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Randor
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Joined: October 8th, 2005, 8:33 am

Daycount basis of broker quotes of cms swaps

February 10th, 2016, 7:42 pm

I am not sure what the daycount for the cms leg is for icap cms swap quotes. Icap seem to say act360 for eur , but, i would have expected it to be 30/360 (same as that of fixed leg of underlying index)
 
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Randor
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Daycount basis of broker quotes of cms swaps

February 16th, 2016, 1:36 pm

anyone trade cms swaps?
 
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DocToc
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Joined: January 20th, 2010, 9:32 am

Daycount basis of broker quotes of cms swaps

February 17th, 2016, 11:00 am

why don't you ask an options/exotics broker from there - they will be able to confirm. I would assume its 30/360 though as the CMS has to fix to something and this is usually ISDA which is 30/360 vs act360
Last edited by DocToc on February 16th, 2016, 11:00 pm, edited 1 time in total.
 
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pcaspers
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Location: Germany

Daycount basis of broker quotes of cms swaps

February 17th, 2016, 11:10 am

If this hasn't changed recently it is act360 (because the CMS leg pays quarterly just as the Euribor3M leg).
 
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DocToc
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Joined: January 20th, 2010, 9:32 am

Daycount basis of broker quotes of cms swaps

February 17th, 2016, 12:56 pm

so there is a published fixing a 10y swap say with act360 vs 3m EURIBOR act360?
 
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pcaspers
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Location: Germany

Daycount basis of broker quotes of cms swaps

February 17th, 2016, 5:23 pm

No, the fixing is the ISDA fixing which is based on traded standard swaps Annual fixed 30/360 vs 6m Euribor Act360 (for the 1y swap it is 3m Euribor). Still the CMS leg payments are decoupled from these conventions. Why not, the CMS rate is not related to the period of the structured payment in the CMS swap anyway.
 
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Randor
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Joined: October 8th, 2005, 8:33 am

Daycount basis of broker quotes of cms swaps

February 24th, 2016, 8:42 am

hi pcaspers,what about USD and CHF - both legs act/360 there too?and GBP both legs act/365 ?
 
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pcaspers
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Location: Germany

Daycount basis of broker quotes of cms swaps

February 24th, 2016, 8:53 am

QuoteOriginally posted by: Randorhi pcaspers,what about USD and CHF - both legs act/360 there too?and GBP both legs act/365 ?sorry, I don't know for other currencies than EUR