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Coding

BME CLEARING will name contracts to be cleared in the Swaps' Segment according to the following scheme:

 '"Product" + "Maturity" + "Floating Reference 1" + “Floating Reference 2" 

 

Where:: 

  • Product Code:

3 Letter referring the name of the poroduct according the following table:

Product

CSW

Coupon Swap - Fixed/Floating

BSW

Basis Swap - Floating/Floating

ZCS

Zero Coupon Swap

OIS

Overnight Indexed Swap

FRA

Forward Rate Agreement

 

  • Maturity code:

2 digit and 1 letter where the digits refer to the maturity and the letter to the term (expressed in days, weeks months or years):

Maturity

01D

1 Day

02D

2 Day

01W

1 Week

01M

1 Month

02M

2 Months

03M

3 Months

12M

12 Months

18M

18 Months

02Y

2 Years

03Y

3 Years

04Y

4 Years

05Y

5 Years

….

50Y

50 Years

  • Floating References Code:

They refer to the interest rates which are the reference for the floating leg or legs of the product, according to the following table: 

Floating Reference

E1M

1 Month Euribor

E3M

3 Months Euribor

E6M

6 Months Euribor

E1Y

12 Months Euribor

EON

EONIA

 

 

Several examples are shown in this table:

 

Code

Description

CSW10YE6M

10 years plain vanilla Coupon Swap versus 6 months Euribor

BSW11YE6ME1Y

11 years plain vanilla Basis Swap 12 months Euribor versus 6 months Euribor

FRA04ME6M

FRA 4x10 or 4 months versus 10 months FRA

OIS06YEON

6 years OIS (versus Eonia)

ZCS10YE3M

10 years Zero Coupon Swap versus 3 months Euribor

 

 

 

 

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