11_16_2010 FRN LIBOR Interest Rate Swaps

11_16_2010 FRN LIBOR Interest Rate Swaps - FIXED INCOME...

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1 NAME OF INITIATIVE OR GROUP FIXED INCOME SECURITIES Fall 2010 – FNCE 235/725 Prof. Stephan Dieckmann NOVEMBER 16, 2010 FRN, LIBOR, and INTEREST RATE SWAPS
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2 Floating Rate Notes Example
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3 Eurodollar Markets and LIBOR Interbank Market • Eurodollar deposits are liabilities of international banking facilities and other banks located outside of the U.S. • An interbank market in which participating banks borrow and lend with each other. LIBOR , the London Interbank Offered Rate, reflects the rate at which the banks offer loans. LIBID , the London Interbank Bid Rate, reflects the rate at which the banks take loans. • LIBOR is the primary benchmark for short term interest rates globally, and also the reference rate in most floating rate notes.
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4 Eurodollar Markets and LIBOR LIBOR Fixing •The British Banker Association determines LIBOR by averaging the interbank borrowing rates. • “At what rate could you borrow funds, were you to do so by asking for
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This note was uploaded on 03/27/2012 for the course FNCE 235 taught by Professor Roussanov during the Spring '09 term at UPenn.

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11_16_2010 FRN LIBOR Interest Rate Swaps - FIXED INCOME...

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