Swap Subtypes

Packages

Curve

Two trades of different maturity that are transacted as a risk (DV01) neutral package at the same time. For full definition and mechanics see here.

Butterfly

Three trades, all of different maturities, that are transacted as a risk (DV01) neutral package at the same time. The middle maturity leg is twice as large in DV01 terms as the shortest and longest legs. For full definition and mechanics see here.

Spreadover

A spot starting USD swap transacted against an on-the-run benchmark US Treasury bond.

Compression

A series of cleared trades transacted concurrently to reduce gross outstanding notional and line items at a clearing house. Definition and mechanics are here.

List

A series of uncleared trades transacted concurrently. This may also be termed “bilateral” or “multilateral” compression and is typically transacted to reduce the gross notional of uncleared trades between 2 or more counterparties. We also include single period swaps that are transacted to replicate FRAs within this category.

Outrights

Spot

Spot starting plain-vanilla swap trade, the most common type.

IMM

IMM date start swaps (3rd Wed in Mar, Jun, Sep, Dec), see IMM Rolls.

MAC

Market Agreed Coupon Swaps, see SIFMA.

Fwd

Forward starting swaps.

NStd

Non-Standard Swaps, where the fixed rate by itself is not sufficient as a price indicator e.g. Libor Spread.

Back Start

Swaps with start date in the past, as reported late (after trade date) or back-loaded.