'Libor' diaporamas de présentation

Swaps and Derivative Valuations November 2012

Swaps and Derivative Valuations November 2012. presented by: Alfred Mukunya Director. Summary of Presentation. Introduction to Interest Rate Swaps Swap Pricing and Valuation New Developments in Valuations (OIS curve discounting) GASB 53 & 64 ASC 820 Fair Value

716 views • 42 slides

Credit Risk

Credit Risk. Yiling Lai 2008/10/3. Outline. Introduction Credit Ratings Historical Default Probabilities Recovery Rates Estimating Default Probability from Bond Prices Comparison of Default Probability Estimates. Introduction.

837 views • 31 slides

Ajay Sagar Asian Development Bank March 2005

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Interest Rate Swaps

Interest Rate Swaps. ???? Dr. Chi-Sheng Hsu ???????. LIBOR deposits pay interest by multiplying the rate by the number of days over 360 and adding that interest to the amount deposited. A deposit of $1 at 9% for 6 months would pay back $1*(1+ 0.09*(180/360)) = $1.045

540 views • 25 slides

Where to From Here?

Where to From Here?. Dr. Steven P. Lanza Executive Editor The Connecticut Economy CREUES Commercial Real Estate Conference November 11, 2009. RISK PREMIUMS: A RETURN TO NORMALCY. TED Spread = 3-month LIBOR minus 3-month Treasury Bill Rate. Existing home sales on the rise.

428 views • 25 slides

THE LIBOR RATE AND THE FINANCIAL CRISIS: HAS THE LIBOR RATE BEEN MANIPULATED?

502 views • 21 slides

The Potential Impacts of Changes in Export Competition Policies

The Potential Impacts of Changes in Export Competition Policies. Export Competition Policies. Direct Export Subsidies State Trading Enterprises Export Taxes Export Financing Support (EFS) Export Credit, Credit Guarantees and Insurance Food Aid. GATT.

371 views • 20 slides

The Volcker Rule: Regulation in an Era of Performativity , Affect and Bio-power

The Volcker Rule: Regulation in an Era of Performativity , Affect and Bio-power. John Morris Durham University j.h.morris@durham.ac.uk. Outline of the presentation: 1 Foucaultian concepts of governance. 2 Comparison between Volcker Rule and Glass- S teagall . 3 Governing Through Economy

290 views • 18 slides

FHLBI Financial Update 2010 Regional Member Meeting

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The Global Economy and Financial Markets: Where Next?

The Global Economy and Financial Markets: Where Next?. John Lipsky, First Deputy Managing Director, International Monetary Fund. The Favorable Global Backdrop . The Global Expansion Has Been Strong. . World GDP Growth (Annual percent change). Global inflation 1/ (yoy, rhs).

289 views • 15 slides

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Interest Rate Derivatives

Interest Rate Derivatives. Interest Rate Derivatives. Swaps Forward Rate Agreements (FRAs): A one-period, future swap EuroDollar Futures Bond Options (Black-76) Caps/Floors/Collars(Cap&Floor Combo.) Buy Cap: Get CFs if Mkt Rate>Cap Rate Buy Floor: Get CFs if Mkt Rate<Floor Rate

316 views • 6 slides

Sacramento Transportation Authority Floating Index Amendment Presentation April 9, 2009

Sacramento Transportation Authority Floating Index Amendment Presentation April 9, 2009. PFM Asset Management LLC Two Logan Square, Suite 1600 18th & Arch Streets Philadelphia, PA 19103 (215) 567-6100. Public Financial Management, Inc. 50 California Street Suite 2300

158 views • 5 slides

INTEREST RATE SWAP

INTEREST RATE SWAP. 5.35%. 4.25%. Cy B. Cy A. Intermediary Bank. LIBOR. LIBOR. LIBOR + 0.5%. 6.50%. Floating rate lenders. Eurobonds. CROSS CURENCY & INTEREST RATE SWAP. Bank of Commonwealth Swap with Notional Deposit A$ 200 Mio Facility US$ 170 Mio. Fixed US$

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Summary of Bond Features

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