Idea Transcript
Circular
Number:
C-IRS-02/2016
Segment:
IRS
Date:
12 May 2016
Effective Date:
23 May 2016
Replaces:
C-IRS-11/2015
Subject:
Terms, additional definitions and eligibility criteria for the OTC Interest Rate Swap Segment.
Summary
This document lists the generic terms applicable to the IRS Segment, specific terms for each type of contract and applicable definitions. BME CLEARING's eligibility criteria are also detailed.
This Circular implements sections A.3 and B.3 of the General Conditions Circular and defines the terms of IRS contracts as well as the criteria trades must meet to be accepted by BME CLEARING. Should the definitions in this document conflict with those in the contract originally signed by the counterparties, the criteria defined by BME CLEARING in this circular shall prevail. This circular contains the following sections: I. Generic terms II. Specific terms III. Eligibility criteria I.
Generic terms
Counterparty
This identifies the parties entering into a swap or a FRA.
Trade Date
This is the date the order is executed and the key terms are agreed.
This is the date the contract comes into effect and the obligations are effective. The Value Date shall not be adjusted in accordance with any Effective Date / Value Business Day Convention unless the counterparties specify in the registry Date that the Value Date shall be adjusted according to a Business Day Convention. Different Effective This attribute indicates whether BME CLEARING supports swaps that Dates on legs utilise different effective dates on the two legs of the swap.
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Termination Date / Maturity Date
This is the date the Trade matures. The Termination/Maturity Date shall not be adjusted in accordance with any Business Day Convention unless the counterparties specify in the registry that the Termination/Maturity Date shall be adjusted according to a Business Day Convention.
Minimum Term (in days)
This indicates the minimum swap term in days that is eligible for clearing in BME CLEARING. The Minimum Term of a swap is equal to the Termination/Maturity Date of the swap minus the Effective Date, or the Value Date.
Minimum Residual Term (in days)
This indicates the minimum residual swap term in days that is eligible for clearing in BME CLEARING.
Maximum Residual Term (in days)
This indicates the maximum swap term in days that is eligible for clearing in BME CLEARING. The Maximum Residual Term equals the Termination Date minus Today's Date or the Trade Date.
Maximum Residual Term (in years)
This indicates the maximum swap term in years that is eligible for clearing in BME CLEARING. The Maximum Residual Term equals the Termination Date minus Start Date, Start Date = Trade Date + 2.
Minimum FRA Term (in days)
This indicates the minimum FRA term in days that is eligible for clearing in BME CLEARING. The Minimum Term equals the Effective Date minus the Trade Date.
Maximum FRA Term (in This indicates the maximum FRA term in days that is eligible for clearing in BME CLEARING. The Maximum Term equals the Effective Date minus days) the Trade Date (T1-T0). Forward Starting
It is understood as the beginning of future trade (ie, when the effective date occurs in the future), applying the same maximum residual term. Given the nature of the FRA, this attribute is not applicable.
Notional Amount / Principal Amount /
"Principal" attribute defines if the notional amount may change along the swap's life. An amortizing swaps has a notional amount that decreases or increase with time. BME CLEARING will only accept swaps where i) the calendar of the notional is known before the entry to registry in the CCP ii) the nominal may increase, decrease or both at the same time iii) the Notional at the beginning of the period is the same for both legs (i.e.: A swap 3M vs 12M may vary only annually)
Minimum Notional Amount
This indicates the minimum accepted amount to be registered in BME CLEARING.
Maximum Notional Amount
This indicates the maximum accepted amount to be registered in BME CLEARING.
Amortisation
This is a fraction of the trade which increases or decreases on a certain date.
Side
This identifies the direction of the swap's legs (buy/sell, Pay/Receive).
Leg_Type
This identifies a FLOATING/FIXED leg.
Currency
This is the currency in which a swap is traded and cash flows exchanged.
Multi-currency
The Multi-currency element indicates if the swaps with different currencies in the fixed and floating leg, are accepted for registry in BME CLEARING.
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Holiday Calendars
This is a calendar of holidays used to calculate the lengths of the periods.
Business Day
This is a business day or a working day used to calculate the periods of a Trade or the exchange of cash flows.
Business Center
BME CLEARING shall follow the TARGET (EUTA) payment calendar. The Business Day Convention adjusts any relevant date which may fall on a Non-business Day. Any day which may fall on a Non-business Day is adjusted as follows: Following: If this convention is used, the date shall be the first following day that is a Business Day.
Business Day Convention
Modified Following or Modified: If this convention is used, the date shall be the first following day that is a Business Day unless the first following business day is in the next calendar month, in which case that date shall be the first preceding day that is a Business Day. Preceding. If this convention is used, the date shall be the first preceding day that is a Business Day.
Different Business Day conventions on each leg of the contract
Adjusted/Unadjusted Combinations
This indicates if different Business Day conventions are applied to each leg of the swap.
A date for each leg of the Trade may be adjusted or unadjusted. Adjustments may occur on the Value Date, the Period End Date or the Termination/Maturity Date. A date can only be left unadjusted when calculating the days. The date must be adjusted according to the Business Day Convention for settlement. The possibilities are: • Fixed leg: (Adjusted/Unadjusted Effective date, Unadjusted / Adjusted regular period End date, Unadjusted / Adjusted final period End date) • Floating leg: (Adjusted/Unadjusted Effective date, Unadjusted / Adjusted regular period End date, Unadjusted / Adjusted final period End date).
Designated Maturity
This indicates the different maturities of the floating rates / reference index
Roll Day
This indicates the start and end days of the calculation periods for OTC derivative trades.
Negative Interest Rate
This is the negative interest rate referenced to your floating or fixed rate/index.
Spread
The spread applied to the interest rate.
Basis Point (bp)
A unit of measurement. 1bp is equivalent to 0.01%.
Period Start Date
The date on which the Flow Period starts in order to calculate interest.
Period End Date
The date on which the Flow Period ends in order to calculate interest.
Calculation period
The period between the Period Start and End dates.
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3/16
Day Count Fraction
The convention for calculating the days in the calculation period which will determine the year fraction used to calculate the fixed and floating amounts. The Day Count Fraction is applied to each leg separately. The conventions admitted by BME CLEARING are: -
Actual/Actual, Actual/Actual (ISDA), Act/Act or Act/Act (ISDA) pursuant to ISDA 2006 definitions. Actual/Actual (ISMA), Act/Act (ISMA), pursuant to the ISDA 2000 definition. Actual/Actual (ICMA), Act/Act (ICMA), pursuant to the ISDA 2006 definition. Actual/365 (Fixed). Act/365 (Fixed), A/365 (Fixed) or A/365F pursuant to the ISDA 2006 definition. Actual/360, Act/360 or A/360 pursuant to the ISDA 2006 definition. 30/360, 360/360 or Bond Basis pursuant to the ISDA 2006 definition. 30E/360 or Eurobond Basis pursuant to the ISDA 2006 definition. 30E/360 ISDA pursuant to the ISDA 2000 definition. Actual/365 ISDA or Act/365 ISDA pursuant to the ISDA 2000 definition.
Section 3 of this Circular defines the Day Count Fractions allowed for each type of Trade. Settlement / Payment Date
This indicates the dates on which settlement or payment of each leg of the Trade occurs.
Regular Period
This period comprises a number of days according to the Designated Maturity.
Stub Period
This is defined as the period at the beginning or end of a trade, which differs from the regular period defined by the frequency of the benchmark index or rate.
Break Clause
Stub on Front & Back Stub Period (in days) Short Term Trade entered as Back Stub only Roll Convention
Circular C-IRS-02/2016
This refers to the possibility that a counterparty may request the Early Termination of a trade at market price, of the bilateral operation, in order to mitigate the counterparty risk. BME CLEARING accepts for registry and novation OTC IR Swaps with “Break Clause”. Since the moment the operation is novated at BME CLEARING, the counterparty risk disappears, as the CCP will be counterparty to each of the original sides of the trade. For this reason any “break Clause” will be useless and will not be subject of execution by any of the original counterparties of the trade. Simultaneous Stub Periods at the beginning and end of a Swap.
The length of the Stub for a swap can be treated in BME CLEARING must be greater or equal to 1 day and not more than 1 year. This is a Short Term Stub at the end of a trade.
These are the standard roll dates for regular periods. IMM: International Money Market, EOM: End of Month.
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Additional Payment date. Minimum Value Date Minimum Value
This is the minimum date additional payments on a novated trade may be admitted.
Additional Payment date/ Maximum Value Date
This is the maximum date additional payments on a novated trade may be admitted.
Additional Payment Currency
This is the currency admitted to carry out an additional payment on a registered trade.
Number of Additional Payments
This is the maximum number of additional payments which can be carried out on a registered trade.
Valuation Date
This is the date the current value of a flow is valued.
Netting Identifier (NID)
Default Fund
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This is the compression identifier code generated by BME CLEARING. This is the guarantee requested by the clearing house to cover stress test exposure of a clearing member.
5/16
II.
Specific terms Floating leg
Floating Rate Payer or Floating Amount Payer
This is the counterparty making the payments at agreed times during the term of a Trade. The amounts are calculated based on a floating rate per year or when one or more payments of a floating amount are made.
ISDA Index Denomination / Index Rate
This indicates the floating interest rate used to establish the periodical payments of the floating leg.
Reset Date
This is the date the new floating interest rate is fixed. The new floating rate is normally determined two days prior to the Period Start Date.
Fixing
This is the value of the floating interest rate or index.
Fixing in Arrears
The floating interest rate is set at the end of the calculation period.
Floating Amount
When referring to a Trade and a Floating Amount Payer, this is the amount which, subject to any conditions set at the time of Registry and accepted by BME CLEARING, the counterparty must pay on the Payment Date. This amount is determined based on a floating rate and calculated using the method specified in the Registry and defined by BME CLEARING in its Circular “Coupons, considerations and additional payments”.
Compounding
This is when various interest calculation periods are paid on a single date periodically.
Floating Leg Index Tenor (Regular Period)
This is the specific floating index tenor used to fix the periodic floating leg payment
Floating Rate Index ISDA Definition
Refers to ISDA definitions (2000 and / or 2006) used to define the floating interest rate reference.
Floating Leg Spread
This indicates the spread contracted for the floating leg. BME CLEARING accepts operations with a positive, negative or null value spread. The spread may not vary alongside the duration of the trade life.
Floating Rate Negative Value Reset
This indicates whether the value of the Floating Leg Index Tenor (Regular Period) can be negative (whether or not it is the result of a spread) for the floating leg.
Floating Leg Fixing Lag (Standard)
This is the lag used to fix the new rate to calculate interest for the new period as defined by market practices.
Floating Leg Fixing Lag (Non-standard)
This is the lag used to fix the new rate to calculate interest for the new period as defined by the counterparties.
Floating Leg Reset Frequency
This indicates how often the interest rate is reset to the variable leg. For example, a value of "1 M" means that the interest rate on the floating leg is fix each month.
Floating Leg Payment Frequency
This indicates the payment frequency of the floating leg. The payment frequency may not be the same as the reset frequency. However, it may
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not be less than the floating rate reset frequency.
Floating Leg Day Count Fraction
Floating Leg Day Count Fraction defines the method for day count used to calculate the floating leg payments. BME CLEARING will use the day count fractions defined by ISDA.
Floating Leg Compounding
This indicates the capitalisation method used to calculate the interest.
Floating Leg First Fixing Date
This is the date the first floating interest rate is fixed.
Floating Leg Last Fixing This is the date the last floating interest rate is fixed. Date Floating Leg Settlement This is the date the final payment is made. Date Floating Leg Rounding
Defines the methodology for the floating interest rate rounding. "5DPS" means that the rate is rounded to 5 decimals.
Floating Leg Zero Coupon
This indicates the IRS with a single final payment in the floating leg. Interest on the floating leg is cumulative and compounded and is paid at maturity.
Floating Leg Stub Interpolation
Occur in a period at the beginning or end of life of the trade, known as broken period or Stub, which differs from regular period defined by the frequency of the index or reference rate. The duration of the stub period or from the start to the end may not exceed one year. Flow at the start of the trade agreed. The rate applied to choice of counterparties may be: i. A reference Fixing (1W, 2W, 1M, 2M, 3M, 6M, 9M and 12M). In the case of an Overnight Index Swap the reference fixing is EONIA. ii. The result of interpolating linearly between 2 Fixing reference (1W, 2W, 1M, 2M, 3M, 6M, 9M and 12M) between nearest to the stub. In the case of an Overnight Index Swap interpolation not apply. Flow at the end of the trade agreed. The rate applied to choice of counterparties may be: i. Implicit type of the reference curve (1M, 3M, 6M and 12M). ii. The result of interpolating linearly on zero rates between the two references curves (1M, 3M, 6M and 12M) between nearest to the stub. Flow Forward Start, the implicit rate is obtained in the same way as in Flow at the end of the trade agreed. In the case of an Overnight Index Swap is referenced to EONIA.
This attribute indicates the tenor for the fixing rate set on floating leg to the Floating Leg Stub Index front stub period. Eligible values are presented according to the Floating Tenor (Front Period) Le Stub Interpolation (Y/N) criteria. This attribute indicates the tenor for the implicit rate calculated for the back Floating Leg Stub Index stub periods, applicable to Forward Starting trades too. Eligible values are Tenor (Back Period) presented according to the Floating Leg Stub Interpolation (Y/N) criteria. Floating Leg Initial Period Fixing
Circular C-IRS-02/2016
BME CLEARING does not support trades where the floating rate is already set for the initial period, whether that initial period is a regular. BME CLEARING does not support trades on which initial period is a stub period.
7/16
Different Business Day conventions used for This indicates the different business day conventions used for the payment float period end dates & period end date and the termination date, for the floating leg of the trade. termination date Inconsistent Business Day Conventions (Float Leg)
This indicates the use of different business day conventions for the period end date and the Termination date.
Fixed leg This is the counterparty making the payments at agreed times during the Fixed Rate Payer or term of a Trade. The amounts are calculated based on a fixed rate per year Fixed Amount Payer or when one or more payments of a fixed amount are made. Regarding a Trade and a Fixed Amount Payer, this is the amount which, subject to any conditions established at Registry and accepted by BME CLEARING, the counterparty must pay on a Payment Date. This amount shall be determined using the methodology specified in the Registry and defined by BME CLEARING in its Circular “Coupons, considerations and additional payments”.
Fixed Amount
Fixed Leg Day Count Fraction defines the method for day count used to Fixed Leg Day Count calculate the fixed leg payments. BME CLEARING will use the day count Fraction fractions defined by ISDA. It is displayed with 15 decimal places.
Fixed Leg Frequency
Payment
Fixed Leg Rate
This indicates the payment frequency of the fixed leg. The fixed leg payment frequency may not coincide with the floating leg payment frequency. BME CLEARING will accept trades with a positive, negative or null value for the fixed rate. 3DPS means that the fixed rate may not be more than 3 decimals and expressed in percentage.
Different Business Day This indicates the different business day conventions used for the payment conventions used for period end date and the termination date, for the fixed leg of the trade. fixed period end dates & termination date
Inconsistent Business Day Conventions (Fixed Leg)
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This indicates the use of different business day conventions for the period end date and the termination date.
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III.
Eligibility criteria BME CLEARING shall accept the registry and settlement of those trades which meet the eligibility criteria and whose terms meet the definitions and provisions contained in the document 2006 ISDA Definitions and this Circular. Swaps
Currency
ATTRIBUTE GROUP
# ATTRIBUTE 1 2
3
Tenor
4 5 6 7 8 9 Nocional
10 11
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ATTRIBUTE Currency Multi-currency
Holiday Calendars Minimum Term (in days) Minimum Residual Term (in days) Maximun Residual Term (in days) Maximun Residual Term (in years) Forward Starting Principal Minimum Notional Amount Maximum Notional Amount
COUPON SWAP
ZERO COUPON
EUR EUR N N The holiday calendar will The holiday calendar will be be the one for the the one for the currency. currency. BME BME CLEARING will follow CLEARING will follow the TARGET Calendar the TARGET Calendar
BASIS SWAP
OIS
EUR N
EUR N
The holiday calendar will be the one for the currency. BME CLEARING will follow the TARGET Calendar
The holiday calendar will be the one for the currency. BME CLEARING will follow the TARGET Calendar
28 Days
28 Days
28 Days
7 Days
2 Days
2 Days
2 Days
2 Days
18267 Days
18267 Days
18267 Days
10962 Days
50 Years
50 Years
50 Years
30 Years
Y Y
Y Y
Y Y
Y N
€ 0.01 €99,999,999,999.99
€ 0.01 €99,999,999,999.99
€ 0.01 €99,999,999,999.99
€ 0.01 €99,999,999,999.99
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ATTRIBUTE GROUP
# ATTRIBUTE 12 13 14 15 16
Floating Leg 1
17 18 19
20
21 22 23 24 25
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ATTRIBUTE ISDA Index Denomination Floating Leg Index Tenor (Regular Period) Floating Rate Index ISDA Definition Floating Leg Spread Floating Rate Negative Value Reset Floating Leg Fixing Lag (Standard) Floating Leg Fixing Lag (Non-standard) Floating Leg Reset Frequency Floating Leg Payment Frequency Floating Leg Day Count Fraction Floating Leg Compounding Floating Leg First Fixing Date Floating Leg Last Fixing Date Floating Leg Settlement Date
COUPON SWAP
ZERO COUPON
BASIS SWAP
OIS
EUR-EURIBOR-Reuters
EUR-EONIA-OISCOMPOUND
1m, 3m, 6m, 12m (same reset frequency of Floating Leg 1)
EUR-EURIBORReuters 1m, 3m, 6m, 12m (same reset frequency of Floating Leg 1)
1m, 3m, 6m, 12m (same reset frequency of Floating Leg 1)
Daily
ISDA 2000 /2006
ISDA 2000 /2006
ISDA 2000 /2006
ISDA 2000 /2006
Y: 3 DPS
Y: 3 DPS
Y: 3 DPS
N
Y
Y
Y
Y
-2 (2 business days prior)
D-1
Max form 0 to 10 days prior
N
1m, 3m, 6m, 12m (same reset frequency of Floating Leg 1)
1D
EUR-EURIBOR-Reuters
-2 (2 business days prior) Max from 0 to 10 days prior 1m, 3m, 6m, 12m (same reset frequency of Floating Leg 1)
-2 (2 business days prior) Max form 0 to 10 days prior 1m, 3m, 6m, 12m (same reset frequency of Floating Leg 1)
1m,3m,6m,12m
1T
1m,3m,6m,12m
Annual multiplier: annual or at maturity Not Annual multiplier: 1st short period, 2nd annual period
ACT/360
ACT/360
ACT/360
ACT/360
Y: Straight , Flat
Y: Straight , Flat
Y: Straight , Flat
Y: Daily
N
N
N
N
N
N
N
N
N
N
N
N
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Floating Leg 1
ATTRIBUTE GROUP
# ATTRIBUTE 26 27 28 29 30 31
Floating Leg 2
32 33 34 35 36 37 38
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ATTRIBUTE Floating Leg Rounding Fixing in Arrears Floating Leg Zero Coupon ISDA Index Denomination Floating Leg Index Tenor (Regular Period) Floating Rate Index ISDA Definition Floating Leg Spread Floating Rate Negative Value Reset Floating Leg Fixing Lag (Standard) Floating Leg Fixing Lag (Non-standard) Floating Leg Reset Frequency Floating Leg Payment Frequency Floating Leg Day Count Fraction
COUPON SWAP
ZERO COUPON
BASIS SWAP
OIS
Y
Y
Y
Y
N
Y
N
Y
N/A
Y
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
ISDA 2000 /2006
N/A
N/A
N/A
Y: 3 DPS
N/A
N/A
N/A
Y
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
1m,3m,6m,12m
N/A
N/A
N/A
ACT/360
N/A
EUR-EURIBORReuters 1m, 3m, 6m, 12m (same reset frequency of Floating Leg 2)
-2 (2 business days prior) Max form 0 to 10 days prior 1m,3m,6m,12m (same reset frequency of Floating Leg 1)
N/A N/A
N/A N/A N/A
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ATTRIBUTE GROUP
# ATTRIBUTE 39
Floating Leg 2
40 41 42 43 44 45
Fixed Leg
46
47
48 49
Stubs
50
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ATTRIBUTE Floating Leg Compounding Floating Leg First Fixing Date Floating Leg Last Fixing Date Floating Leg Settlement Date Fixing in Arrears Floating Leg Rounding Floating Leg Zero Coupon
Fixed Leg Day Count Fraction
Fixed Leg Payment Frequency
Fixed Leg Rate Floating Leg Zero Coupon Floating Leg Stub Interpolation (Y/N)
COUPON SWAP
ZERO COUPON
BASIS SWAP
OIS
N/A
N/A
Y: Straight , Flat
N/A
N/A
N/A
N
N/A
N/A
N/A
N
N/A
N/A
N/A
N
N/A
N/A
N/A
N
N/A
N/A
N/A
Y
N/A
N/A
N/A
N/A
N/A
Definitions ISDA2000: 30/360; 30E/360; ACT/360; ACT/365.Fixed; ACT/365.ISDA; ACT/ACT ISMA; Definitions ISDA2006: 30/360, 30E/360, 30E/360 ISDA, ACT/360, ACT/365.Fixed, ACT/ACT.ISDA, ACT/ACT ICMA
Definiciones ISDA2000: 30/360; 30E/360; ACT/360; ACT/365.Fixed; ACT/365.ISDA; ACT/ACT ISMA; Definiciones ISDA2006: 30/360, 30E/360, 30E/360 ISDA, ACT/360, ACT/365.Fixed, ACT/ACT.ISDA, ACT/ACT ICMA
N/A
ACT/360
1m,3m,6m,12m
1T
N/A
Y
Y
N/A
Annual multiplier: annual or at maturity Not Annual multiplier: 1st short period, 2nd annual period Y
N/A
Y
N/A
N/A
Y
Y
Y
N
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ATTRIBUTE GROUP
# ATTRIBUTE 51
Stubs
52 53 54 55 56
Additional Payments
57
58 59
ATTRIBUTE Stub on Front & Back (Y/N) Floating Leg Stub Index Tenor (Front Period) Floating Leg Stub Index Tenor (Back Period) Stub Minimum Period (in days) Short Term Trade entered as Back Stub only Floating Leg Initial Period Fixing Additional Payment date. Minimum Value Date Additional Payment date. Maximum Value Date Additional Payment Currency
60
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Number of Additional Payments
COUPON SWAP
ZERO COUPON
BASIS SWAP
OIS
N
N
N
N
Y (1W,2W, 1M, 2M, 3M, 6M, 9M,12M)
Y (1W,2W, 1M, 2M, 3M, 6M, 9M,12M)
Y (1W,2W, 1M, 2M, 3M, 6M, 9M,12M)
N
Y (1M, 3M, 6M,12M) Stub period must be between 1M and 1Y
Y (1M, 3M, 6M,12M) Stub period must be between 1M and 1Y
Y (1M, 3M, 6M,12M) Stub period must be between 1M and 1Y
N
D+1 ≤ Stub ≤ 1Y
D+1 ≤ Stub ≤ 1Y
D+1 ≤ Stub ≤ 1Y
N
Y
Y
Y
Y
N
N
N
N
Y (APD≥ d+1) d = Effective Date transaction agreed
Y (APD≥ d+1) d = Effective Date transaction agreed
Y (APD≥ d+1) d = Effective Date transaction agreed
Y (APD≥ d+1) d = Effective Date transaction agreed
Y (APD ≤ Termination Date)
Y (APD ≤ Termination Date)
Y (APD ≤ Termination Date)
Y (APD ≤ Termination Date)
EUR €
EUR €
EUR €
EUR €
Up to 6 additional payments. Restriction: always after the value date and before termination date.
Up to 6 additional payments. Restriction: always after the value date and before termination date.
Up to 6 additional payments. Restriction: always after the value date and before termination date.
Up to 6 additional payments. Restriction: always after the value date and before termination date.
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ATTRIBUTE GROUP
# ATTRIBUTE 61
Different Effective Dates on legs (Y/N)
62
Business Day Convention
63
Roll Dates & Adjustments
64
65
66
67 68 69
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ATTRIBUTE
Different Business Day conventions used for fixed period end dates & termination date Different Business Day conventions used for float period end dates & termination date Different Business Day conventions on each leg of the contract
Adjusted/Unadjusted Combinations
Inconsistent Business Day Conventions (Fixed leg) Inconsistent Business Day Conventions (Float Leg) Roll Convention
70
Break Clause
71
Payment Lag
COUPON SWAP
ZERO COUPON
BASIS SWAP
OIS
N
N
N
N
Following, Modified Following Preceding
Following, Modified Following Preceding
Following, Modified Following Preceding
Following, Modified Following Preceding
N
N
N/A
N
N
N
N
N
N
N
N
N
Y They may have adjusted/undajusted the: i) Effective date ii) End period iii) maturity date. Payment date will be always adjusted
Y (They may have adjusted/undajusted the: i) Effective date ii) End period iii) maturity date. Payment date will be always adjusted
N
N
N/A
N
N
N
N
N
Y Day of Month (1-30) / IMM / EOM Y (operations with BC will be admitted, but once novated at BME CLEARING, these clauses will be no longer effective as they will not be executed by the counterparties) 0 days
Y Day of Month (1-30) / IMM / EOM
Y Day of Month (1-30) / IMM / EOM
Y Day of Month (1-30) / EOM
Y (operations with BC will be admitted, but once novated at BME CLEARING, these clauses will be no longer effective as they will not be executed by the counterparties)
Y (operations with BC will be admitted, but once novated at BME CLEARING, these clauses will be no longer effective as they will not be executed by the counterparties)
Y (operations with BC will be admitted, but once novated at BME CLEARING, these clauses will be no longer effective as they will no tbe executed by the counterparties)
0 days
0 days
0 days
Y (They may have Y They may have adjusted/undajusted the: i) adjusted/undajusted the: i) Effective date ii) End period iii) Effective date ii) End period iii) maturity date. Payment date will maturity date. Payment date be always adjusted will be always adjusted
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ELIGIBILITY CRITERIA
Nocional
Tenor
Currency
ATTRIBUTE GROUP
# ATTRIBUTE
FRA
1 2
Currency Multi-currency
3
Holiday Calendars
4
Minimum FRA Term (in days)
3 days
5
Maximum FRA Term (in days)
Euribor (1M) = 35M; Euribor (3M) = 33M; Euribor (6M) = 30M; Euribor (12M) = 24M.
6
Minimum Residual Term (in days)
2 days
7
Maximun Residual Term (in days)
1102 days
8
Maximun Residual Term (in years)
3 years
9 10
13
Forward Starting Principal Minimum Notional Amount Maximum Notional Amount ISDA Index Denomination
14
Index Tenor
15
Index tenor different than FRA term
11 12
16 17
Miscellaneous
ATTRIBUTE
18 19 20 21 22 23 24 25 26 27
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Spread Floating Rate Negative Value Reset Fixed Leg Rate ISDA Definition Rules Day Count Fraction Stub Non-Standard maturities Floating rate fixing rate tenor accepted for interpolation Stub Non-Interpolated (Y/N) Numbers of coupons per leg Additional Payment date. Minimum Value Date Additional Payment date. Maximum Value Date Additional Payment Currency
EUR N The holiday calendar will be the one for the currency. BME CLEARING will follow the TARGET Calendar
N N € 0.01 € 99,999,999.99 EUR-EURIBOR-Reuters 1m (between 27 and 37 days) ,3m (between 86 and 96 days),6m (between 178 and 188 days),12m (between 363 and 373 days) N N Y Y ISDA 2000 /2006: 3DPS ACT/360 N N N 1 Y (APD≥ d+1) d=Trade Date (T0) Y (APD ≤ Effective Date) EUR €
15/16
# ATTRIBUTE
Miscellaneous
ATTRIBUTE GROUP
28 29 30 31
Circular C-IRS-02/2016
ATTRIBUTE Number of Additional Payments Business Day Convention Minimum Time to Settlement (in Business Days) Fixing in Arrears
FRA Up to 6 additional payments. Restriction: always after the value date and before termination date. Following, Modified Following Preceding 1 day N
16/16