Setting

From ACT Wiki
Revision as of 23:00, 14 April 2022 by imported>Doug Williamson (Create page. Sources: Linked pages.)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)
Jump to navigationJump to search

1. Interest rates - benchmark rates - reference rates.

A setting of a benchmark interest rate means a particular tenor and currency of that benchmark rate.

For example, 12-month US dollar LIBOR.


Also known as a Version of the benchmark rate.


2. Interest rates - floating rates - derivative instruments.

The determination of an interest rate for a predetermined future period, by reference to a benchmark rate.

For example, the interest rate for each tranche of interest payable on floating rate debt is set at the start of the interest calculation period.

Taking another example, a forward start swap has its first interest setting and calculation period starting at a future date.


See also


External link