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Badlar rate / Fixed Rate Swap
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Product code
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SBDFI
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Underlying asset
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Private Badlar interest rate for deposits over 1 million pesos with a maturity of 30-to-35 days (according to SISCEN-0002 or whichever may replace it) versus fixed rate in pesos
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Trading environment
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Oct-08
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Trading hours
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From 10:00 am to 3:00 pm
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Contract size
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$ 100.000.-
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Minimum trading unit
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1 contract and multiples thereof
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Múltiplos de negociación
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1 contract and multiples thereof
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Quotation
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Nominal annual fixed rate in pesos, Actual/365 basis, to 2 decimal places
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Minimum quote fluctuation
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0.01% nominal annual Actual/365 basis
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Tick value
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0,0001 x Q x VC x d / 365
Where
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Q: Number of contracts
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VC: Contract size
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d: number of actual days between the execution date (or the previous reset date, whichever was last) and the new reset date
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Tick value is expressed in pesos.
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Closing price
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Since settlement is performed on the basis of the data disclosed by the BCRA through the corresponding Communications, it is not necessary to determine closing price.
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Maturity
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3 months to 5 years
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Reset
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Monthly (last day of each month). If the last day of each month is not a business day, the payment will be executed on the first following business day using the indices of the last day of the corresponding month. The first month can be irregular.
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Funds settlement
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Funds settlement will be made according to the specifications indicated under 'Reset' and to the following formulae:
Where
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Q: Number of contracts
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VC: Contract size
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Fixed Rate: rate at which the trade was executed
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d: number of actual days between the execution date (or the previous reset date, whichever was last) and the new reset date Basis: day count basis for the calculation of the rate, here 365
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Badlar: it is the Badlar rate informed by the BCRA
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I: it is each of the days in which the Badlar rate was disclosed by the BCRA from the two days prior to the execution date or the previous reset date, whichever occured last, and up to two days prior to the new reset date.
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Trade valuation in pesos
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Q x VC
Where
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Q: Number of contracts
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VC: Contract size
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Impact on credit lines (set in pesos)
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VP x (PA /100) / PN
Where
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VP: Valuation in pesos (see previous)
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PA: Utilization percentage (defined by the broker)
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Trade valuation in dollars
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Q x VC / TC
Where
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Q: Number of contracts
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VC: Contract size
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TC: Exchange rate in Com. "A" 3500 of the previous business day
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Impact on credit lines (set in dollars)
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VD x (PA /100) / PN
Where
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VD: Valuation in dollars (see previous)
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PA: Utilization percentage (defined by the broker)
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Impact on credit lines term
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Trades will impact on the terms defined by the brokers according to the number of days between execution date and maturity date. Trades with more than 999 days between execution date and maturity date will impact on the 5th credit lines term (even if this term is not defined by the broker).
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Impact on guarantees
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VP x PG
Where
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VP: Valuation in pesos (see above)
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PG: Guarantees percentage (requested by the brokers according to Complementary Provisions)
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