Page 65 - NAFIF-2019-Facility-Reference-Guide

INTEREST RATE DERIVATIVES
Products included:
· Interest Rate Swaps
· Cross Currency Swaps of Two Years or More
· Interest Rate Options
· Caps, Collars, Floors, Swaptions
· Structured Notes with Returns Linked to Interest Rates and FX Rates (such as
hyper reverse dual currency notes, range bonds, step-up notes, etc.)

INVESTMENT-GRADE CREDIT BONDS
Products included:
· Investment-grade bonds-new issues and secondary trading (exclude
maturities of less than 2 years)
· Investment-Grade Credit default swaps (single name) U.S. only
· Investment-Grade Index products (CDX, I- Traxx) U.S. only
· Investment-Grade index options
Products covered only in Canada:
· Euro-Canadian Dollar Bonds
· Maple Bonds
· High Yield

HIGH-YIELD CREDIT
Products included:
· High yield bonds-new issues and secondary trading (exclude maturities of less
than 18 months)
· High yield credit default swaps (single name)
· High yield index products (CDX, I-Traxx, European Cross-Over )
· High yield index options

LEVERAGED LOANS
Products included:
· New Issue Leveraged Loans
· Secondary Par Loans

DISTRESSED BONDS AND LOANS
Products included:
· Distressed Bonds
· Distressed Loans
· Distressed equity (given to debt holders when a company in distress has been
restructured)
Related Products covered in other QARs:
· Leveraged (par) Loans

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