Interest Rate Swaps

In this section

• Plain Vanilla Interest Rate Swaps
  The basic fixed-for-floating swap structure, its uses, and its main risks in current Canadian markets.
• Interest Rate Swap Rate and Day Count Conventions
  How accrual conventions, reset methods, and benchmark terms determine swap interest payments.
• The Structure of an Interest Rate Swap
  How an interest rate swap is documented, priced, netted, collateralized, and managed through its lifecycle.
• Pricing an Interest Rate Swap
  How the par swap rate is set, how swap legs are valued, and why mark-to-market changes over time.
• Reading an Interest Rate Swap Pricing Schedule
  An in-depth exploration of how dealers publish preliminary swap rates across various maturities, illustrating market-driven adjustments and credit considerations for interest rate swaps.
• Credit Risk in Interest Rate Swaps
  Explore how credit risk arises in interest rate swaps, the steps counterparties take to mitigate it, and the Canadian regulatory framework for managing it.
• Terminating an Interest Rate Swap
  How swaps are unwound, offset, or terminated early and what close-out amounts and documentation controls matter.
• Why Interest Rate Swaps Are Used by Investors
  Discover how interest rate swaps transform exposures, lower borrowing costs, and manage interest rate risk for Canadian firms, financial institutions, and global market participants.
• Deliverable Interest Rate Swap Futures & Centrally Cleared Swaps
  Explore the mechanics, benefits, and practical applications of deliverable interest rate swap futures and centrally cleared swaps. Learn how these instruments manage counterparty risk, improve transparency, and hedge interest rate exposures effectively.
• Other Types of Interest Rate Swaps
  Explore floating-to-floating (basis) swaps, amortizing swaps, accreting swaps, and forward start swaps, along with practical use cases, risk considerations, and regulatory oversight in the Canadian market.
• Swaptions
  Explore the mechanics, uses, and regulations of swaptions in the Canadian market, including payer and receiver swaptions, valuation strategies, and practical hedging applications under CIRO oversight.
• Transition from CDOR to CORRA in Canada and the Global LIBOR Phase-Out
  Why CDOR ended, how CORRA replaced it in Canadian markets, and what fallback and legacy-swap issues mattered.
• Mandatory Clearing Thresholds for Certain Swaps
  An in-depth look at the clearing thresholds required under Canadian regulations, focusing on how they mitigate systemic risk and ensure compliance with interest rate swaps.
• Advanced Uses (Hedging Corporate Bonds or Floating-Rate Notes)
  Explore how interest rate swaps provide flexible solutions for hedging corporate bonds and floating-rate notes, featuring practical examples, regulatory insights, and real-world strategies.