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0 VOTE

Status Future consideration

Categories Strategic

Created by Mark Zumbraegel

Created on Oct 29, 2020

Brazil IPCA Indexation support - Swap Deals

Brazil has a unique type of indexation that Qt currently does not support. This type of indexation is used both for gov & corporate sector securities (Bond like instruments) and for corporate borrowing/lending (Yield CDI). This idea is to support this for Interest Rate & XCCY Swaps. Additionally, in the Brazil Market, the IPCA leg on a XCCY Swaps are non-deliverable.

Attached spreadsheet and Term Sheet are from AES

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Brazil IPCA Indexation support - Swap Deals