Par Swap Rate. The value of the fixed rate which gives the swap a zero present value or the fixed rate that will make the value of the fixed leg equal to the value of the floating leg. To determine this rate, discount the forward rates of the floating rate to the present date to determine the value of the floating leg then discount the rates The par swap rate, calculated at 6.62% suggests this is the fixed rate needed to derive a net present value of zero, given the above parameters and discount factors for the floating leg of the deal. Describe a swap transaction and explain how a swap market defines par rates. Describe overnight indexed swap (OIS) and distinguish OIS rates from LIBOR swap rates. Different Compounding Frequencies and Their Effect on Bond Value. Besides annual interest payments, most securities on today’s market have much shorter accrual periods. A swap with a zero cost is called a par swap, and the value of the fixed rate for which the swap has zero value is dubbed the “par swap rate”. For swaps whose start date is spot (i.e., swaps that come into effect immediately), this rate is simply abbreviated to the swap rate (it is he market interest rate which is used (or referred to) to The swap rate for a particular maturity is the LIBOR/swap par yield for the maturity. The swap rate can also be deﬁned as the ﬁxed rate in an interest rate swap that causes the swap to have a Par yield (or par rate) denotes in finance, the coupon rate for which the price of a bond is equal to its nominal value (or par value). It is used in the design of fixed interest securities and in constructing interest rate swaps. The par yield c for a n-year maturity fixed bond satisfies the following equation

## 12 Jun 2014 Notwithstanding J and K's desire to create an interest rate swap at par, interest rates have changed between the date SIFMA AMG established

Par Swap Rate. The value of the fixed rate which gives the swap a zero present value or the fixed rate that will make the value of the fixed leg equal to the value of the floating leg. To determine this rate, discount the forward rates of the floating rate to the present date to determine the value of the floating leg then discount the rates The par swap rate, calculated at 6.62% suggests this is the fixed rate needed to derive a net present value of zero, given the above parameters and discount factors for the floating leg of the deal. Describe a swap transaction and explain how a swap market defines par rates. Describe overnight indexed swap (OIS) and distinguish OIS rates from LIBOR swap rates. Different Compounding Frequencies and Their Effect on Bond Value. Besides annual interest payments, most securities on today’s market have much shorter accrual periods. A swap with a zero cost is called a par swap, and the value of the fixed rate for which the swap has zero value is dubbed the “par swap rate”. For swaps whose start date is spot (i.e., swaps that come into effect immediately), this rate is simply abbreviated to the swap rate (it is he market interest rate which is used (or referred to) to The swap rate for a particular maturity is the LIBOR/swap par yield for the maturity. The swap rate can also be deﬁned as the ﬁxed rate in an interest rate swap that causes the swap to have a

### The use of an interest rate swap unlocks the fixed interest expense associated with the debt and results in variable interest rate expense that fluctuates with the market rate (i.e., the company benefits if the market interest rate declines and vice versa). 6.5% fixed-rate note at par. The note is due on July 15, 2025, with semiannual

3 Nov 2015 interest-rates-spot Swap rates are par rates, and there is a different par rate for each The swap, spot and forward rates are each 1.00%.