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Definition of LIBOR
The London Interbank Offered Rate; the rate of interest that major international banks in London
A fixed rate currency swap against floating U.S. dollar libor payments.
Swap between two LIBO rates of interest, e.g. yen libor for dollar libor. Payments are
A benchmark 'interest rate (such as libor), used to specify conditions of an interest rate
Loan made at an interest rate that fluctuates based on a base interest rate such as the
swap in which the principal or national amount rises (falls) as interest rates
Creditors exchange the debt of one defaulting borrower for the debt of another
An interest rate swap used to alter the cash flow characteristics of an institution's assets so as to
A swaption in which the buyer has the right to enter into a swap as a fixed-rate payer. The
An agreement to swap a series of specified payment obligations denominated in one currency
A set of transactions (also called a debt-equity swap) in which a firm buys a country's dollar bank
a cost that differs in amount among the alternatives being considered
The practice of reporting conflicting or markedly different information in official
A swap in which the cash flows that are exchanged are based on the total return on some stock
Extending maturity through a swap, e.g. selling a 2-year note and buying one with a slightly
An agreement to exchange stipulated amounts of one currency for another currency
Annualized percentage difference between spot and forward rates.
Interest Rate Differential
The interest rate on our financial assets minus the interest rate on a foreign country's financial assets.
Interest rate swap
A binding agreement between counterparties to exchange periodic interest payments on
Intermarket spread swaps
An exchange of one bond for another based on the manager's projection of a
An interest rate swap used to alter the cash flow characteristics of an institution's liabilities so
Pure yield pickup swap
Moving to higher yield bonds.
A financial tool in which the buyer has the right, or option, to enter into a swap as a floatingrate
See: differential swap.
Rate anticipation swaps
An exchange of bonds in a portfolio for new bonds that will achieve the target
A swap in which a money manager exchanges one bond for another bond that is similar in
An arrangement whereby two companies lend to each other on different terms, e.g. in different
An exchange of cash flows between two counterparties. The
A contract between two parties to exchange cash flows in the future
Arrangement by two counterparties to exchange one stream of cash flows for another.
Related: swap sale.
The sale of an interest rate swap by one counterparty to the other, effectively ending the swap.
The difference between spot and forward rates expressed in points, e.g., $0.0001 per pound sterling.
An interest rate swap designed to end a counterparty's role in another interest rate swap,
Also called a swap assignment, a transaction that ends one counterparty's role in an interest rate
Options on interest rate swaps. The buyer of a swaption has the right to enter into an interest rate
A swap option; an option on an interest-rate swap. The option gives
Tax differential view ( of dividend policy)
The view that shareholders prefer capital gains over dividends,
swapping two similar bonds to receive a tax benefit.
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