Derivatives Desk

Currency and interest rate risk management solutions

Derivatives Desk

About Derivatives Desk

Actively mitigate your company’s currency and interest rate risks with HDFC Bank’s Derivatives Desk.

Meet your risk management objectives with a range of plain vanilla and exotic derivatives, including second generation exotics.

Benefit from our expertise and broad portfolio of products, including interest rate swaps, caps, floors, short-dated and long-dated currency options, cross currency swaps embedded with options and swaptions.

Swap classification

Fixed to Floating: Customer receives cash flows at a fixed rate of interest and simultaneously pays cash flows at a floating rate of interest or vice versa. The cash flows are calculated on a Notional Principal amount. The floating rate of interest is usually determined by reference to a transparent benchmark.

Floating to Floating: Both the counter-parties exchange interest amounts based on two different floating reference rates, through the life of the swap.


Trade date is the date the counterparties agree on the swap conditions. Effective date is the date that the swap becomes effective, i.e. when the interest obligations start to accrue.

Maturity date is the date the swap stops accruing interest and terminates.


Market quotations for swaps are usually quoted against standard benchmark / index rates and non-amortising national principal, free from the margin actually payable in the cash market by the relevant counterparties. The rate is thus quoted flat and any amortising structure that envisages a customised rate is adjusted accordingly.


In the case of Rupee IRS banks, primary dealers and financial institutions are allowed to enter into swaps for the purposes of hedging their exposure as well as for market making. Other corporate customers are allowed to enter into Rupee IRS ONLY for the purposes of hedging the interest rate risk on an underlying asset/liability.

In the case of non-Rupee IRS all participants are allowed to enter into these transactions only for the purposes of hedging an underlying exposure.

Exceptional Expertise in Rupees Derivatives Market

The HDFC Bank Derivatives Desk has earned a stellar reputation for its rupee derivatives operations

We are one of the most aggressive players in this segment of the market. The desk leverages the bank’s large balance sheet and market presence to provide corporate customers a unique advantage in rupee derivatives. We meet our customer’s needs with active market marking and trading.

For more details, write to us at

“Please refer to OTC Derivative Product Disclosure Statements for the features and risks associated with the above products."