Fixed interest and Fixed leg: Difference between pages
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''Interest rate swaps''. | |||
The fixed leg of an interest rate swap is a predetermined series of notional fixed interest payments, exchanged for a series of floating interest payments, determined over time by the reference rate. | |||
In practice the interest rate swap is settled for difference, so these payments are notional. | |||
The fixed leg is also sometimes known as the ''fixed rate leg''. | |||
When interest rate swap prices are quoted, the two-way prices quoted are for the fixed leg rate payable or receivable by the market taker. | |||
(The market taker takes the worse side of the two-way price.) | |||
== See also == | == See also == | ||
* [[ | * [[ICE Swap Rate]] | ||
* [[ | * [[Interest rate swap]] | ||
* [[Mid-price]] | |||
* [[Market taker]] | |||
* [[Reference rate]] | |||
* [[Swap rate]] | |||
* [[Two-way price]] | |||
===Other links=== | |||
[http://www.treasurers.org/node/9936 Treasury Essentials: interest rate swap, Will Spinney, March 2014] | |||
[[Category: | [[Category:Manage_risks]] | ||
Revision as of 09:33, 1 September 2018
Interest rate swaps.
The fixed leg of an interest rate swap is a predetermined series of notional fixed interest payments, exchanged for a series of floating interest payments, determined over time by the reference rate.
In practice the interest rate swap is settled for difference, so these payments are notional.
The fixed leg is also sometimes known as the fixed rate leg.
When interest rate swap prices are quoted, the two-way prices quoted are for the fixed leg rate payable or receivable by the market taker.
(The market taker takes the worse side of the two-way price.)
See also
Other links
Treasury Essentials: interest rate swap, Will Spinney, March 2014
