |
LIBOR |
| Tenors: |
1y, 2yrs, 3yrs, 5yrs, 7yrs, 10yrs, 15 yrs, 20 yrs, 30yrs |
| Effective Dates: |
IMM dates (3rd Weds of March, June, September, December) |
The terms and conditions of the swap as established by the DCO in its rules or bylaws are incorporated by reference herein and are the terms and conditions of the swap. The swaps have the following characteristics:
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| Currency: |
Sterling (GBP) (“SONIAS”) |
| Floating Rate Indexes: |
LIBOR |
| Stated Termination Date Range: |
7 days to 50 years
Spot & Forward starting, and broken dates (bespoke tenors) |
| Optionality: |
No |
| Dual Currencies: |
No |
| Conditional Notional Amounts: |
No |
The terms and conditions of the swap as established by the DCO in its rules or bylaws are incorporated by reference herein and are the terms and conditions of the swap. The swaps have the following characteristics:
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| Currency: |
Yen (JPY) |
| Floating Rate Indexes: |
LIBOR |
| Stated Start Date Range: |
28 days to 30 years
Spot & Forward starting, and broken dates (bespoke tenors) |
| Optionality: |
No |
| Dual Currencies: |
No |
| Conditional Notional Amounts: |
No |
The terms and conditions of the swap as established by the DCO in its rules or bylaws are incorporated by reference herein and are the terms and conditions of the swap. The swaps have the following characteristics:
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|
| Currency: |
Yen (JPY) |
| Floating Rate Indexes: |
LIBOR |
| Stated Termination Date Range: |
3 days to 3 years |
| Optionality: |
No |
| Dual Currencies: |
No |
| Conditional Notional Amounts: |
No |
The terms and conditions of the swaps incorporate by reference such credit and other terms as the parties may establish through their pre-existing bilateral agreement. The swaps have the following characteristics:
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| Currency: |
Mexican Peso (MXN) |
| Floating Rate Indexes: |
LIBOR/28 day MXN-TIIE-Banxico Index |
| Stated Termination Date Range: |
As negotiated between the parties
Spot & Forward starting, and broken dates (bespoke tenors) |
| Optionality: |
No |
| Dual Currencies: |
No |
| Conditional Notional Amounts: |
No |
The terms and conditions of the swaps incorporate by reference such credit and other terms as the parties may establish through their pre-existing bilateral agreement. The swaps have the following characteristics:
| |
|
| Currency: |
Mexican Peso (MXN) |
| Floating Rate Indexes: |
28 day MXN-TIIE-Banxico Index |
| Stated Start Date Range: |
As negotiated between the parties
Spot & Forward starting, and broken dates (bespoke tenors |
| Optionality: |
No |
| Dual Currencies: |
No |
| Conditional Notional Amounts: |
No |
The terms and conditions of the swaps incorporate by reference such credit and other terms as the parties may establish through their pre-existing bilateral agreement. The swaps have the following characteristics:
| |
|
| Currency: |
Mexican Peso (MXN) |
| Floating Rate Indexes: |
28 day MXN-TIIE-Banxico index |
| Stated Termination Date Range: |
As negotiated between the parties |
| Optionality: |
No |
| Dual Currencies: |
No |
| Conditional Notional Amounts: |
No |
The terms and conditions of the swaps incorporate by reference such credit and other terms as the parties may establish through their pre-existing bilateral agreement. The swaps have the following characteristics:
| |
|
| Currency: |
Mexican Peso (MXN) |
| Floating Rate Indexes: |
Unidades de Inversion (UDI) |
| Stated Start Date Range: |
As negotiated between the parties
Spot & Forward starting, and broken dates (bespoke tenors) |
| Optionality: |
No |
| Dual Currencies: |
No |
| Conditional Notional Amounts: |
No |
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:
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| 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 |
The terms and conditions of the swap as established by the DCO in its rules or bylaws are incorporated by reference herein and are the terms and conditions of the swap. The swaps have the following characteristics:
| |
|
| Currency: |
U.S. Dollar |
| Floating Rate Indexes: |
LIBOR/LIBOR
LIBOR/Fed Funds
LIBOR/OIS
Including Spread over Treasuries
LIBOR/MXN-TIIE-Banxico (MXN IRS Benchmark)
LIBOR/ICP (CLP IRS Benchmark) |
| Stated Termination Date Range: |
28 days to 50 years
Spot & Forward starting, and broken dates (bespoke tenors) |
| Optionality: |
No |
| Dual Currencies: |
No |
| Conditional Notional Amounts: |
No |
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