Mid-swap

Borrowing pricing - bonds - - floating rates - reference rates - swaps.

(MS).

Mid-swap is a method of referencing and determining the floating interest rate payable on a floating rate bond or similar financial instrument.

It is calculated as the average of the bid and offer (or bid and ask) swap rates for the reference maturity at the interest setting date.

The floating rate of interest payable by a borrower is then expressed - and calculated - as the mid-swap (MS) rate plus a margin representing the borrower's credit risk.

For example, MS + 150 basis points.

This means the mid-swap rate at the interest setting date, plus 150bp (= 1.50%).

Heathrow's sustainability-linked bond priced tightly

"Following strong engagement from more than 100 investors, the deal was announced with Initial Price Thoughts of MS+165-170bps.

With demand proving to be strong, updated pricing guidance of MS+150bps was released, after which the orderbook continued to grow and peaked at €2bn.

Consequently, Heathrow was able to set a final size of €650m and price at the tighter end of guidance at MS+148bps.

The success of the trade was evidenced by the participation from SFDR Article 9 funds, which is rare for an issuer in a hard-to-abate sector.

Barclays, BNP Paribas, Lloyds, NatWest Markets and RBC Capital Markets were joint active bookrunners, with Société Générale as the SLB structuring bank."

ACT Deals of the Year Awards 2023: Bonds below £750m winner.

See also

• Abate
• Active bookrunner
• Article 6
• Article 9
• Bookrunner
• bp
• Credit risk
• Floating rate note (FRN)
• Fund
• Guidance
• Hard-to-abate
• Initial Price Thoughts (IPT)
• Interest rate swap
• Issuer
• Margin
• Mid market price
• Order book
• Pricing guidance
• Reference rate
• Sector
• Sustainability co-ordinator
• Sustainable Finance Disclosure Regulation (SFDR)
• Sustainability-linked bond (SLB)
• Swap
• Swap rate
• Swap spread
• Swap spread risk
• Tightening

Other resource

• ACT Deals of the Year Awards 2023: Bonds below £750m winner - Heathrow