FORM 10-K - corporate
... only assists us with identifying investment opportunities and making investment recommendations for approval by CIM, according to pre-established investment guidelines. All of our investment decisions are the sole responsibility of, and are made at the sole discretion of, CIM. Pursuant to the terms ...
... only assists us with identifying investment opportunities and making investment recommendations for approval by CIM, according to pre-established investment guidelines. All of our investment decisions are the sole responsibility of, and are made at the sole discretion of, CIM. Pursuant to the terms ...
Options on Fed funds futures and interst rate volatity
... According to the CBOT, the daily volume of options on Fed Funds futures was approximately 21,908 on March 30, 2007. The CBOT also introduced a new option contract called Fed Binary Options which pays either 0 or the intrinsic value of the option. On February 7, 2007, open contracts in Binary options ...
... According to the CBOT, the daily volume of options on Fed Funds futures was approximately 21,908 on March 30, 2007. The CBOT also introduced a new option contract called Fed Binary Options which pays either 0 or the intrinsic value of the option. On February 7, 2007, open contracts in Binary options ...
FX swap market dislocations
... In this paper, we empirically investigate the dislocations in the FX swap market both before and after the failure of Lehman brothers under the turmoil across the euro/dollar (EUR/USD), Swiss franc/dollar (CHF/USD), and sterling/dollar (GBP/USD) currency pairs. We examine the degree to which the co ...
... In this paper, we empirically investigate the dislocations in the FX swap market both before and after the failure of Lehman brothers under the turmoil across the euro/dollar (EUR/USD), Swiss franc/dollar (CHF/USD), and sterling/dollar (GBP/USD) currency pairs. We examine the degree to which the co ...
The Swaps Market: A Case Study Detailing Market
... needs – often an exhaustive task for a corporation. Secondly, as these back-to-back loans were two different loans, they were evidenced by two loan agreements, completely separate from one another (Marshall 5). These are the very two problems discussed earlier to which currency swaps provided the so ...
... needs – often an exhaustive task for a corporation. Secondly, as these back-to-back loans were two different loans, they were evidenced by two loan agreements, completely separate from one another (Marshall 5). These are the very two problems discussed earlier to which currency swaps provided the so ...
Risk premiums in NIBOR and other countries` interbank lending rates
... factor is the expected average level of the key rate over the next three months, as the key rate normally determines the level of the overnight rate in the interbank market. The difference between the two is generally small and stable. A bank seeking to borrow money for three months can in princi ...
... factor is the expected average level of the key rate over the next three months, as the key rate normally determines the level of the overnight rate in the interbank market. The difference between the two is generally small and stable. A bank seeking to borrow money for three months can in princi ...
Plaintiff v BANK OF AMERICA CORPORATION
... 2. Because LIBOR was believed to represent the true cost of borrowing, it could be and was used as a benchmark for setting interest rates for many types of transactions. LIBOR is one of the most commonly used benchmark rates in the world, impacting everything from complex billion or multi-million do ...
... 2. Because LIBOR was believed to represent the true cost of borrowing, it could be and was used as a benchmark for setting interest rates for many types of transactions. LIBOR is one of the most commonly used benchmark rates in the world, impacting everything from complex billion or multi-million do ...
MUNICIPAL DEBT AND MARGINAL TAX RATES: IS
... One of the most fundamental issues in Finance is the question of how taxes affect security values. This important topic has been the focus of an extensive literature which now dates back nearly a century. Despite the many important contributions in this area, however, there is still much about the eff ...
... One of the most fundamental issues in Finance is the question of how taxes affect security values. This important topic has been the focus of an extensive literature which now dates back nearly a century. Despite the many important contributions in this area, however, there is still much about the eff ...
Swaps - dedeklegacy.cz
... swap is an off-balance sheet instrument because it does not impact on the balance sheets of the swap counterparties but only on their profit and loss accounts termination of a swap is the cancellation of the swap contract (in which case one counterparty compensates the other counterparty for the los ...
... swap is an off-balance sheet instrument because it does not impact on the balance sheets of the swap counterparties but only on their profit and loss accounts termination of a swap is the cancellation of the swap contract (in which case one counterparty compensates the other counterparty for the los ...
INSTITUTE OF ECONOMIC STUDIES Faculty of social sciences of
... a higher-lower quote means that the quoting dealer is willing to transact a swap in which he receives/pays the given fixed rate the difference between the two rates is the dealing spread the dealer earns on every matching pair of swaps swap rate is the average of bid and ask interest rates swap spre ...
... a higher-lower quote means that the quoting dealer is willing to transact a swap in which he receives/pays the given fixed rate the difference between the two rates is the dealing spread the dealer earns on every matching pair of swaps swap rate is the average of bid and ask interest rates swap spre ...
Analysis of the Discount Factors in Swap Valuation
... feature removes the effects of an unusually volatile single day and ensures that the payment will more accurately represent the value of the index. Average-price payoff structures are also found in other derivatives, particularly options. (4) Equity swaps In an equity swap, one of the two parties ex ...
... feature removes the effects of an unusually volatile single day and ensures that the payment will more accurately represent the value of the index. Average-price payoff structures are also found in other derivatives, particularly options. (4) Equity swaps In an equity swap, one of the two parties ex ...
The Term Structure of Money Market Spreads
... credit and liquidity factors with returns, highlighting the importance of time-varying risk premia in explaining LOIS spreads. This paper relates to recent empirical work that has decomposed the increase in spreads such as Taylor and Williams (2008), McAndrews et.al. (2008), and Schwarz (2009). The ...
... credit and liquidity factors with returns, highlighting the importance of time-varying risk premia in explaining LOIS spreads. This paper relates to recent empirical work that has decomposed the increase in spreads such as Taylor and Williams (2008), McAndrews et.al. (2008), and Schwarz (2009). The ...
Reforming Major Interest Rate Benchmarks
... The IOSCO review (mentioned under 1.) found that all three relevant administrators have made significant progress in implementing the majority of the Principles. Given the short timeframe, administrators have made good progress in implementing most of the governancerelated Principles and have mostl ...
... The IOSCO review (mentioned under 1.) found that all three relevant administrators have made significant progress in implementing the majority of the Principles. Given the short timeframe, administrators have made good progress in implementing most of the governancerelated Principles and have mostl ...
Case Objectives - Trinity University
... forward contract or futures contract hedges, there is no risk of further losses in either a speculation or a hedge no matter what happens to future interest rates. Eurodollar notes should not be confused with the new Euro currency. Eurodollar notes are virtually risk free obligations of U.S. Banks t ...
... forward contract or futures contract hedges, there is no risk of further losses in either a speculation or a hedge no matter what happens to future interest rates. Eurodollar notes should not be confused with the new Euro currency. Eurodollar notes are virtually risk free obligations of U.S. Banks t ...
Risk-adjusted Covered Interest Parity: Theory and Evidence
... findings on major currencies are generally consistent with CIP. Departures from CIP are explicable by political risk, transaction costs, capital control, taxes, measurement errors due to non-synchronous data and various types of capital market frictions (Branson (1969), Aliber (1973), Frenkel and Le ...
... findings on major currencies are generally consistent with CIP. Departures from CIP are explicable by political risk, transaction costs, capital control, taxes, measurement errors due to non-synchronous data and various types of capital market frictions (Branson (1969), Aliber (1973), Frenkel and Le ...
Document
... The History of Swaps A swap contract is an obligation to pay a fixed amount and receive a floating amount at the end of every period for a pre-specified number of ...
... The History of Swaps A swap contract is an obligation to pay a fixed amount and receive a floating amount at the end of every period for a pre-specified number of ...
Pinnacle Academ y
... ii. Find the first floating rate payment for (i) above if the six month period from the effective date of swap to the settlement date comprises 181 days and that the corresponding LIBOR was 6% on the effective date of swap. iii. In (ii) above, if the settlement is on ‘Net’ basis, how much the fixed ...
... ii. Find the first floating rate payment for (i) above if the six month period from the effective date of swap to the settlement date comprises 181 days and that the corresponding LIBOR was 6% on the effective date of swap. iii. In (ii) above, if the settlement is on ‘Net’ basis, how much the fixed ...
US Money Market Reform: The Scandi angle
... USD Libor rate of 0.79%, but still well above the 0.50% 1M USD Libor rate. Finally, it seems that many banks have accepted a shorter maturity on their funding. But of course such a strategy again can collide with other regulatory incentives, especially LCR requirements. Furthermore, it is important ...
... USD Libor rate of 0.79%, but still well above the 0.50% 1M USD Libor rate. Finally, it seems that many banks have accepted a shorter maturity on their funding. But of course such a strategy again can collide with other regulatory incentives, especially LCR requirements. Furthermore, it is important ...
Counterparty A
... process of composition or decomposition, creates one (or more) very different financial instruments. ...
... process of composition or decomposition, creates one (or more) very different financial instruments. ...
Using Derivatives to Manage Interest Rate Risk Derivatives A
... expiration date On the expiration date, trading stops and participants settle their final positions Less than 1% of financial futures contracts experience physical delivery at expiration because most traders offset their futures positions in advance ...
... expiration date On the expiration date, trading stops and participants settle their final positions Less than 1% of financial futures contracts experience physical delivery at expiration because most traders offset their futures positions in advance ...
Using Derivatives to Manage Interest Rate Risk
... expiration date On the expiration date, trading stops and participants settle their final positions Less than 1% of financial futures contracts experience physical delivery at expiration because most traders offset their futures positions in advance ...
... expiration date On the expiration date, trading stops and participants settle their final positions Less than 1% of financial futures contracts experience physical delivery at expiration because most traders offset their futures positions in advance ...
Intergrated Bank Corporation (IBC) is a medium
... “Beeeeeep! Brad, it’s Rachel Garner here at CBC. Listen, what can you do for me with GNMA floating rate swaps? Give me a call when you get back and let’s talk.” Brad Kaiser works in the Client Financial Strategies Group of Wright Derivatives Co., a AAA rated subsidiary of WrightBank Inc. specializin ...
... “Beeeeeep! Brad, it’s Rachel Garner here at CBC. Listen, what can you do for me with GNMA floating rate swaps? Give me a call when you get back and let’s talk.” Brad Kaiser works in the Client Financial Strategies Group of Wright Derivatives Co., a AAA rated subsidiary of WrightBank Inc. specializin ...
Jan - Richard Wolfram, Esq.
... (An in-depth article on In re LIBOR and antitrust injury is also available under this title. The following is a preview of my article). A key ruling by a New York federal district court almost two years ago, in In re LIBORBased Financial Instruments Antitrust Litigation, can now finally proceed on a ...
... (An in-depth article on In re LIBOR and antitrust injury is also available under this title. The following is a preview of my article). A key ruling by a New York federal district court almost two years ago, in In re LIBORBased Financial Instruments Antitrust Litigation, can now finally proceed on a ...
Market-specific and Currency-specific Risk during the
... LIBOR is calculated by Thomson Reuters and published by the British Bankers' Association after 11:00 a.m. each day (Greenwich mean time). ...
... LIBOR is calculated by Thomson Reuters and published by the British Bankers' Association after 11:00 a.m. each day (Greenwich mean time). ...
Market-specific and Currency-specific Risk During the Global
... banks, and the reported interest is the mean of the middle values (the interquartile mean).3 The rates are a benchmark rather than a tradable rate; the actual rate at which banks lend to one another varies throughout the day. LIBOR is calculated for 10 currencies: the Australian dollar, Canadian dol ...
... banks, and the reported interest is the mean of the middle values (the interquartile mean).3 The rates are a benchmark rather than a tradable rate; the actual rate at which banks lend to one another varies throughout the day. LIBOR is calculated for 10 currencies: the Australian dollar, Canadian dol ...
A Yen is not a Yen: TIBOR/LIBOR and the `Japan Premium`
... decline. In turn, bank asset growth began to shrink and the quality of bank loans and balance sheets turned downward. While the situation deteriorated in the early 1990s, the government authorities were reluctant to step in and make substantive changes as they were waiting for a revival of economic ...
... decline. In turn, bank asset growth began to shrink and the quality of bank loans and balance sheets turned downward. While the situation deteriorated in the early 1990s, the government authorities were reluctant to step in and make substantive changes as they were waiting for a revival of economic ...
Libor
The London Interbank Offered Rate is the average interest rate estimated by leading banks in London that the average leading bank would be charged if borrowing from other banks. It is usually abbreviated to Libor (/ˈlaɪbɔr/) or LIBOR, or more officially to ICE LIBOR (for Intercontinental Exchange Libor). It was formerly known as BBA Libor (for British Bankers' Association Libor or the trademark bbalibor) before the responsibility for the administration was transferred to Intercontinental Exchange. It is the primary benchmark, along with the Euribor, for short-term interest rates around the world.Libor rates are calculated for 5 currencies and 7 borrowing periods ranging from overnight to one year and are published each business day by Thomson Reuters. Many financial institutions, mortgage lenders and credit card agencies set their own rates relative to it. At least $350 trillion in derivatives and other financial products are tied to the Libor.In June 2012, multiple criminal settlements by Barclays Bank revealed significant fraud and collusion by member banks connected to the rate submissions, leading to the Libor scandal. The British Bankers' Association said on 25 September 2012 that it would transfer oversight of LIBOR to UK regulators, as proposed by Financial Services Authority managing director Martin Wheatley's independent review recommendations. Wheatley's review recommended that banks submitting rates to LIBOR must base them on actual inter-bank deposit market transactions and keep records of those transactions, that individual banks' LIBOR submissions be published after three months, and recommended criminal sanctions specifically for manipulation of benchmark interest rates. Financial institution customers may experience higher and more volatile borrowing and hedging costs after implementation of the recommended reforms. The UK government agreed to accept all of the Wheatley Review's recommendations and press for legislation implementing them.Significant reforms, in line with the Wheatley Review, came into effect in 2013 and a new administrator took over in early 2014. The UK controls Libor through laws made in the UK Parliament. In particular, the Financial Services Act 2012 brings Libor under UK regulatory oversight and creates a criminal offence for knowingly or deliberately making false or misleading statements relating to benchmark-setting.