Swap (non-CCP) - SOFR Curve Calculated

Optional

Non-Centrally Cleared Non-Constant Cashflow Swap – Calculated SOFR Curve

Calculation of product valuation by the new international interest curve will be done automatically by B3’s system.

B3 monitors the movements and evolution of the Brazilian and international capital markets on a daily basis seeking to anticipate trends. One such trend is the imminent replacement of the Libor (London Interbank Offered Rate) with other international interest rate curves like the SOFR (Secured Overnight Financing Rate).

We are preparing to develop on the NoMe platform's Non-CCP Swap Module a calculation methodology for automatic valuation of non-constant cashflow swap contracts based on the SOFR curve. The calculation methodogy was discussed and developed in partnership with the market.

Project Tags:

OTC

Completed

Derivatives

Product benefits

Ação Automática

A automação do cálculo de valorização da SOFR reduz o trabalho operacional das instituições envolvidas na transação, eliminando a necessidade de realizar lançamentos mensais, em todas as datas de eventos e no vencimento do contrato.

Construção conjunta

A metodologia de cálculo foi construída em parceria com o mercado, especialmente bancos múltiplos e de investimentos.

Aderência ao mercado

Para o desenvolvimento, foram consideradas as práticas e necessidades dos players do segmento.

New Calculated SOFR Curve Will Be Available for Registration Both Via Screen and Files

For this, screens and files will be adapted to the Non-Constant Cashflow Swap Module as anticipated in External Communication 051/2021-VPC and detailed below.

• Swap > Entries > Contract Registration - Non-Constant Flow

• Swap > Entries > Non-Constant Cashflow Registration

• Swap > Entries > Contract Change - Non-Constant Flow

• Swap > Entries > Non-Constant Cashflow Change

• Contract Registration - Non-Constant Flow

• Registration of Non-Constant Contract Flow – Receive files

• DPOSICAO – Swap

• DFLUXO_SWAP

• DFLUXOEMISSOESMERCADO

The Formula Book underway presents all the parameters that can be used in a Non-CCP Swap contract with the SOFR (Secured Overnight Financing Rate) international interest curve.

The document guides users of the NoMe platform's Non-CCP Swap Module on understanding the calculation methodology and accuracy criteria used in updating the parameters that make up a Swap contract registered with B3. Click here to learn more.

Swap Contracts are a hedging instrument against price fluctuations.