Interest Rate Swaps

An interest rate swap is a Currency Swap in the same currency.
One couterparty agrees to pay either fixed or floating on a notional amount
The notional amount is not exchange.
Fixed rate is referred to the swap rate
The interest payments are settled in Net.

These are all fixed for floating ??

An agreement to exchange periodic payments related to interest rates on a single currency.
Can be fixed for floating, floating for floating and based on a large number of different indexes

Overnight Index Swap

1s3s - I month LIBOR - 3 month LIBOR Basis Swap - One month forward
Muni Basis Swaps

Always quoted fixed vs floating
30/360 or Act/360

Different Types

Fixed for Floating
Floating for Floating
Fixed for Fixed
Different Currencies
Overnight Index Swap
Zero Coupon Swap
Constant Maturity
Forward Start

Steepener Swap


These are a type of interest rate swap derived from long and short term interest rates

Bond Curve Steepener Trade
A strategy that benefits from an increase in yield spread between two bonds of different maturities
For example your strategy might be to buy the 5 year treasury and sell the 10 year treasury.
If the fed lowers interest rates it weakens the dollar, so less people will buy the 10 year.
The drop in demand will cause its price to fall, causing its yield to increase.
The larger the yield spread (ie the steeper the curve) the more money you make

Interest Rate Swap Options

© 2023 Better Solutions Limited. All Rights Reserved. © 2023 Better Solutions Limited TopPrevNext