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simteq
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Joined: July 8th, 2016, 2:35 pm

Interest Rate Vanilla Swap derivation for SA-CCR

May 6th, 2016, 11:06 am

Hi, I am new to this as an IT Developer looking at how to code various trade formats for the Basel SA-CCR calculations. The calcs need to know whether a trade is Long or Short and as a general rule, LONG implies ownership ie. Buying or Receiving in this case a particular currency. In an IR Vanilla swap the counterparty both buys and sells the same currency so my question is, how to determine whether the trade is Long or Short. I believe pre SA-CCR each leg of the swap was treated individually so no problem but now it is just one trade
 
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DavidJN
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Joined: July 14th, 2002, 3:00 am

Interest Rate Vanilla Swap derivation for SA-CCR

May 9th, 2016, 4:22 pm

This question pops up so many times. Long in a vanilla single currency interest rate swap means you are receiving fixed and paying floating.
 
simteq
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Interest Rate Vanilla Swap derivation for SA-CCR

May 10th, 2016, 5:27 am

Hi, thanks again for the response, do you know of a decent website that contains this kind of info as I have to go through all 5 asset classes
Last edited by simteq on May 9th, 2016, 10:00 pm, edited 1 time in total.
 
simteq
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Joined: July 8th, 2016, 2:35 pm

Interest Rate Vanilla Swap derivation for SA-CCR

May 10th, 2016, 5:28 am

Hi, thanks for the prompt response, much appreciated, unfortunately I suspect there will be more of these kind of questions
 
workwiseinc
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Joined: July 8th, 2016, 2:37 pm

Interest Rate Vanilla Swap derivation for SA-CCR

May 24th, 2016, 2:16 pm

Dear Sir/ Ma,I am a mandate to an Investment Company who is a premier provider of trade finance and project finance instruments as well as discountable bank instruments;We are specialist in providing Genuine Bank Guarantees, Standby Letter of Credit, Pre Advice / RWA Messages, Documentary Letters of Credit, Bank Draft, Proof of Funds, Performance Bond, Medium Term Notes, and various SWIFT messaging services on lease and sale. We issue these instruments from prime banks, secondary banks, and financial institutions; and transmit SWIFT MT 760, MT 799, MT199, MT999 and other messages on behalf of our clients.We offer certifiable and verifiable bank instruments via Swift Transmission from a genuine provider capable of taking up time bound transactions. We are RWA ready to close leasing with any interested client in few banking daysKindly contact for genuine inquiries and I can provider you with the needed information.Email: [email protected]: bglease.sekaran
 
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bearish
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Joined: February 3rd, 2011, 2:19 pm

Interest Rate Vanilla Swap derivation for SA-CCR

May 24th, 2016, 3:57 pm

QuoteOriginally posted by: workwiseincDear Sir/ Ma,I am a mandate to an Investment Company who is a premier provider of trade finance and project finance instruments as well as discountable bank instruments;We are specialist in providing Genuine Bank Guarantees, Standby Letter of Credit, Pre Advice / RWA Messages, Documentary Letters of Credit, Bank Draft, Proof of Funds, Performance Bond, Medium Term Notes, and various SWIFT messaging services on lease and sale. We issue these instruments from prime banks, secondary banks, and financial institutions; and transmit SWIFT MT 760, MT 799, MT199, MT999 and other messages on behalf of our clients.We offer certifiable and verifiable bank instruments via Swift Transmission from a genuine provider capable of taking up time bound transactions. We are RWA ready to close leasing with any interested client in few banking daysKindly contact for genuine inquiries and I can provider you with the needed information.Email: [email protected]: bglease.sekaranSpam. And not the exciting kind, either.
 
simteq
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Interest Rate Vanilla Swap derivation for SA-CCR

May 24th, 2016, 6:03 pm

Hi bearish, thanks for the warning
 
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Hansi
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Joined: January 25th, 2010, 11:47 am

Interest Rate Vanilla Swap derivation for SA-CCR

May 25th, 2016, 10:51 am

QuoteOriginally posted by: simteqHi, thanks again for the response, do you know of a decent website that contains this kind of info as I have to go through all 5 asset classesMaybe look around and see if you can get someone's old CFA books for free? IIRC this is covered in level 2. Neftci/Kosowski's book should cover a bunch of stuff like this at surface level.
 
simteq
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Joined: July 8th, 2016, 2:35 pm

Interest Rate Vanilla Swap derivation for SA-CCR

May 25th, 2016, 2:09 pm

HiThanks for taking the time to help with this, I am trying to cover all asset classes and a good smattering of trade types, and have got it down to 60 so far so any help is much appreciated.David