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


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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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