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| | Interest rate swap - Wikipedia, the free encyclopedia |
 | | Therefore, the swap will be an asset to one party and a liability to the other. | | | The fixed rate offered in the swap is the rate which values the fixed rates payments at the same PV as the variable rate payments using today's forward rates. | | | The swap requires from one party a series of payments based on variable rates, which are determined at the agreed dates of each payment. |
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http://en.wikipedia.org/wiki/Interest_rate_swaps
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| | Interest Rate Swap |
| | Interest rate swaps are the most common type of swap Normally at each payment or "settlement date,” the party who owes more pays the net amount; so at any given settlement date only one party actually makes a payment. | | | The company agrees to pay the bank a fixed rate of interest of 9%, on the notational principal according to a 3-year schedule of payments. | | | A binding agreement between counterparties to exchange periodic interest payments on some predetermined dollar principal, which is called the notional principal amount. |
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http://www.russell.com/us/glossary/derivatives/interest_rate_swap.htm
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| | What is an interest rate swap? interest rate swaps |
| | These securities pay interest on a periodic basis, they are issued with a wide range of maturities, principal is repaid only at maturity and at any given point in time the market values these securities to yield whatever rate of interest is necessary to make the securities trade at their par value. | | | Under the commonest form of interest rate swap, a series of payments calculated by applying a fixed rate of interest to a notional principal amount is exchanged for a stream of payments similarly calculated but using a floating rate of interest. | | | Since the fixed rate payments due under the swap are, by definition, fixed, this change in the prevailing interest rate environment will affect future floating rate payments only: current market expectations are that the future floating rate payments due under the swap will be higher than those originally expected when the swap was priced. |
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http://home.earthlink.net/~green/whatisan.htm
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| | Interest Rate Swap |
| | It is called an interest rate swap if both cash flow streams are in the same currency and are defined as cash flow streams that might be associated with some fixed income obligations. | | | The most popular interest rate swaps are fixed-for-floating swaps under which cash flows of a fixed rate loan are exchanged for those of a floating rate loan. | | | Swap cash flows are indicated as those received by the receive-fixed party. |
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http://www.riskglossary.com/articles/interest_rate_swap.htm
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| | Interest rate swap - definition of Interest rate swap in Encyclopedia |
| | Their "net value" on "a net present value basis, to settle at current market rates all outstanding derivative contracts" was (7,712) million and 8,139 million, which makes a total of 6,633 million when a "purchased options time value" of 8,139 million is added. | | | An interest-rate swap is one of the more common forms of over-the-counter derivative security transactions. | | | If rates turn the opposite way on a duration gap the cash flow from assets and liabilities may not match. |
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http://encyclopedia.laborlawtalk.com/Interest_rate_swap
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| | St.George Bank - Interest Rate Swap |
| | Variable interest rate borrowers would use Swaps to hedge their interest costs in a market where variable interest rates are expected to rise while fixed rate borrowers would use a Swap to take advantage of lower interest rates in a market where variable interest rates are expected to fall. | | | Swaps are used to assist in the management of interest rates and cash flows. | | | For example, annual interest payments can be converted into quarterly payments or quarterly payments into semi annual cash flows. |
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http://www.stgeorge.com.au/corporate/transaction/int_rate_rm/swap.asp?orc=institution
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| | Interest Rate Swap |
| | A company will typically use interest rate swaps to limit, or manage, their exposure to fluctuations in interest rates or to obtain a marginally lower interest rate than they would have otherwise been able to without the swap. | | | Often, interest rate swaps exchange a fixed payment for a payment that is not fixed, but rather linked to an interest rate (most often the LIBOR). | | | Interest rate swaps are simply the exchange of one set of cash flows (based on interest rate specifications) for another. |
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http://www.investopedia.com/terms/i/interestrateswap.asp
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| | Bob Jensen's Working Paper 231 on Valuation of Interest Rate Swap Contracts |
| | If swap receivables/payables are reported on balance sheets, it would seem more consistent that these balances be set at the net difference of the present value of future swap cash receipts discounted at their contracted r(t) rate minus the present value of future swap cash payables discounted at their contracted p(t) rate. | | | For example, the Year 0 rate is 24.41% for Company A and 24.41% for Company B. Note that the rates will not be equal if the swap is brokered in such a way that the bank charges a higher transactions fee to one party than what is charged to the other party in the swap. | | | Since the speculative interest rate risk exposures in some companies are in the millions or even billions of dollars, many analysts argue in favor of putting the swap receivables/payables on the balance sheet. |
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http://www.trinity.edu/rjensen/231wp/231wp.htm
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| | Interest rate swap |
| | The interest rate swap yield curve serves as a benchmark for interest rates in... | | | A Cancelable Interest Rate Swap allows customers to fix the net interest expense of their floating rate loans at a fixed rate below that which is currently... | | | For example, consider a fixed to floating rate interest rate swap involving the exchange of a periodic fixed rate payment for a periodic floating rate... |
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http://www.clothingselect.com/interest+rate+swap.html
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| | Bob Jensen's Document on Interest Rate Swap Valuation, Forward Rate Derivation, and Yield Curves |
| | Interest rate swaps are illustrated in Example 2 paragraphs 111-120, Example 5 Paragraphs 131-139, Example 8 Paragraphs 153-161, and other examples in Paragraphs 178-186. | | | is the swapping of one variable rate for another variable rate for purposes of changing the net interest rate or foreign currency risk. | | | A flat yield curve means that as interest rates rise and fall, short-term and long-term rates move together in lock step, and future cash flows are all discounted at the same current discount rate. |
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http://www.trinity.edu/rjensen/acct5341/speakers/133swapvalue.htm
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| | Judgement - Interest Rate Swap litigation management |
| | Under a fixed rate of interest loan, the borrower is insulated from any increase in interest rates and has the benefit of certainty, but does not reap any advantage from a fall in interest rates. | | | In all these cases the Council in question when entering into a swap was anticipating either a rise or a fall in interest rates generally, and the financial consequences, whether a profit or a loss, depended upon whether their anticipation proved to be correct. | | | Described very simply, under a Swap contract one party which has borrowed money at a fixed rate of interest swaps its interest obligation with another party which has borrowed at a variable rate of interest, or vice versa. |
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http://www.ucc.ie/law/restitution/archive/englcases/interest.htm
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| | Interest Rate Swap as supplied by EagleTraders.com |
| | Because the parties exchange only the interest payments without exchanging the underlying debt, interest rate swaps do not appear on the balance sheets of the participants, although the inflows and outflows from swap transactions show up on the income statement. | | | The typical swap transaction involved a firm with a high credit rating with a desire for short-term funds and a lower-rated company needing longer-term fixed-rate funds. | | | It has become common for companies to use the swap market to transform floating-rate debt into fixed-rate obligations, especially for savings and loans associations that traditionally have substantial gaps between the duration of their assets and that of their liabilities. |
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http://www.eagletraders.com/advice/securities/interest_rate_swap.htm
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| | plain-vanilla interest rate swap |
| | Normally, the floating rate paid at the end of each period is based on LIBOR at the beginning of the period. | | | A plain-vanilla interest rate swap is an exchange of a series of fixed interest payments for a series of floating interest payments, fluctuating with LIBOR (London interbank offer rate). | | | In this case, only the cash flows, not the principals, of the two types of debt are exchanged. |
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http://www.in-the-money.com/glossary/plain-va.htm
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| | [No title] |
| | Understanding the over-the-counter swaps market can give you a deeper insight into the capital flows that drive the bond markets, the way in which the companies whose stock you own manage their exposure to fluctuations in interest rates and the way banks and financial institutions make a great deal of their income. | | | Most swaps are priced to be at-the-money at inception meaning that the value of the floating rate cash flows is exactly the same as the value of the fixed rate cash flows at the inception of the deal. | | | The interest rate swap gives the less creditworthy entity a way of borrowing fixed rate funds for a longer term at a cheaper rate than they could raise such funds in the capital markets by taking advantage of the entity's relative advantage in raising funds in the shorter maturity buckets. |
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http://www.finpipe.com/intrateswaps.htm
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| | Interest-Rate Caps |
| | On those occasions the firm thought that interest rates were increasing and it seemed the sensible way to secure the firm’s funding costs. | | | With this protection, the firm is then free to benefit from lower interest rates if they come about. | | | On this occasion the Interest-Rate Swap would mean that the firm have to give up the possibility of lower borrowing costs. |
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http://www.fxfxnet.com/members/treasury/strategies/interest4.htm
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| | interest rate swap Definition |
| | Often, an interest rate swap involves exchanging a fixed amount per payment period for a payment that is not fixed (the floating side of the swap would usually be linked to another interest rate, often the LIBOR). | | | An exchange of interest payments on a specific principal amount. | | | Also, on a payment date, it is normally the case that only the difference between the two payment amounts is turned over to the party that is entitled to it, as opposed to exchanging the full interest amounts. |
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http://www.investorwords.com/2547/interest_rate_swap.html
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| | Drummer: Selectmen approve forward interest-rate swap for $10 million bond issue |
| | The forward-interest rate swap permits fixing a rate of interest on future borrowing. | | | Recently-passed legislation allows the town to set a rate at which bonding will be done in 2006, and to make principal payments in the interim. | | | At the November 3 meeting, the Board of Selectmen considered authorizing a forward-interest rate swap for a proposed $10 million bond issue. |
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http://www.granbydrummer.org/issues/2003/12/news/bond-issue.htm
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| | Green Interest Rate Swap Management: Interest Rate Swaps |
| | These are the reasons corporations are becoming involved more in interest rate swaps than futures as part of their treasury management. | | | GREEN INTEREST RATE SWAP MANAGEMENT we offer our services to corporate treasurers, fund managers, government entities and bankers to help them manage their debt service through interest rate swaps. | | | Finally, and most importantly, the interest rate swap is cheaper and requires less monitoring. |
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http://home.earthlink.net/~green
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| | Wilmott Forums - Pricing an Amortizing Interest Rate Swap |
| | This is called a balance guaranteed swap, where the notional follows the actual principal balance of a reference asset. | | | Then use an interest rate model (2 factor recommended if benchmark is long tenor, in fact, 2 factor recommended in general) to price the swap with stochastic amortization (given that amortization = F(stochastic benchmark) becomes stochastic). | | | I was trying to price a balance guaranteed swap and I used the "simplistic method". |
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http://www.wilmott.com/messageview.cfm?catid=4&threadid=4891
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| | Wilmott Forums - VaR of Simple Interest Rate Swap |
| | Then breaking apart the sums, a pay-fixed swap can be rewritten as a floating rate note minus a non-callable bond (having a coupon equal to the fixed rate of the swap and discounted with Libor). | | | Cross currency swaps often include a final exchange of notional; unless the FX rate magically valued both notionals the same when the final pay date rolled around, you may have considerable exposure to the principle. | | | If u are using the cf method, the floating cash flows obtained from a fwd curve, will reduce variability of the fixed side cfs. |
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http://www.wilmott.com/messageview.cfm?catid=4&threadid=5898
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| | Interest Rate |
| | Borrowing $1,000 at a 6% interest rate means that you would pay $60 in interest. | | | The monthly effective rate paid (or received, if you are a creditor) on borrowed money. | | | Expressed as a percentage of the sum borrowed. |
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http://www.investopedia.com/terms/i/interestrate.asp
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| | Interest Rate Swap - HSBC Bank Canada |
| | The main difference between using an interest rate swap versus the more traditional fixed rate loan is price: interest rate swaps are generally cheaper. | | | Similarly, this same product can be used to switch fixed rate debt into floating when interest rates are high and expected to fall. | | | Companies concerned with rising interest rates who wish to change their floating rate borrowing into fixed. |
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http://www.hsbc.ca/hsbc/business_en/fx-interest-risk/interest-rate-management/interest-rate-swap
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| | SSRN-Credit Risk and the Yen Interest Rate Swap Market by Young Eom, Marti Subrahmanyam, Jun Uno |
| | We obtain measures of the spreads of the swap rates over comparable Japanese Government Bonds (JGBs) for different maturities and analyze the relationship between the swap spreads and credit risk variables. | | | Thus, overall, the yen swap market was sensitive to credit risk during the period of our study. | | | In contrast to Japanese corporate bonds, we find that the yen swap spread is also significantly related to proxies for the long-term credit risk factor. |
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http://papers.ssrn.com/sol3/papers.cfm?abstract_id=218410
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| | Interest rate swap |
| | Plain vanilla: convert interest payments based on a floating rate into payments based on a fixed rate (or vice versa) | | | Contract between two parties to trade the cash flows corresponding to different securities without actually exchanging the securities directly. |
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http://www.uky.edu/~sjordan/fin450/CH11/sld020.htm
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| | Trading Risk and Volatility in Interest Rate Swap Spreads - Federal Reserve Bank of New York |
| | Specifically, we focus on convergence trading, in which speculators take positions on a bet that asset prices will converge to normal levels. | | | We investigate how the risks in convergence trading can affect price volatility in a form of positive feedback that can amplify shocks in asset prices. | | | This paper examines how risk in trading activity can affect the volatility of asset prices. |
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http://www.ny.frb.org/research/staff_reports/sr178.html
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| | Interest Rate Swap Example |
| | Assume a swap covers a five-year period and involves annual payments on a $1 million principal amount. | | | The Growing Impact of the Mortgage-Backed Securities Sector |
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http://www.allegiancecapital.com/sctn25i.html
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| | CBOT - Swaps 10 Yr Quotes Open Auction |
| | The notional price of the fixed-rate side of a 10-year interest rate swap that has notional principal equal to $100,000, and that exchanges semiannual interest payments at a fixed rate of 6% per annum for floating interest rate payments, based on 3-month LIBOR. | | | Find information on margins requirements for the 10 Year Interest Rate Swap Futures. | | | Contracts shall not be made on any other price basis. |
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http://www.cbot.com/cbot/pub/cont_detail/1,3206,1523+14436,00.html
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| | Judgement - Interest Rate Swap litigation |
| | On the contrary, I consider that in the exceptional circumstances of these cases, the public interest in minimising costs, particularly where there is a possibility of unnecessary duplication, carries equal weight. | | | Merton, but it is by comparison with the rest a fairly small claim, and Merton object to their selection on the ground that they are net claimants on their swap transactions as a whole. | | | On the present information available there are over 200 outstanding swaps cases involving several dozen banks and a greater number of local authorities. |
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http://www.ucc.ie/law/restitution/archive/englcases/interest2.htm
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| | CBOT - 5-Year Interest Rate Swap Futures Tick Reduction |
| | ABN-AMRO, the primary market maker in CBOT Interest Rate Swap futures, has gone beyond its contracted duties by providing markets in the Cash TOS, which spreads on-the-run cash Treasury notes against CBOT Swap futures. | | | Throughout, CBOT’s Wholesale Transaction facility has enabled participants to establish large positions at single prices through participant negotiation. | | | Since turn of year, open interest in 5-Year Swap futures has risen by 1,138 contracts, a 23% year-to-date increase. |
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http://www.cbot.com/cbot/pub/cont_detail/0,3206,1027+19300,00.html
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| | Hedging an OTC Swap: Interest Rate: Products |
| | Being a fixed rate "receiver" ("payer") on a swap is similar to being long (short) a note or bond and the hedge would involve selling (purchasing) futures contracts. | | | It's important to determine the value of a 1-basis point change in the yield on the notional amount of the cash interest rate swap to be hedged and the value of a 1-basis point change on the CME 5-year Swap futures. | | | The value of a 1-basis point change in yield on this cash $10 million notional interest rate swap is $4,486. |
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http://www.cme.com/trading/prd/ir/printerFriendly/swapfuture/hedgeotc2603.html
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| | Interest Rate Swap |
| | One party receives a fixed rate of interest in return for paying a floating rate of interest. | | | There is no exchange of principal but the interest amounts are calculated on a defined notional principal. | | | An Interest Rate Swap is an exchange of cash flows for prescribed periods on prescribed dates. |
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http://www.citibank.com/elsalvador/svco/english/svco124.htm
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| | An Analytic Solution for Interest Rate Swap Spreads |
| | This paper argues that liquidity differences between government securities and short term Eurodollar borrowings account for interest rate swap spreads. | | | It then models liquidity as a linear function of two mean- reverting state variables and values it. | | | The interest rate swap spread for a swap of particular maturity is the annuitized equivalent of this value. |
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http://repositories.cdlib.org/anderson/fin/9-94
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| | Financial Dictionary — Meaning for Blended interest-rate swap |
| | ANZ recommends you read the Product Disclosure Statement and the Financial Services Guide before acquiring the product. | | | A combination of two or more interest-rate swaps where usually one starts spot and the other forward to produce payments calculated on a weighted average of rates. | | | Copyright Australia and New Zealand Banking Group Limited 100 Queen street, Melbourne 3000 (ABN 11 005 357 522), 1996-2006. |
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http://www.anz.com/edna/dictionary.asp?action=content&content=blended_interest-rate_swap
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