-40-
December 31, 1992, for U.S. dollar denominated swaps with
maturities of 1 year or less.
Maturity LIBOR Deposit Rate
1-day 3.125%
1-month 3.313
3-month 3.438
6-month 3.625
9-month 3.813
1-year 4.062
The LIBOR deposit rates for U.S. dollar denominated swaps
with maturities of 1 year or less were combined with the swap bid
rates for U.S. dollar denominated swaps with maturities exceeding
1 year to obtain a set of bid rates for short and long
maturities. The complete set of bid rates for short and long
maturities was plotted out on a graph to form the swap bid curve.
Swap rates for nonstandard maturities were calculated by
interpolating between the rates on the nearby standard maturity
contracts. The table below illustrates a combination of the swap
bid rates and the LIBOR deposit rates just discussed.
Maturity Swap Bid Rate LIBOR Deposit Rate Swap Bid Curve
1-day --- 3.125% 3.125%
1-month --- 3.313 3.313
3-month --- 3.438 3.438
6-month --- 3.625 3.625
9-month --- 3.813 3.813
1-year --- 4.062 4.062
2-year 4.81% --- 4.810
3-year 5.43 --- 5.430
5-year 6.30 --- 6.300
7-year 6.70 --- 6.700
10-year 7.01 --- 7.010
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