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 |