Interest Rate Instruments and Market Conventions

Interest Rate Instruments and

Market Conventions Guide

December 2013

Copyright c 2011-2013 OpenGamma Ltd.. This document is licensed to the public under a Creative Commons Attribution Non Commercial 3.0 Unported License . Attribution under the license should be to OpenGamma.

This document is for informational purposes only, and is provided as is. OpenGamma declines all responsibility of any errors and any loss or damage resulting from use of the contents of this document. User assumes the full risk of using this document. For more information, please see the text of the license ().

Edition 2.0

First edition: 24 May 2011 This edition: 16 December 2013

Contents

List of Tables

v

Preface

vi

Part 1. References

1

Chapter 1. Associations

2

1. International Swaps and Derivatives Association

2

2. British Bankers' Associations

2

3. Euribor-EBF

2

4. Australian Financial Markets Association

2

5. Danish Bankers Association

2

6. Wholesale Markets Brokers Association

2

7. Japanese Bankers Association

2

Chapter 2. Exchanges

3

1. Australian Securities Exchange

3

2. BM&FBovespa - Brazil

3

3. CME Group

3

4. Eurex

3

5. IntercontinentalExchange - ICE

3

6. LCH.Clearnet

3

7. MEFF - Spain

4

8. Montr?eal Exchange

4

9. NASDAQ OMX

4

10. NYSE Euronext

4

11. Singapore Exchange - SGX

4

12. Tokyo Stock Exchange

4

13. South African Futures Exchange - JSE

4

Chapter 3. Day count conventions

5

1. 1/1

5

2. 30/360 methods

5

3. 30/360

5

4. 30E/360

5

5. 30E/360 (ISDA)

5

6. 30E+/360 ISDA

5

7. ACT/360

6

8. ACT/365 Fixed

6

9. ACT/365 L

6

10. ACT/365 A

6

11. NL/365

6

12. ACT/ACT ISDA

7

13. ACT/ACT ICMA

7

14. Business/252

7

i

CONTENTS

ii

Chapter 4. Business day conventions

8

1. Following

8

2. Preceding

8

3. Modified following

8

4. Modified following bimonthly

8

5. End of month

8

Chapter 5. Overnight indexes

9

1. Committee meetings

9

2. CHF-TOIS

10

3. EUR-EONIA

10

4. EUR-EURONIA

10

5. GBP-SONIA

10

6. JPY-TONAR-Uncollateralized Overnight Call Rate

10

7. USD-Effective Federal Funds Rate

10

8. AUD-RBA Interbank Overnight Cash Rate Survey / AONIA

10

9. CAD-CORRA

11

10. DKK-Danmarks Nationalbank Tomorrow/Next interest rate

11

11. NZD-NZIONA

11

12. SEK-SIOR / T/N STIBOR

11

13. SGD-SONAR

11

14. ZAR-SFX ZAR OND

11

15. ZAR-SAONIA

11

Chapter 6. Ibor-like indexes

12

1. LIBOR

12

2. GBP-LIBOR

13

3. EUR-LIBOR

13

4. EURIBOR

13

5. JPY-TIBOR

13

6. AUD-BBSW

13

7. CAD-CDOR

14

8. DKK-CIBOR

14

9. HKD-HIBOR

14

10. INR-MIFOR

14

11. NOK-NIBOR

14

12. RMB-SHIBOR

14

13. SEK-STIBOR

14

14. SGD-SIBOR

14

15. SGD-SOR

14

16. ZAR-JIBAR

15

Part 2. Exchange traded instruments

16

Chapter 7. Overnight index linked futures

18

1. Federal Funds Futures

18

2. One month EONIA indexed futures

18

3. One-Day Interbank Deposit Futures Contract - Brazil

18

Chapter 8. Short Term Interest Rate Futures Ibor based

20

1. USD

20

2. EUR

20

3. GBP

20

4. JPY

21

5. CHF

21

CONTENTS

iii

6. AUD

21

7. CAD

21

8. ZAR

21

Chapter 9. Interest Rate Futures Options: Premium

22

Chapter 10. Interest Rate Futures Options: Margin

23

Chapter 11. Bank bill futures (AUD style)

24

Chapter 12. Deliverable swap futures (present value quoted)

25

Chapter 13. Bond futures (non AUD/NZD)

26

1. USD

26

2. EUR-Germany

28

3. GBP

28

4. JPY

28

5. EUR - Spain

29

6. Settlement

29

Chapter 14. Options on Bond futures (non AUD/NZD): Premium

30

1. USD - CBOT

30

Chapter 15. Options on Bond futures (non AUD/NZD): Margin

31

1. EUR - EUREX

31

Chapter 16. Bond futures (AUD)

32

1. Description

32

2. Future settlement

32

Part 3. Over-The-Counter Instruments

34

Chapter 17. Forward Rate Agreement

35

Chapter 18. Interest rate swaps (Fixed for Ibor)

36

1. Leg payments

36

2. Vanilla swaps

36

3. Composition

37

4. IMM dates swap

38

5. In-arrears swaps

38

6. Short and long tenors

38

7. Step-up and step-down

38

8. Amortised, accruing and roller coaster swaps

38

Chapter 19. Interest rate swaps (Basis swap; Ibor for Ibor)

39

Chapter 20. Interest rate swaps (Cross-currency swap; Ibor for Ibor)

40

Chapter 21. Swap indexes

41

1. ISDA fixing

41

2. ISDA-EUR

41

3. ISDA-USD

41

4. ISDA-GBP

41

5. ISDA-CHF

41

6. ISDA-JPY

41

Chapter 22. Overnight indexed swaps (OIS)

43

1. USD

43

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