Interest Rates > Swap
Vanilla IR Swap (fixed/float)
Trade Type: Swap
Trade Components: Leg Data with Leg Types Fixed and Floating
Schedule Data
An interest rate swap is an agreement between two counterparties in which one stream of future interest payments (leg) is exchanged for another based on a specified notional amount. A vanilla interest rate swap involves two legs in the same currency, exchanging a floating rate benchmarked to an Interbank Offered Rate (IBOR) index of a specified tenor for a fixed rate, or vice versa.
The notional amount for each leg may be fixed, amortising or accreting.
The fixed rate and the spread can vary over the lifetime of the swap.
This example is fixed annual vs floating 6M EURIBOR EUR swap with fixed notionals on both legs, and unchanging spreads and fixed rates, and no gearing.
Amortising IR Swap (fixed/float)
Trade Type: Swap
Trade Components: Leg Data with Leg Types Fixed and Floating
Schedule Data
An interest rate swap is an agreement between two counterparties in which one stream of future interest payments (leg) is exchanged for another based on a specified notional amount. A vanilla interest rate swap involves two legs in the same currency, exchanging a floating rate benchmarked to an Interbank Offered Rate (IBOR) index of a specified tenor for a fixed rate, or vice versa.
The notional amount for each leg may be fixed, amortising or accreting.
The fixed rate and the spread can vary over the lifetime of the swap.
This example is a fixed annual vs floating 6M LIBOR GBP swap with amortising notionals on both legs, and varying spreads and gearings, but unchanged fixed rate on the fixed leg. A gearing is a factor that is multiplied with the coupon rate.
Amortising IR Swap, capped (fixed/float)
Trade Type: Swap
Trade Components: Leg Data with Leg Types Fixed and Floating
Schedule Data
A single floating swap leg with interest payments benchmarked to an IBOR index, may have a cap, floor, or collar. This creates a series of European interest rate options (caplets or floorlets) where the cap or floor rate is the strike price, and each floating rate reset date is an option expiry date.
This example is a fixed annual vs floating 6M LIBOR GBP swap with amortising notionals on both legs, where the floating leg is capped with varying cap rates and also has varying spreads and gearings. A gearing is a factor that is multiplied with the coupon rate, and the cap is applied after the gearing.
Single Currency Basis IR Swap (float/float)
Trade Type: Swap
Trade Components: Leg Data with Leg Type Floating
Schedule Data
A single currency basis swap has two floating legs, benchmarked to any two of the supported IBOR indices. The two legs may also have different tenors of the same IBOR index.
The notional amount for each leg may be fixed, amortising or accreting.
The floating leg spreads can vary over the lifetime of the swap, and include gearings.
This example is a floating 3M USD LIBOR vs floating 3M USD BMA swap with fixed notionals and spreads on both legs, and no gearing.
BMA IR Swap (BMA float/float)
Trade Type: Swap
Trade Components: Leg Data with Leg Type Floating
Schedule Data
A BMA (Bond Market Association) Swap has at least one leg where the floating rate is benchmarked to the BMA’s floating rate municipal swap index. That is, the floating leg rate is based upon fixings of the US SIFMA Municipal Swap Index (formerly the BMA Municipal Index or “BMA Index”). The non-BMA leg of a BMA Swap can be fixed or floating.
The BMA leg is set up as a standard floating leg where the index is the BMA index. This example is a floating 3M USD LIBOR vs floating USD-SIFMA-1W BMA swap with fixed notionals on both legs, no spread, and gearing of 0.8 on the libor leg.
OIS IR Swap (Single OIS leg)
Trade Type: Swap
Trade Components: Leg Data with Leg Type Floating
Schedule Data
An OIS (Overnight Index) Swap has at least one leg where the floating rate is benchmarked to an overnight index rate, typically the rate for overnight unsecured lending between banks.
- For example, in USD the overnight index rate would be the Federal Funds rate, in EUR it would be Eonia, and in GBP it would be Sonia.
- The overnight index rate leg compounds on a daily basis as per the correspondent overnight rate.
This example is a single leg OIS on the EONIA index, with spread.
CMS IR Swap (fixed/CMS)
Trade Type: Swap
Trade Components: Leg Data with Leg Types Fixed and CMS
Schedule Data
A CMS (Constant Maturity) Swap has at least one leg where the floating rate is benchmarked against a CMS index using the market rate of a fixed maturity instrument, such as a swap or a government bond, with a longer maturity than the length of the reset period.
It may contain a cap, floor, or collar on the CMS or other floating leg.
This example is an annual fixed rate vs a semi-annual CMS 30Y swap. The CMS leg has its own leg type called CMS.
European IR CMS Spread Option, capped and floored (CMS Spread/float)
Trade Type: Swap
Trade Components: Leg Data with Leg Types Floating and CMSSpread
Schedule Data
A European CMS Spread option has a payoff that depends on the difference between the CMS rate of two different maturities (the CMS spread) against a cap and/or floor strike rate. The buyer has the right but not the obligation to receive the CMS spread in exchange for the strike rate(s) at a predetermined time in the future.
This example has one CMS Spread leg which is the difference between the 10Y and 2Y EUR CMS Index, capped and floored. The other leg is a regular EUR Euribor 6M floating leg.