Callable Total Return Swap T+1 Settlement Convention

Summary

The document clarifies the meaning of a T+1 call feature in an equity total return swap. T+1 refers to settlement timing: when the swap is called on date T, its cash value is determined at that time and payment settles one day later. The explanation applies to the swap’s cash value regardless of whether its equity leg is paired with a fixed or floating payment leg.

The question mentions an accrual structure and asks whether the price is fixed at the call and paid the following day. The response confirms the timing distinction between determining value on the call date and settling on the next day. It does not describe how the swap’s value is calculated, how accrued amounts are handled, or the precise contractual terms. Those details depend on the particular equity return swap documentation and payment conventions.

Key ideas

• Callable T+1 means the swap cash value is set on the call date and settles one day later.
• The timing convention applies across different equity swap leg structures.
• The settlement label does not specify the valuation method or treatment of accrued amounts.

Tags

# Callable Total Return Swap pricing


# Callable Total Return Swap pricing












I need to price a callable Equity Return Swap by Accrual. ERS has property callable T+1 and I don't get it. Does it mean that when a call happen we fix a price that and pay Accrual the next day? Could you please go over it a bit?

The structure is Fixed leg vs Equity leg

## Answer by Thomas Boyd (score 2, accepted)

https://quant.stackexchange.com/a/54056

T+1 usually refers to the settlement convention a trade will follow. In general, the settlement date is the date when a trade is final, and the buyer must make payment to the seller while the seller delivers the assets to the buyer.

Callable T+1 indicates that when a Equity Total Return Swap is called, the cash value of the swap will be determined at call date (T) and settle one day forward (T+1). You don't specify exactly what kind of ETRS you are considering (Rec Equity vs. Pay Float, Rec Equity vs. Pay Fixed etc.), but this convention should hold true for any structure.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.