A description of rates (linear rates and volatility), credit and FX instruments is set out in the tables below.
| IR INSTRUMENT TYPE | Description | MARKET DATA |
|---|---|---|
| IborFixingDeposit | An Ibor fixing deposit is a financial instrument that provides a floating rate of interest for a specific term, which is effectively an exchange of a fixed rate and a floating rate based on an Ibor index on the term end date | The Ibor fixing deposit's fixed rate |
| TermDeposit | A Term deposit is a financial instrument that provides a floating rate of interest for a specific term, which is effectively an exchange of a fixed rate and a floating rate based on an Ibor index on the term end date | The Term deposit's fixed rate |
| IborFuture | An Ibor future is a financial instrument that is based on the future value of an Ibor index interest rate. The profit or loss of an Ibor future is settled daily | The Ibor future's price |
| ForwardRateAgreement | A Forward Rate Agreement (FRA) is a financial instrument that represents the one-off exchange of a fixed rate of interest for a floating rate at a future date | The FRA's fixed rate |
| IMMForwardRateAgreement | An IMM Forward Rate Agreement (FRA) is a financial instrument that represents the one-off exchange of a fixed rate of interest for a floating rate at a future IMM date | The IMM FRA's fixed rate |
| FixedIborSwap (*) | In a fixed vs Ibor swap, there are two legs, one with a fixed rate and the other a floating rate against an Ibor index | The swap's fixed rate |
| IborIborSwap (*) | In an Ibor basis swap, there are two floating rate legs against an Ibor index | The swap's margin rate |
| FixedOvernightSwap (*) | In a fixed vs overnight swap, there are two legs, one with a fixed rate and the other a floating rate against an overnight index | The swap's fixed rate |
| XCcyIborIborSwap (**) | In a cross-currency Ibor vs Ibor swap, there are two floating rate legs which each reference an Ibor index in a different currency | The swap's margin rate |
| XCcyOvernightOvernightSwap (**) | In a cross-currency Overnight vs Overnight swap, there are two floating rate legs which each reference an Overnight index in a different currency | The swap's margin rate |
| XCcyIborOvernightSwap (**) | In a cross-currency Ibor vs Overnight swap, there are two floating rate legs in a different currency where one references an Ibor index and one references an Overnight index | The swap's margin rate |
| XCcyFixedOvernightSwap (**) | In a cross-currency Fixed vs Overnight swap, there are two rate legs in a different currency where one references a fixed rate and one references an Overnight index | The swap's fixed rate |
| Bond Yield | For the valuation of loan notes, cashflows will be discounted using a bond yield curve | The bond's yield |
| Instrument Type | Description | Market Data |
|---|---|---|
| Swaption ATM | A swaption is a financial instrument that provides an option based on the future value of an interest rate swap with a fixed rate defined as the option's strike. The option is European, i.e. exercised only on the exercise date. | The market implied volatility of the At-The-Money (ATM) swaption price |
| Swaption Skews | A swaption is a financial instrument that provides an option based on the future value of an interest rate swap with a fixed rate defined as the option's strike. The option is European, i.e. exercised only on the exercise date. | The market implied volatility of the swaption price per strike or moneyness |
| Cap / Floors | An Ibor cap/floor is a financial instrument that provides a set of call/put options on successive Ibor rates, known as Ibor caplets/floorlets. | The market implied volatility of the cap/floor price |
| Inflation Vols | The short-term volatility of the inflation rate | The short-term volatility of the inflation rate |
| Instrument Type | Description | Market Data |
|---|---|---|
| CDS |
A CDS is a financial instrument where the protection seller agrees to compensate the protection buyer when the reference entity suffers a default. The protection seller is paid a periodic coupon from the protection buyer until the earliest of the expiry of the CDS contract or the reference entity defaults. | The CDS spread |
| Funding Spread | A funding curve represents the cost of funding for FCA and FBA calculations | The funding spread |
| Credit Index |
A Credit Index trade is a financial instrument where the protection seller agrees to compensate the protection buyer when any of the underlying reference entities suffers a default. The protection seller is paid a periodic coupon from the protection buyer until the earliest of the expiry of the Credit Index contract or all underlying reference entities have defaulted. The trade notional will be adjusted by the weight of the defaulted reference entity. | The Credit Index spread |
| Credit Index Tranche |
A Credit Index Tranche trade is a financial instrument where the protection seller agrees to compensate the protection buyer for losses associated to the underlying reference entities beyond and below certain thresholds. The protection seller is paid a periodic coupon from the protection buyer until the earliest of the expiry of the Credit Index Tranche contract or the losses exceeds the trade notional. The trade notional will be adjusted by the incurred loss amount. | The Credit Index Tranche spread |
| Instrument Type | Description | Market Data |
|---|---|---|
| FX | The spot FX rate | The spot FX rate |
| FxSwap | An FX Swap is a financial instrument that represents the exchange of an equivalent amount in two different currencies between counterparties on two different dates. | The FX points, i.e. the difference between the forward and spot FX rates |
| FX Vol | An FX option is a financial instrument that provides an option based on the future value of an FX rate. The option is European, exercised only on the exercise date. | The market implied volatility of the ATM FX option price |
| FX Vol Skew | Risk reversal (RR) is the difference between the volatility of the call price and the put price with the same moneyness levels. Butterfly (BF) is the difference between the average volatility of the call price and put price with the same moneyness level and ATM volatility level. | The skew RR or the skew BF |
