Hedging Series on LIBOR: “How Is The Fixed Swap Rate Determined” [Chapter 6]

May 29, 2018

By Jillian Mariutti, Director Debt & Equity Finance Team

Hedging Series: “How Is The Fixed Swap Rate Determined” [Chapter 6]

How is the fixed swap rate determined? The fixed swap rate is equal to where LIBOR is expected to average over that time horizon present valued back to today. So a three year swap rate equals where the market expects LIBOR to average over the next three years present valued back to today.

This is the sixth video — focusing on, “How Is The Fixed Swap Rate Determined” — in a series of eight episodes on the topic of Hedging presented by Jillian Mariutti.

 

Watch the previous chapters below:

CHAPTER 1

CHAPTER 2

CHAPTER 3

CHAPTER 4

Hedging Series: “Hedge Strategy And Structure” [Chapter 4] from Mission Capital on Vimeo.

CHAPTER 5

Hedging Series: “Interest Rate Swap” [Chapter 5] from Mission Capital on Vimeo.