interest rate swap

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Interest rate swap

A binding agreement between counterparties to exchange periodic interest payments on some predetermined dollar principal, which is called the notional principal amount. For example, one party will pay fixed and receive variable.

Interest Rate Swap

The exchange of interest rates for the mutual benefit of the exchangers. The exchangers take advantage of interest rates that are only available, for whatever reason, to the other exchanger by swapping them. The two legs of the swap are a fixed interest rate, say 3.5%, and a floating interest rate, say LIBOR + 0.5%. In such a swap, the only things traded are the two interest rates, which are calculated over a notional value. Each party pays the other at set intervals over the life of the swap. For example, one party may agree to pay the other a 3.5% interest rate calculated over a notional value of $1 million, while the second party may agree to pay LIBOR + 0.5% over the same notional value. It is important to note that the notional amount is arbitrary and is not actually traded. This is also called a plain vanilla swap.

interest rate swap

See swap.

interest rate swap

see SWAP.
References in periodicals archive ?
The new notes, factoring in the impact of forward starting swaps put into place in November 2004, will have effective borrowing costs of 5.
Earlier in November 2004, NiSource entered into forward starting swaps with six different counter- parties to hedge the anticipated September 2005 issuance.
Cost of funds as of period end includes repurchase agreements and other debt outstanding, plus the impact of interest rate swaps in effect as of each period end and forward starting swaps becoming effective, net of swaps expiring, within three months of each period end, but excludes costs associated with other supplemental hedges such as swaptions and short treasury or TBA positions.
In addition, to meet the growing demand for different, more complex structures of interest rate swaps, Interactive Data now delivers independent valuations of forward starting swaps.
The series 2006 bonds have been swapped to a fixed rate through the use of four forward starting swaps with Bear Stearns Capital Markets Inc.
The airport is committed to $975 million of long-term debt to be issued by 2011 given the prior execution of forward starting swaps, of which the termination values under current market conditions exceed $200 million.
The 2005 series Q bonds, due March 1, 2008-2031, relate to the fourth tranche of the 2003 forward starting swaps.
Fitch also notes Scripps Health (Scripps) has entered into six floating- to fixed-rate forward starting swaps related to the series 2005A-F bonds aggregating $226 million with Citibank, N.
6 billion notional amount of pay-fixed interest rate swaps, excluding forward starting swaps of $1.
Specific hedging strategies include treasury rate locks, forward starting swaps, and interest rate caps and floors.
which, has in conjunction with sterling forward starting swaps with nominal
As a result, COPT has discontinued hedge accounting on the 10-year forward starting swaps and is reclassifying $28.

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