Material Economic Terms

Transcription

1 Material Economic erms he material economic terms of equity derivatives transactions will be provided to counterparties on a pertransaction basis, generally in the form of a template confirmation or pre-confirmation, in each case prior to entry into the transaction. tandard form confirmation agreements for credit derivatives transactions may be accessed at: he confirmations available at the above website provide market-standard material economic terms for credit derivatives transactions. G may supplement such terms by providing you with transaction specific information prior to entry into a swap with you. he tables on the following pages identify the typical material economic terms that will apply to a variety of interest rate, foreign exchange and commodity derivatives transaction types that G may enter into with counterparties from time to time. Any confirmation, other documentation or transaction-specific pre-trade information that G provides directly to you in respect of an actual or potential swap will supersede the information contained in the following tables and, to the extent inconsistent, such confirmation, other documentation or transactionspecific pre-trade information will control. In addition, the agreed upon terms of any swap that we enter into with you will be set forth in the confirmation or other agreement that you and we enter into with respect to that swap and may differ materially from the terms set forth in the following tables. By making these tables available, G does not indicate its willingness to enter into any swap with any counterparty on any terms. Please speak with your G relationship contact if you need further information regarding the material economic terms of any swap. ociété Générale 2013 All rights reserved.

2 Material Economic erm IR wap or Cross CCY wap Cap Floor Collar Material Economic erms: Interest Rates FRA elf Compounding O/N IR wap waption or waption traddle Mark to Market CCY wap Y Locks Zero Coupon Inflation wap Notional Amount rade Date Effective Date ermination Date Fixed Rate Payer Fixed Rate Payer Currency Amount Fixed Rate Payer Payment Dates Fixed Amount (Rate) Floating Rate Payer Cap/Floor Rate Floating Rate Payer Currency Amount Floating Rate Payer Payment Dates Floating Rate for initial Calculation Period Floating Rate Option Designated Maturity pread Floating Rate Day Count Fraction Reset Dates Rate Cut off Dates Method of Averaging Compounding Compounding dates Discount Rate Discount Rate Day Count Fraction FRA Yield Discounting Initial Exchange Date Party A Initial Exchange Amount Party B Initial Exchange Amount Interim Exchange Date Party A Interim Exchange Amount Party B Interim Exchange Amount Final Exchange Date Party A Final Exchnage Amount Party B Final Exchange Amount Business Days Business Days for First Currency Business Days for econd Currency Business Day Convention Calculation Agent Page 1 of 4 Asset Linked Inflation wap

3 Material Economic erm IR wap or Cross CCY wap Cap Floor Collar Material Economic erms: Interest Rates FRA elf Compounding O/N IR wap waption or waption traddle Mark to Market CCY wap Y Locks Zero Coupon Inflation wap Option tyle eller Buyer Premium Premium Payment Date Business Day Convention for Premium Payment Date Business Days for Payments Exercise Business Day Exercise Commencement Date Exercise Bermuda Option Exercise Dates Exercise Expiration date Earliest Exercise ime Latest Exercise ime Expiration ime Partial Exercise Multiple Exercise Minimum Notional Amount Maximum Notional lamount Integral Multiple Automatic Exercise hreshold Fallback Exercise ettlement Cash ettlement Cash ettlement Valuation ime Cash ettlement Valuation Date Valuation Business Days Cash ettlement Payment Date Business Day Convention for Cash ettlement Payment Date Cash ettlement Method Cash ettlement Currency ettlement Rate Cash ettlement Reference Banks uotation Rate Underlying Payer wap Fixed Rate Payer Buyer Asset Linked Inflation wap Page 2 of 4

4 Material Economic erm IR wap or Cross CCY wap Cap Floor Collar Material Economic erms: Interest Rates FRA elf Compounding O/N IR wap waption or waption traddle Mark to Market CCY wap Y Locks Zero Coupon Inflation wap Underlying Payer wap Floating Rate Payer eller Underlying Receiver wap Fixed Rate Payer eller Underlying Receiver wap Floating Rate Payer Buyer Optional Early ermination Optional Early ermination date Mandatory Early ermination Mandatory Early ermination Date Business Day Convention for Mandatory Early ermination Date Constant Currency Payer Variable Currency Payer Currency Exchange Rate Link to Definitions Payment Date Reference reasury Reference Rate Index Rt Rate Cash Payment Amount (Unwind Calc DV01 or priceor Other) Index Final Reference Index Primary Lag for Final Reference Index econdary Lag for Final Reference Index Initial Reference Index Primary Lag for Initial Reference Index econdary Lag for Initial Reference Index Related Bond Fallback Bond Real Rate Clearing applicable Clearing venue Asset Linked Inflation wap Page 3 of 4

5 Material Economic erm IR wap or Cross CCY wap Cap Floor Collar Material Economic erms: Interest Rates FRA elf Compounding O/N IR wap waption or waption traddle Mark to Market CCY wap Y Locks Zero Coupon Inflation wap Asset Linked Inflation wap KEY uote Information () ransaction Information () tatic Information () Information that needs to be updated with every price, if applicable to the swap. Information that needs to be updated for every swap requested, if applicable to the swap. Information that needs to be communicated and available by reference for every swap requested along with the Commodity Definitions, if applicable to the swap. Page 4 of 4

6 Material Economic erms: Foreign Exchange Material Economic erm Option NDF NDO Forward Volatility wap Variance wap Correlation wap Binary / Digital Option Buyer eller Premium Fixed FX Rate Payer Floating FX Rate Payer Fixed FX Rate Long Correlation Party hort Correlation Party Correlation trike Level Currency Option tyle (European / American) Currency Option ype (Call / Put) Call Currency and Call Currency Amount Put Currency and Put Currency Amount trike Price Expiration Date Expiration ime Latest Exercise ime Exercise Period ettlement Date Premium Payment Date ettlement Amount Reference Currency Buyer Reference Currency eller Notional Amount Vega Notional Amount Forward Rate Currency Pair First Currency Pair econd Currency Pair Reference Currency Reference Currency Notional Amount Valuation Date ettlement Currency If a ransaction Fee is payable ransaction Fee If a ransaction Fee is payable ransaction Fee Payment Date If a ransaction Fee is payable ransaction Fee Payer Rate ource ponsor pecified ime Mean Adjustment Applicable / Inapplicable Annualization Factor If Other than Daily Observations Observation Dates For Daily Observations Initial Observation Date For Daily Observations Final Observation Date Observation Dates / Period Definition of Correlation ettlement Rate Option Page 1 of 2 Barrier Option

7 Material Economic erms: Foreign Exchange Material Economic erm Option NDF NDO Forward Volatility wap Variance wap Correlation wap Binary / Digital Option Barrier Option First ettlement Rate Option econd ettlement Rate Option Disruption Events Disruption Fallbacks Disruption Fallbacks Price ource Disruption Fallback Reference Price (if applicable) Other Disruption Fallbacks Price Materiality Other Disruption Fallbacks Primary Rate Other Disruption Fallbacks econdary Rate Other Disruption Fallbacks Price Materiality Percentage Relevant Cities for Business Day(s) for Valuation Date: Relevant City for Business Day for ettlement Date: Deferral Period for Unscheduled Holiday Unscheduled Holiday Valuation Postponement for Price ource Disruption Fallback urvey Valuation Postponement Cumulative Events Maximum Days of Postponement Maximum Days of Disruption Business Days Business Day Convention Relevant City / Cities for Business Days Calculation Agent Amount and currency payable by Party A Amount and currency payable by Party B Event ype If ingle Barrier Event pot Exchange Rate Direction / Initial pot Price If ingle Barrier Event Barrier Level If Double Barrier Event Lower Barrier Level If Double Barrier Event Upper Barrier Level If Double Barrier Event Initial pot Price For "Window" Event Period Event Period tart Date and ime For "Window" Event Period Event Period End Date and ime If Barrier(s) are ested on Discrete Date(s) Barrier Event Determination Date(s) KEY uote Information () ransaction Information () tatic Information () Information that needs to be updated with every price, if applicable to the swap Information that needs to be updated for every swap requested, if applicable to the swap Information that needs to be communicated and available by reference for every swap requested along with FX Definitions, if applicable to the swap Page 2 of 2

8 Material Economic erms: Commodities Material Economic erm Option waption wap Basis wap Basket Index wap rade Date Effective Date ermination Date Commodities Commodity Reference Price uantity Unit (barrels, bushels, metric tonnes) uantity Frequency (daily, weekly, monthly) Grade (ultra low sulfur, ingapore 180) Notional Amount Notional uantity Notional uantity Per Calculation Period otal Notional uantity Notional uantity Decrease / Increase Notional Allocation Optional Early ermination (full, partial) ransaction Currency (UD) Business Day (London, New York) Business Day Convention (Following) Commodity Business Day Commodity Business Day Convention (Following) Calculation Agent Futures Contract (CBO Corn, NYMEX heating oil) Futures Contract Month (May 2013, Dec 2014) Roll chedule Calculation Periods (monthly, annual) Pricing Dates (bullet, average) Reset Dates (index level, notional, strike) Method of Averaging (pricing dates, last day) Fixed Price Payer Fixed Price Floating Price Payer Floating Price Floating Rate Payer A Floating Rate A Floating Rate Payer B Page 1 of 3

9 Material Economic erms: Commodities Material Economic erm Option waption wap Basis wap Basket Index wap Floating Rate B ype of Return (excess return, total return) Bill Rate (total return) Common Pricing Replication Fees Variance Buyer Variance eller Volatility trike Level/Variance trike Level Vega Notional Amount Realized Variance Variance Amount Barrier Levels (single, lower, upper) Observation Dates ettlement Method (cash, physical) ettlement Frequency (monthly, one time) EF / EOO ettlement ettlement Dates Option Buyer Option eller Option ype (call, put) Option tyle (European, American, Asian) trike Price Premium Premium Payment Date Expiration Date Automatic Exercise Exercise Dates (Bermuda) Exercise Period (American) Multiple Exercise Partial Exercise Market Disruption Events Disruption Fallbacks Maximum Days of Disruption Change in Law Index Disruption Events (cancellation, modification) Page 2 of 3

10 Material Economic erms: Commodities Material Economic erm Option waption wap Basis wap Basket Index wap Index Disruption Fallbacks (replication, termination) Collateralization Independent Amount Independent Amount Payer Independent Amount Receiver Independent Amount Payment Date KEY uote Information () ransaction Information () tatic Information () Information that needs to be updated with every price, if applicable to the swap. Information that needs to be updated for every swap requested, if applicable to the swap. Information that needs to be communicated and available by reference for every swap requested along with the Commodity Definitions, if applicable to the swap. Page 3 of 3