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Features

The generic structure of a swap or a FRA corresponds to one with the following characteristics:

 

• The notional amount used to calculate interest flows may remain constant (a bullet swap) or vary according to a predefined schedule or rate over the life of the Swap.

 

• The fixed rate of the swap or FRA remains constant over the life of the contract.

 

• The floating rate may incorporate a spread with an either positive or negative value. This could lead to a Euribor Flat, or Euribor plus or minus spread.

 

• Flows of the floating leg are indexed to Euribor index with tenors of 1 month, 3 months, 6 months and 12 months, and the Overnight index EONIA.

 

• The interest flows are exchanged at regular periods which may or may not coincide in both branches. Flows will be netted in case of payments dates for both legs were the same.

 

• Effective or value date is usually 2 business days after the trade date with the "modified business day" convention applied in case of non-business day (a weekend or bank holiday). If the effective or value date is greater than those 2 business days, a "Forward Starting Swap" or “delayed starting swap” is negotiated.

 

• Both legs of the swap are denominated in the same currency. BME CLEARING will only accept for clearing contracts denominated in euros.

 

• The fixing is "upfront" (at the beginning of the calculation period) and settlement "in arrears" (at the end of the calculation period). BME CLEARING will not accept for clearing contracts with the fixing "in arrears".

 

• Products cleared at BME CLEARING will not incorporate embedded derivatives products (such as options etc.)

 

 

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