Template. IRS Variabile Protetto Differenziale
|
|
|
- Anastasia Small
- 6 years ago
- Views:
Transcription
1 Template IRS Variabile Protetto Differenziale IRS Variabile Protetto Differenziale exchanges periodically two floating interest payments indexed to the 6-Months Euribor. In addition Party A rate is determined through another differential function which value depends on the long-term and mid-term swap rates (30-Years CMS rate and 2-Years CMS rate). 1
2 IRS Variabile Protetto Differenziale Schedule Up-front Principal (Party A) 1,000,000 bullet Principal (Party B) 1,000,000 bullet Trade Date 09/02/2005 Effective Date 11/02/2005 Termination Date 11/02/2013 Payment Frequency (Party A) Semi Annual Payment Frequency (Party B) Semi Annual Exchange Party A Party B First year If EUR Euribor 6M < 2.7% EUR Euribor 6M EUR Euribor 6M otherwise 2.7% From the Second to the Third year If EUR Euribor 6M < 4% If D < 1.3% max( EUR Euribor 6M +2.45%;0 ) EUR Euribor 6M If 1.3% D < 2.00% max( EUR Euribor 6M +0.55%;0 ) If D 2.00% max( EUR Euribor 6M -0.45%;0 ) otherwise If D < 1.3% 6.450% EUR Euribor 6M If 1.3% D < 2.00% 4.550% If D 2.00% 3.550% From the Fourth to the Eight year If EUR Euribor 6M < 4.75% If D < 1.15% max( EUR Euribor 6M +2.65%;0 ) EUR Euribor 6M If 1.15% D < 1.80% max( EUR Euribor 6M +0.75%;0 ) If D 1.80% max( EUR Euribor 6M -0.25%;0 ) otherwise If D < 1.15% 7.40% EUR Euribor 6M If 1.15% D < 1.80% 5.50% If D 1.80% 4.50% D = 30-Year CMS 2-Year CMS Convention Party A Party B Reset Dates Arrears, 2 days before Advance, 2 days before Day Count Fraction Act/360 (Unadjusted) 30/360 (Unadjusted) Table 1: Example of IRS Variabile Protetto Differenziale template. 2
3 IRS Variabile Protetto Differenziale Schedule on Fairmat Up-front Principal (Party A) Na Principal (Party B) Nb Trade Date Trading date (simulation start date) Effective Date Contract initial date Termination Date PdA[end] or PdB[end] Payment Frequency (Party A) mateur-year (exchange per year) Payment Frequency (Party B) mateur-year (exchange per year) Exchange Party A Party B from 1 to timef1 If mateur-year Euribor < thresheur mateur-year Euribor mateur-year Euribor otherwise thresheur from (timef1+1) to TD If mateur-year Euribor < thresheur If D < Low max( mateur-year Euribor+Sprlow;0 ) mateur-year Euribor If Low D < High max( mateur-year Euribor+Sprmed;0 ) If D High max( mateur-year Euribor+Sprhigh;0 ) otherwise If D < Low thresheur + Sprlow mateur-year Euribor If Low D < High thresheur + Sprmid If D High thresheur + Sprhigh D = matcms1-year CMS - matcms2-year CMS Convention Party A Party B Reset Dates Arrears, RdayA days before Advance, RdayB days before Day Count Fraction DurA DurB Table 2: Example of IRS Variabile Protetto Differenziale template described through Fairmat objects. 3
4 Na Nb pdua pdub thresheur Low High Sprlow Sprmed Sprhigh /08/ /08/ % 0.00% 0.00% 0.00% 0.00% 0.00% /02/ /02/ % 0.00% 0.00% 0.00% 0.00% 0.00% /08/ /08/ % 1.30% 2.00% 2.45% 0.55% 0.45% /02/ /02/ % 1.30% 2.00% 2.45% 0.55% 0.45% /08/ /08/ % 1.30% 2.00% 2.45% 0.55% 0.45% /02/ /02/ % 1.30% 2.00% 2.45% 0.55% 0.45% /08/ /08/ % 1.15% 1.80% 2.65% 0.75% 0.25% /02/ /02/ % 1.15% 1.80% 2.65% 0.75% 0.25% /08/ /08/ % 1.15% 1.80% 2.65% 0.75% 0.25% /02/ /02/ % 1.15% 1.80% 2.65% 0.75% 0.25% /08/ /08/ % 1.15% 1.80% 2.65% 0.75% 0.25% /02/ /02/ % 1.15% 1.80% 2.65% 0.75% 0.25% /08/ /08/ % 1.15% 1.80% 2.65% 0.75% 0.25% /02/ /02/ % 1.15% 1.80% 2.65% 0.75% 0.25% /08/ /08/ % 1.15% 1.80% 2.65% 0.75% 0.25% /02/ /02/ % 1.15% 1.80% 2.65% 0.75% 0.25% Table 3: Input (Vectors) of IRS Variabile Protetto Differenziale template loaded on Parameters & Functions Fairmat enviroment. Other input that user finds into Parameters & Functions Fairmat enviroment are: RdayA: (Party A) number of days before Initial (Advance) / Ending (Arrears) period; RdayB: (Party B) number of days before Initial (Advance) / Ending (Arrears) period; mateur: time horizon of Euribor rate expressed into year fraction; matcms1: time horizon of CMS rate n.1, expressed into year fraction. It is used as argument of D function; matcms2: time horizon of CMS rate n.2, expressed into year fraction. It is used as argument of D function; tenor1: payment frequency of CMS rate n.1 (exchange per year); tenor2: payment frequency of CMS rate n.2 (exchange per year); timef1: number of periods with using of f1 function (or before using f2 function); D: analytic function expression of differential between matcms1-year and matcms2-year CMS rates. It is used as argument of f2 analytic function; f1: analytic function expression of Party A payoff from 1 to timef1; f2: analytic function expression of Party A payoff from timef1+1 to TD; PdA: date s vector transformation from pdua vector (see Table 3); PdB: date s vector transformation from pdub vector (see Table 3); 4
5 RdA: date s vector transformation from pdua vector (see Table 3) using RdayA constant; RdB: date s vector transformation from pdub vector (see Table 3) using RdayB constant; DurA: date s vector difference transformation from pdua vector (see Table 3); DurB: date s vector difference transformation from pdub vector (see Table 3); zr: zero rate (derived from spot rate); TD: number of last payment date (e.g. semi-annual payment with time horizon 8 year equals to 16 payments, 1/0.5 8). 5
Template. Spread Trading Strategies: Calendar. Spread strategy.
Template Spread Trading Strategies: Calendar Spread strategy 1 Introduction The Calendar Spread strategy is composed of two options of the same type (calls or puts), same strike price, but different expiry
Case Study. Autocallable bond
Case Study Autocallable bond 1 Introduction Revision #1 An autocallable bond is a structured product which offers the opportunity for an early redemption if a predefined event occurs and pays coupons conditioned
Plain Vanilla - Black model Version 1.2
Plain Vanilla - Black model Version 1.2 1 Introduction The Plain Vanilla plug-in provides Fairmat with the capability to price a plain vanilla swap or structured product with options like caps/floors,
Amortizing and Accreting Floors Vaulation
Amortizing and Accreting Floors Vaulation Alan White FinPricing http://www.finpricing.com Summary Interest Rate Amortizing and Accreting Floor Introduction The Benefits of an amortizing and accreting floor
Convenience Yield Calculator Version 1.0
Convenience Yield Calculator Version 1.0 1 Introduction This plug-in implements the capability of calculating instantaneous forward price for commodities like Natural Gas, Fuel Oil and Gasoil. The deterministic
Interest Rate Floors and Vaulation
Interest Rate Floors and Vaulation Alan White FinPricing http://www.finpricing.com Summary Interest Rate Floor Introduction The Benefits of a Floor Floorlet Payoff Valuation Practical Notes A real world
Interest Rate Caps and Vaulation
Interest Rate Caps and Vaulation Alan White FinPricing http://www.finpricing.com Summary Interest Rate Cap Introduction The Benefits of a Cap Caplet Payoffs Valuation Practical Notes A real world example
Equity Swap Definition and Valuation
Definition and Valuation John Smith FinPricing Equity Swap Introduction The Use of Equity Swap Valuation Practical Guide A Real World Example Summary Equity Swap Introduction An equity swap is an OTC contract
Financial Market Introduction
Financial Market Introduction Alex Yang FinPricing http://www.finpricing.com Summary Financial Market Definition Financial Return Price Determination No Arbitrage and Risk Neutral Measure Fixed Income
ESMA provides clarity on trading obligations for derivatives under MiFID II
ESMA provides clarity on trading obligations for derivatives under MiFID II On 28 September 2017, the European Securities and Markets Authority (ESMA) published its report on the revised trading obligation
The following table describes the Delisted IRS Products. Rule Interest Rate Swap Canadian LCH All All
Notice No. 16-10 Date: December 13, 2016 Subject: Delisting of Products This Notice to Participants is issued to inform you that effective December 23, 2016 Bats Hotspot SEF LLC ( Bats Hotspot SEF ) has
Amortizing and Accreting Caps and Floors Vaulation
Amortizing and Accreting Caps and Floors Vaulation Alan White FinPricing Summary Interest Rate Amortizing and Accreting Cap and Floor Introduction The Use of Amortizing or Accreting Caps and Floors Caplet
Amortizing and Accreting Caps Vaulation
Amortizing and Accreting Caps Vaulation Alan White FinPricing http://www.finpricing.com Summary Interest Rate Amortizing and Accreting Cap Introduction The Benefits of an Amortizing or Accreting Cap Caplet
Date: 30 November Effective Date: 7 December 2016
Number: Segment: C-IRS-05/2016 IRS Circular Subject: Summary Date: 30 November 2016 Effective Date: 7 December 2016 Replaces: C-IRS-02/2016 Terms, additional definitions and eligibility criteria for the
IBRD Lending Rates and Spreads Applicable January 1, 2013
From: The President January 30, 2013 I. Introduction IBRD Lending Rates and Spreads Applicable January 1, 2013 IBRD semi-annually provides an update of the lending rates and spreads by loan product as
Tutorial. Using Stochastic Processes
Tutorial Using Stochastic Processes In this tutorial we demonstrate how to use Fairmat Academic to solve exercises involving Stochastic Processes 1, that can be found in John C. Hull Options, futures and
Structured Investments
Term Sheet To prospectus dated November 14, 2011, prospectus supplement dated November 14, 2011 and product supplement no. 1-II dated April 5, 2013 Term Sheet to Product Supplement No. 1-II Registration
Notes Issuance Programme
Final Terms dated 22 December 2017 Belfius Financing Company SA Issue of Belfius Financing Company (LU) Callable 02/2028 Guaranteed by Belfius Bank SA/NV under the Belfius Financing Company SA and Belfius
Financial Engineering with FRONT ARENA
Introduction The course A typical lecture Concluding remarks Problems and solutions Dmitrii Silvestrov Anatoliy Malyarenko Department of Mathematics and Physics Mälardalen University December 10, 2004/Front
Amortizing and Accreting Swap Vaulation Pratical Guide
Amortizing and Accreting Swap Vaulation Pratical Guide Alan White FinPricing http://www.finpricing.com Summary Interest Rate Amortizing or Accreting Swap Introduction The Use of Amortizing or Accreting
Notes Issuance Programme
Final Terms dated 31 July 2015 Belfius Financing Company SA Issue of Belfius Financing Company (LU) Active Notes 7 Guaranteed by Belfius Bank SA/NV under the Belfius Financing Company SA and Belfius Bank
SUBJECT TO COMPLETION, DATED April 29, 2014
Term sheet To disclosure statement dated November 20, 2013 Series 2014-TPD-CD-73 SUBJECT TO COMPLETION, DATED April 29, 2014 JPMorgan Chase Bank, National Association linked to the 30-Year U.S. Dollar
Notes Issuance Programme
Final Terms dated 31 December 2015 Belfius Financing Company SA Issue of Belfius Financing Company (LU) Active Notes 12 Guaranteed by Belfius Bank SA/NV under the Belfius Financing Company SA and Belfius
Date: 30 July Effective Date: 30 November 2015
Number: Segment: C-IRS-13/2015 IRS Circular Date: 30 July 2015 Effective Date: 30 November 2015 Replaces: --- Subject: Summary Valuation of IRS instruments This circular defines the procedure for valuation
Structured Investments
Term sheet To prospectus dated November 14, 2011, prospectus supplement dated November 14, 2011 and product supplement no. 1-II dated April 5, 2013 Term sheet to Product Supplement No. 1-II Registration
Compounding Swap Vaulation Pratical Guide
Vaulation Pratical Guide Alan White FinPricing http://www.finpricing.com Summary Compounding Swap Introduction Compounding Swap or Compounding Swaplet Payoff Valuation Practical Notes A real world example
Interest Rate Bermudan Swaption Valuation and Risk
Interest Rate Bermudan Swaption Valuation and Risk Dmitry Popov FinPricing http://www.finpricing.com Summary Bermudan Swaption Definition Bermudan Swaption Payoffs Valuation Model Selection Criteria LGM
Lecture 9. Basics on Swaps
Lecture 9 Basics on Swaps Agenda: 1. Introduction to Swaps ~ Definition: ~ Basic functions ~ Comparative advantage: 2. Swap quotes and LIBOR zero rate ~ Interest rate swap is combination of two bonds:
Contents. 1. Introduction Workbook Access Copyright and Disclaimer Password Access and Worksheet Protection...
Contents 1. Introduction... 3 2. Workbook Access... 3 3. Copyright and Disclaimer... 3 4. Password Access and Worksheet Protection... 4 5. Macros... 4 6. Colour Coding... 4 7. Recalculation... 4 8. Explanation
Swaption Product and Vaulation
Product and Vaulation Alan White FinPricing http://www.finpricing.com Summary Interest Rate Swaption Introduction The Use of Swaption Swaption Payoff Valuation Practical Guide A real world example Swaption
Basis Swap Vaulation Pratical Guide
Vaulation Pratical Guide Alan White FinPricing http://www.finpricing.com Summary Interest Rate Basis Swap Introduction The Use of Interest Rate Basis Swap Basis Swap or Basis Swaplet Payoff Valuation Practical
ASX Futures Operating Rules
ASX Futures Operating Rules Foreign Clearing Participants and other Clearing Participants with Overseas Activity 4.15A (a) A Clearing Participant that proposes to locate or relocate any part of its business
Multi-Curve Pricing of Non-Standard Tenor Vanilla Options in QuantLib. Sebastian Schlenkrich QuantLib User Meeting, Düsseldorf, December 1, 2015
Multi-Curve Pricing of Non-Standard Tenor Vanilla Options in QuantLib Sebastian Schlenkrich QuantLib User Meeting, Düsseldorf, December 1, 2015 d-fine d-fine All rights All rights reserved reserved 0 Swaption
Notes Issuance Programme
MiFID II PRODUCT GOVERNANCE Solely for the purposes of the product approval process of each Manufacturer (i.e., each person deemed a manufacturer for purposes of the EU Delegated Directive 2017/593, hereinafter
MBAX Credit Default Swaps (CDS)
MBAX-6270 Credit Default Swaps Credit Default Swaps (CDS) CDS is a form of insurance against a firm defaulting on the bonds they issued CDS are used also as a way to express a bearish view on a company
FINAL TERMS PART A - CONTRACTUAL TERMS. 1. Issuer: Banco Bilbao Vizcaya Argentaria, S.A. (a) Series: EUR 1,500,000,000. (b) Tranche: EUR 1,500,000,000
FINAL TERMS 5 April 2017 Banco Bilbao Vizcaya Argentaria, S.A. Issue of EUR 1,500,000,000 Floating Rate Notes due April 2022 under the 40,000,000,000 Global Medium Term Note Programme PART A - CONTRACTUAL
BBVA Subordinated Capital, S.A. Unipersonal
BBVA Subordinated Capital, S.A. Unipersonal FINAL TERMS DATED 3 APRIL 2014 Issue of EUR 1,500,000,000 Fixed Reset Notes due April 2024 Guaranteed by Banco Bilbao Vizcaya Argentaria, S.A. under the 40,000,000,000
Notes Issuance Programme
MiFID II PRODUCT GOVERNANCE Solely for the purposes of the product approval process of each Manufacturer (i.e., each person deemed a manufacturer for purposes of the EU Delegated Directive 2017/593, hereinafter
The Pricing Supplement. Issue of Subordinated EUR 20,000,000 EUR-CMS-Rate linked Notes of 2003/2023. Issued under the
The Pricing Supplement DRESDNER BANK AKTIENGESELLSCHAFT Frankfurt am Main Issue of Subordinated EUR 20,000,000 EUR-CMS-Rate linked Notes of 2003/2023 Issued under the EUR 20,000,000,000 EURO MEDIUM TERM
Interest Rate Cancelable Swap Valuation and Risk
Interest Rate Cancelable Swap Valuation and Risk Dmitry Popov FinPricing http://www.finpricing.com Summary Cancelable Swap Definition Bermudan Swaption Payoffs Valuation Model Selection Criteria LGM Model
FINAL TERMS SANTANDER UK GROUP HOLDINGS PLC
EXECUTION VERSION FINAL TERMS 23 March, 2018 PLEASE CAREFULLY READ THE PROSPECTUS AND THE RISK FACTORS IN THE PROSPECTUS. EACH INVESTOR SHOULD CONSULT ITS OWN FINANCIAL AND LEGAL ADVISORS ABOUT THE RISKS
Interest Rate Swap Vaulation Pratical Guide
Interest Rate Swap Vaulation Pratical Guide Alan White FinPricing http://www.finpricing.com Summary Interest Rate Swap Introduction The Use of Interest Rate Swap Swap or Swaplet Payoff Valuation Practical
Covered Bond Programme
Bonds ISIN Currency Initial Principal Balance (Own Currency) Initial Principal Balance (EUR) Rate of Interest Final Maturity Series 01 XS0353943540 GBP 1.000.000.000,00 1.000.000.000,00 4.250% 19-03-2013
LCH.CLEARNET LIMITED PROCEDURES SECTION 2C SWAPCLEAR CLEARING SERVICE
LCH.CLEARNET LIMITED PROCEDURES SECTION 2C SWAPCLEAR CLEARING SERVICE Clearing House Procedures Clear Service principles specified in the Clear Transaction submitted to the Clearing House and as set forth
Final Report Draft RTS on the trading obligation for derivatives under MiFIR
Final Report Draft RTS on the trading obligation for derivatives under MiFIR 28 September 2017 ESMA70-156-227 Table of Contents 1 Executive Summary... 4 2 Introduction... 5 3 General Approach... 7 4 Determination
Hard and Soft Bullet Covered Bonds Programme. Monthly Investor Report. Dutch National Transparency Template Covered Bond
Hard and Soft Bullet Covered Bonds Programme Monthly Investor Report Dutch National Transparency Template Covered Bond Reporting Period: 1 March 2018-31 March 2018 Reporting Date: 20 April 2018 AMOUNTS
Introduction to Eris Exchange Interest Rate Swap Futures
Introduction to Eris Exchange Interest Rate Swap Futures Overview Eris Exchange interest rate swap futures ( Eris contracts ) have been designed to replicate the net cash flows associated with plain-vanilla,
Covered Bond Programme
Bonds ISIN Currency Initial Principal Balance (Own Currency) Initial Principal Balance (EUR) Exchange Rate Rate of Interest Final Maturity Series 01 XS0353943540 EUR 1.000.000.000,00 1.000.000.000,00 4.250%
INTEREST RATES AND FX MODELS
INTEREST RATES AND FX MODELS 4. Convexity Andrew Lesniewski Courant Institute of Mathematics New York University New York February 24, 2011 2 Interest Rates & FX Models Contents 1 Convexity corrections
5. interest rate options: cap and floor
5. interest rate options: cap and floor MIFID complexity IR product description An interest rate option, similarly to a foreign exchange option used for the purpose of managing foreign exchange risk, is
Chapter 5. Rules and Policies AMENDMENTS TO ONTARIO SECURITIES COMMISSION RULE TRADE REPOSITORIES AND DERIVATIVES DATA REPORTING
Chapter 5 Rules and Policies 5.1.1 Amendments to OSC Rule 91-507 Trade Repositories and Derivatives Data Reporting AMEDMETS TO OTARIO SECURITIES COMMISSIO RULE 91-507 TRADE REPOSITORIES AD DERIVATIVES
Managing Interest Rate Exposure
Managing Interest Rate Exposure Global Markets Contents Products to manage Interest Rate Exposure...1 Interest Rate Swap Product Overview...2 Interest Rate Cap Product Overview...8 Interest Rate Collar
Notes $19,855,000 $2,557.32
424B2 1 e58211_424b2.htm PRICING SUPPLEMENT NO. 2289 CALCULATION OF REGISTRATION FEE Title of Each Class of Securities Offered Maximum Aggregate Offering Price Amount of Registration Fee Notes $19,855,000
Natixis Securities Americas LLC
The information in this preliminary pricing supplement is not complete and may be changed. This preliminary pricing supplement is not an offer to sell these securities and it is not soliciting an offer
FINAL TERMS. Australia and New Zealand Banking Group Limited ABN
FINAL TERMS 21 November 2016 Australia and New Zealand Banking Group Limited ABN 11 005 357 522 Issue of EUR 750,000,000 0.45 per cent. Fixed Rate Covered Bonds due 22 November 2023 irrevocably and unconditionally
SECTION SSSSSS - CONTRACT RULES: ICE FUTURES EUROPE ERIS EURIBOR INTEREST RATE FUTURES CONTRACTS
CONTRACT RULES: ICE FUTURES EUROPE ERIS EURIBOR SSSSSS SECTION SSSSSS - CONTRACT RULES: ICE FUTURES EUROPE ERIS EURIBOR INTEREST RATE FUTURES CONTRACTS SSSSSS.1 Definitions 1 SSSSSS.2 Contract Specification
FINAL TERMS. ANZ New Zealand (Int'l) Limited
FINAL TERMS Dated 20 September 2016 ANZ New Zealand (Int'l) Limited Issue of 1,000,000,000 0.125 per cent. Fixed Rate Covered Bonds due 22 September 2023 unconditionally guaranteed by ANZ Bank New Zealand
Using Swaps to Borrow Overseas
Fair value hedge treatment can yield unexpected benefits. Using Swaps to Borrow Overseas at Bargain Rates In a perfect world, market inefficiencies are arbitraged away, such that no incentives would motivate
Vanilla interest rate options
Vanilla interest rate options Marco Marchioro derivati2@marchioro.org October 26, 2011 Vanilla interest rate options 1 Summary Probability evolution at information arrival Brownian motion and option pricing
1. (i) Series Number: 3600 (ii) Tranche Number: 1 Date on which the Notes will be consolidated and form a single Series: Not Applicable
Final Terms dated October 14, 2016 Banque Internationale à Luxembourg, société anonyme (incorporated with limited liability in Luxembourg) USD 100,000,000 Fixed Rate Subordinated Notes due October 18,
Mandatory Exchange Trading for Swaps to Begin February 18, 2014
January 30, 2014 Mandatory Exchange Trading for Swaps to Begin February 18, 2014 I. Mandatory Exchange Trading The Dodd-Frank Wall Street Reform and Consumer Protection Act (the Dodd-Frank Act) mandates
IDA Terms (Effective as of April 1, 2016)
IDA Terms (Effective as of April 1, 2016) Grace Principal Repayments i/ Maturity b/ Period Year 7-20 Year 21-38 Acceleration Clause c/ Grants a/ NA NA NA NA NA Regular d/ 38 6 3.125% 3.125% Yes Blend e/
The Final Terms. Dresdner Bank Aktiengesellschaft. Issue of EUR 20,000,000 Subordinated CMS-linked Notes due 27 June 2018
Dated 24 June 2008 The Final Terms Dresdner Bank Aktiengesellschaft Issue of EUR 20,000,000 Subordinated CMS-linked tes due 27 June 2018 issued as Series 1538 Tranche 1173 under the EUR 30.000.000.000
Forward Rate Agreement (FRA) Product and Valuation
Forward Rate Agreement (FRA) Product and Valuation Alan White FinPricing http://www.finpricing.com Summary Forward Rate Agreement (FRA) Introduction The Use of FRA FRA Payoff Valuation Practical Guide
HSBC Bank plc. Programme for the Issuance of Notes and Warrants. Issue of. USD 30,000, Year Dual Range Accrual Notes due March 2025
PRICING SUPPLEMENT Pricing Supplement dated: 23 March 2015 HSBC Bank plc Programme for the Issuance of Notes and Warrants Issue of USD 30,000,000 10 Year Dual Range Accrual Notes due March 2025 PART A
RISKMETRICS. Dr Philip Symes
1 RISKMETRICS Dr Philip Symes 1. Introduction 2 RiskMetrics is JP Morgan's risk management methodology. It was released in 1994 This was to standardise risk analysis in the industry. Scenarios are generated
IBRD Lending Rates and Spreads Applicable on or after January 1, 2017
Public Disclosure Authorized Public Disclosure Authorized Public Disclosure Authorized Public Disclosure Authorized From: The President January 24, 2017 I. Introduction IBRD Lending Rates and Spreads Applicable
Libor Market Model Version 1.0
Libor Market Model Version.0 Introduction This plug-in implements the Libor Market Model (also know as BGM Model, from the authors Brace Gatarek Musiela). For a general reference on this model see [, [2
Implementing a cross asset class CVA and xva Framework
Implementing a cross asset class CVA and xva Framework Head of CB&S Counterparty and Funding Risk Technology, AG CREDIT RISK Management Forum, May 7 th 8 th 2015 Vienna, Austria Global Universal Bank with
APPLICABLE FINAL TERMS
APPLICABLE FINAL TERMS 22 November 2017 Banco Bilbao Vizcaya Argentaria, S.A. Issue of EUR 150,000,000 Floating Rate Senior Non-Preferred Notes due December 2023 under the 40,000,000,000 Global Medium
ACI THE FINANCIAL MARKETS ASSOCIATION
ACI THE FINANCIAL MARKETS ASSOCIATION EXAMINATION FORMULAE page number INTEREST RATE..2 MONEY MARKET..... 3 FORWARD-FORWARDS & FORWARD RATE AGREEMENTS..4 FIXED INCOME.....5 FOREIGN EXCHANGE 7 OPTIONS 8
INTERMEDIATE DERIVATIVE ANALYTICS CUNA CFO Conference May 19, Presented by: Emily Moré Hollis, CFA Founding Partner
INTERMEDIATE DERIVATIVE ANALYTICS CUNA CFO Conference May 19, 2015 Presented by: Emily Moré Hollis, CFA Founding Partner Agenda Derivative terms and definitions Derivative process and analytics Identification
Structured Investments
February, 2016 The information in this preliminary pricing supplement is not complete and may be changed. This preliminary pricing supplement is not an offer to sell nor does it seek an offer to buy these
IBRD Lending Rates and Spreads Applicable July 1, 2014
Public Disclosure Authorized Public Disclosure Authorized Public Disclosure Authorized Public Disclosure Authorized From: The President July 24, 2014 I. Introduction IBRD Lending Rates and s Applicable
Term Structure Lattice Models
IEOR E4706: Foundations of Financial Engineering c 2016 by Martin Haugh Term Structure Lattice Models These lecture notes introduce fixed income derivative securities and the modeling philosophy used to
The Goldman Sachs Group, Inc.
1 / 44 Filed Pursuant to Rule 424(b)(2) Registration Statement No. 333-154173 Prospectus Supplement to Prospectus dated April 6, 2009. The Goldman Sachs Group, Inc. Medium-Term Notes, Series D TERMS OF
Leeds Building Society Covered Bonds - Investor Report
Leeds Building Society Covered Bonds - Investor Report Investors (or other appropriate third parties) can register at www.bankofengland.co.uk/markets to download further disclosures in accordance with
The Goldman Sachs Group, Inc.
Prospectus Supplement to the Prospectus, as it may be amended from time to time, that forms a part of Registration Statement No. 333-198735. The Goldman Sachs Group, Inc. Medium-Term Notes, Series D TERMS
New Final Bond Terms for Nykredit Realkredit A/S's Base Prospectus dated 15 May 2017
To Nasdaq Copenhagen 12 September 2017 New Final Bond Terms for Nykredit Realkredit A/S's Base Prospectus dated 15 May 2017 In connection with the opening of a new ISIN under Nykredit Realkredit A/S's
Cross Currency Swaps. Savill Consulting 1
Cross Currency Swaps Savill Consulting 1 A forward FX rate is calculated using a no-arbitrage pricing model Assume a US-based investor has US$10.50 million to invest and a 12-mo time horizon. The current
Structured Investments
Term sheet To prospectus dated November 7, 2014, prospectus supplement dated November 7, 2014, product supplement no. 1a-I dated November 7, 2014 and underlying supplement no. 1a-I dated November 7, 2014
SEF Rule 804. Equity Derivatives Product Descriptions
SEF Rule 804 Equity Derivatives Product Descriptions Products Rule 804 (1) Total Return Swaps & Price Return Swaps (2) Total Return Index Swaps Product Specifications SEF Rule 804(1) Total Return Swaps
New Final Bond Terms for Nykredit Realkredit A/S's Base Prospectus dated 15 May 2018
To Nasdaq Copenhagen A/S 25 July 2018 New Final Bond Terms for Nykredit Realkredit A/S's Base Prospectus dated 15 May 2018 In connection with the opening of new ISINs under Nykredit Realkredit A/S's Base
Chapter Year Euro Interest Rate Swap Futures
Chapter 57 10-Year Euro Interest Rate Swap Futures 57100. SCOPE OF CHAPTER This chapter is limited in application to trading of 10-Year Euro Interest Rate Swap ( EUR IRS ) futures. The procedures for trading,
Structured Investments
Term sheet To prospectus dated November 7, 2014, prospectus supplement dated November 7, 2014 product supplement no. 1a-I dated November 7, 2014 and underlying supplement no. 1a-I dated November 7, 2014
Nasdaq Copenhagen. 5 December New Final Bond Terms for Nykredit Realkredit A/S's Base Prospectus dated 15 May 2018
To Nasdaq Copenhagen 5 December 2018 New Final Bond Terms for Nykredit Realkredit A/S's Base Prospectus dated 15 May 2018 In connection with the opening of a new ISIN under Nykredit Realkredit A/S's Base
Interest Rate Forwards and Swaps
Interest Rate Forwards and Swaps 1 Outline PART ONE Chapter 1: interest rate forward contracts and their pricing and mechanics 2 Outline PART TWO Chapter 2: basic and customized swaps and their pricing
FINAL TERMS PART A - CONTRACTUAL TERMS. 1. Issuer: Banco Bilbao Vizcaya Argentaria, S.A. (a) Series: EUR 1,500,000,000. (b) Tranche: EUR 1,500,000,000
EXECUTION VERSION FINAL TERMS 1 September 2017 Banco Bilbao Vizcaya Argentaria, S.A. Issue of EUR 1,500,000,000 0.75 per cent. Senior Non-Preferred Notes due September 2022 under the 40,000,000,000 Global
FINAL TERMS. Final Terms dated March 29, THE TORONTO-DOMINION BANK (a Canadian chartered bank)
FINAL TERMS Final Terms dated March 29, 2017 THE TORONTO-DOMINION BANK (a Canadian chartered bank) Issue of 1,250,000,000 0.50 per cent. Series CBL17 Covered Bonds due April 3, 2024 under the CAD 40,000,000,000
Callability Features
2 Callability Features 2.1 Introduction and Objectives In this chapter, we introduce callability which gives one party in a transaction the right (but not the obligation) to terminate the transaction early.
Coöperatieve Rabobank U.A. Monthly Investor Report. Dutch National Transparency Template Covered Bond. Reporting Period: 1 May May 2017
Monthly Investor Report Dutch National Transparency Template Covered Bond Reporting Period: 1 May 2017-31 May 2017 Reporting Date: 26 June 2017 AMOUNTS ARE IN EURO Jorgen de Vries / Sjaak-Jan Baars Jorgen.de.Vries@rabobank.com
Chapter 2: BASICS OF FIXED INCOME SECURITIES
Chapter 2: BASICS OF FIXED INCOME SECURITIES 2.1 DISCOUNT FACTORS 2.1.1 Discount Factors across Maturities 2.1.2 Discount Factors over Time 2.1 DISCOUNT FACTORS The discount factor between two dates, t
Final Terms dated 14 January 2019 Santander Consumer Finance, S.A. Issue of EUR 90,000,000 Floating Rate Notes due January 2021
Final Terms dated 14 January 2019 Santander Consumer Finance, S.A. Issue of EUR 90,000,000 Floating Rate Notes due January 2021 under the 15,000,000,000 Euro Medium Term Note Programme PART A CONTRACTUAL
JSE Eris Interest Rate Swap Futures
JSE Eris Interest Rate Swap Futures N-Y Standard Contract Specifications June 2015 JSE Limited Reg No: 2005/022939/06 Member of the World Federation of Exchanges Page 1 of 5 Trading Hours Regular Trading
World Bank Frequently Asked Questions
World Bank Frequently Asked Questions Loan Services Group Accounting Department November 2006 Introduction This set of Frequently Asked Questions (FAQ) is meant to provide a ready resource to the World
BGC Brokers L.P. OTF Rate Cards Effective Apr 1st 2018
Inflation; Inflation Swaps - EUR/GBP & Inflation Bonds - EUR Execution Type Instrument Annual Rev Thresholds Rate Rate Type Notes Volume Match or Electronic GBP - ZC/Spread/Fly EUR - ZC/Spread/Fly GBP
Eurocurrency Contracts. Eurocurrency Futures
Eurocurrency Contracts Futures Contracts, FRAs, & Options Eurocurrency Futures Eurocurrency time deposit Euro-zzz: The currency of denomination of the zzz instrument is not the official currency of the
SGI Bond 5Y USD. SGI Bond 5Y USD. Index Rules Version as of 14 January 2008
SGI Bond 5Y USD Index Rules Version as of 14 January 2008 1 1. Index Summary Description: Index description The SGI Bond 5Y USD (the Index ) tracks the performance of a portfolio invested in USD notes
FINAL TERMS PART A - CONTRACTUAL TERMS. 1. Issuer: Banco Bilbao Vizcaya Argentaria, S.A. (a) Series: EUR 1,000,000,000. (b) Tranche: EUR 1,000,000,000
FINAL TERMS 7 February 2017 Banco Bilbao Vizcaya Argentaria, S.A. Issue of EUR 1,000,000,000 3.500 per cent. Tier 2 Subordinated Notes due February 2027 under the 40,000,000,000 Global Medium Term Note
Leeds Building Society Covered Bonds - Investor Report
Leeds Building Society Covered Bonds - Investor Report Investors (or other appropriate third parties) can register at www.bankofengland.co.uk/markets to download further disclosures in accordance with