4.1.4 Settlement Method for IROs
Table 4-24 Settlement Method for IROs
| IRO Type | Expiration Style | Exercise Method | Settlement on |
|---|---|---|---|
|
Caps |
European only |
Auto only |
Schedule maturity |
|
Floors |
European only |
Auto only |
Schedule maturity |
|
Collars |
European only |
Auto only |
Schedule maturity |
|
Corridors |
European only |
Auto only |
Schedule maturity |
|
Swaptions |
American, Bermudan or European |
Manual only |
For American expiration style: Any day between the earliest exercise date and contract maturity date (both included). For Bermudan expiration style: On pre defined exercise dates or on contract maturity date. For European expiration style: Only on contract maturity date. |
Parent topic: OT Contract