Interest Rate Options

AFMAdata Interest Rate Options reference pricing for Caps & Swaptions are based on mid prices quoted by the Contributing Banks listed below and provides independent & transparent end-of-day (EOD) reference rates for revaluation of an organisation’s Australian Dollar IRO risk positions.

CALCULATION:

Interest Rate Options (Caps & Swaptions) EOD reference mid prices for each period will be provided daily by the contributing financial organisations to enable mid prices for all periods to be calculated.

Contributed EOD IRO mid prices received will have an elimination process applied, with the highest and lowest prices eliminated. The remaining eligible mid prices for each period will be then averaged and rounded to the nearest 2 (two) basis points to produce AFMA ‘IRO’ EOD reference mid prices.

If 5 or less contributions are received, the EOD reference mid prices will be calculated with no elimination process being undertaken. The screen will also display an ‘ * ’ to denote that the required number of contributions were not received for that particular day.

If less than 3 contributions are received no EOD reference mid price will be published for that day.

Contributed Cap prices are displayed on page IROPEOD on a row-by-row basis across all tenors and will not necessarily belong to the same contributor.

Caps:

Cap mid prices are produced at EOD for various tenors on the following basis:

1, 2, 3, 4, 5, 7 and 10 year

Indicative strike prices are displayed and are sourced from the AFMAdata IRSWEOD process and displayed with the Cap mid prices.

Swaptions:

Swaption mid ‘straddle’ prices are produced at EOD for various tenors on the following basis:

1 month / 1 year, 1 month / 3 year, 1 month / 5 years, 1 month / 10 years

3 months / 1 year, 3 months / 3 year, 3 months / 5 year, 3 month / 10 year

6 months / 1 year, 6 months / 3 year, 6 months / 5 year, 3 month / 10 year

1 year / 1 year, 1 year / 3 year, 1 year / 5 year, 1 year / 10 year

2 year / 1 year, 2 year / 3 year, 2 year / 5 year, 2 year / 10 years

5 year / 5 year

BASIS:

Start date is ‘Spot’, meaning settlement tomorrow.

Indicative strike prices for Caps are published as a guide only and are all on a quarterly basis.

Sydney business days are weekdays (Monday to Friday) other than NSW public holidays. For further detail on AFMA “business day” conventions, please refer to the AFMA web site http://www.afma.com.au/ Practices, Standards & Documentation / OTC Market Conventions / Sydney Business Day or see specific OTC Financial Product Conventions under the same section.

REVALUATION:

Price contributions are provided for each tenor as at 4.30 p.m. Sydney time to reflect each panellist’s view of EOD mid prices as defined above.

Prices are provided on a Sydney business day and must be updated between 4.30p.m. and 4.40p.m. for inclusion in AFMAdata EOD IRO & Swaption process.

AVAILABILITY:

Calculated AFMAdata IRO EOD reference mid prices will be available to all participating vendors and contributing financial institutions, no later than 5.00 p.m. on a Sydney Business Day.

CONTRIBUTING BANKS:

ABN AMRO Bank NV

Australian & New Zealand Banking Group Limited

Citibank Limited

Commonwealth Bank of Australia

Deutsche Bank AG

HSBC Bank of Australia

JP Morgan Chase

Macquarie Bank Limited

National Australia Bank Limited

SG Australia Limited

UBS Australia Limited

Westpac Banking Corporation

1.1 Caps

1 year

2 years

3 years

4 years

5 years

7years

10 years

1 year

Mid Price:

Indicative Strike (sourced from IRSWEOD)

Strike:

1.1 Swaption

1 month

3 months

6 months

1 year

2 years

5 years

1 year

Mid ‘Straddle’ Price:

3 year

Mid ‘Straddle’ Price:

5 year

Mid ‘Straddle’ Price:

10 year

Mid ‘Straddle’ Price:

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