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Could someone indicate me what is the ISDA convention for IRS maturity dates ?

I mean, when two counterparties enter in a new IRS, is the maturity date to be defined in the contract totally free (ex: maturity date in 3 years, 8 months and 9 days) or should the maturity be a common tenor like 1M, 3M, 1Y, 10Y...

I assume it will be generally a common tenor to match payments schedule but is it also possible to define a totally free maturity date in an IRS agreement ?

Thank you

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Two counterparties can agree any date they choose as the maturity date. IRS, being bilateral over the counter derivatives, are completely customizable. Having said that, on any given day the most heavily traded IRS are those with a standard maturity such as 2yr, 5yr, 10yr.

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  • $\begingroup$ ISDAFIX for example reports the rates for the following maturities every day 1,2,3,4,5,6,7,8,9,10,12,15,20,25,30 years for EUR, GBP, USD swap markets. So these maturities can be considered standard. theice.com/iba/ice-swap-rate $\endgroup$ – Alex C May 6 '18 at 1:01
  • $\begingroup$ Thank you. I have a complementary question. If a Swaption is cash settled, how the settlement amount can be determined if the maturity of the underlying Swap is a customized one ? Because Swaps quotations are only available for standard maturities. $\endgroup$ – Olivier May 6 '18 at 10:44
  • $\begingroup$ I'm sure that is pretty rare. One of the counterparties would be the Calculation Agent and would suggest a settlement amount. The other counterparty could either agree, or demand that a panel of 5 Reference Dealers be appointed and their average quotation would be the settlement amount. $\endgroup$ – dm63 May 6 '18 at 11:51
  • $\begingroup$ I understand. Thank you very much for your answers. $\endgroup$ – Olivier May 6 '18 at 12:26

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