-39-
b. No Dissemination of Actual Swap Prices
The actual prices at which swaps closed during the relevant
years were not publicly disclosed. The only publicly available
data on swap prices during those years was the quoted bid and ask
rates in the interdealer market as to plain vanilla swaps. Those
quotations were normally the best indicator of the market price
at a particular moment.
c. Spreads Included in Quotations
Swap bid and ask rates in U.S. dollar denominated swaps with
maturities exceeding 1 year were commonly quoted in terms of a
spread to the corresponding U.S. Treasury yield. The table below
lists the U.S. Treasury yield, the bid spreads quoted in the
market, and the resulting bid rates as reported by Bloomberg for
December 31, 1992, for U.S. dollar denominated swaps with
maturities exceeding 1 year.
Maturity U.S. Treasury Yield Bid Spread Swap Bid Rate
2-year 4.57% .24 4.81%
3-year 5.06 .37 5.43
5-year 6.00 .30 6.30
7-year 6.37 .33 6.70
10-year 6.69 .32 7.01
Swap rates reported for U.S. dollar denominated swaps with
maturities of 1 year or less were usually taken directly from the
LIBOR deposit market. The table below lists the LIBOR deposit
rates in the LIBOR deposit market as reported by Bloomberg for
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