Was Ist Forward Rate Agreement

The actual description of an interest rate agreement in advance (FRA) is a cash-for-difference derivative contract between two parties, which is compared to an interest rate index. This index is usually an interbank supply rate (IBOR) with a fixed maturity in different currencies, for example. B LIBOR in USD, GBP, EURIBOR in EUR or STIBOR in SEK. A FRA between two counterparties requires a fixed interest rate, a nominal amount, a chosen interest rate index maturity and a date that must be fully specified. [1] The present value traded between the two parties for differences on a FRA calculated from the point of view of the sale of a FRA (imitating the maintenance of the fixed rate) is calculated as follows:[1] Forward interest rate agreements (FRA) are linked to short-term interest rate futures (STIR). Since STIR futures oppose the same index as a subset of FRAs, IMM FRAs, their pricing is linked. The nature of each product has a distinctive gamma profile (convexity), which results in rational and non-arbitrald price adjustments. This adjustment is called a term convexity adjustment (FCA) and is usually expressed in basis points. [1] As mentioned above, the settlement amount is paid in advance (at the beginning of the contract term), while interbank rates such as LIBOR or EURIBOR apply to default interest transactions (at the end of the loan term). To account for this, the interest rate difference must be discounted, using the settlement rate as the discount rate. The settlement amount is therefore calculated as the present value of the interest difference: [US$ 3×9 – 3.25/3.50%p.a] – means that the deposit interest from 3 months for 6 months is 3.25% and the interest rate of the loan from 3 months for 6 months is 3.50% (see also the supply-demand gap). Entering a „paying FRA“ means paying the fixed interest rate (3.50% per day) and getting a 6-month variable rate, while entering a „beneficiary FRA“ means paying the same variable interest rate and getting a fixed interest rate (3.25% per day). The Forward Rate Agreement (FRA) is an over-the-counter (OTC) interest rate derivative contract; This is an agreement between two parties to be able to exchange the interest obligation on a nominal amount for a period of time agreed in the future to variable or vice versa.

Fra is essentially a term start-up loan, but without a capital exchange. The terms of the contract determine the nominal nominal amount, the fixed interest rate (FRA rate), the reference interest rate, the settlement date and the maturity date of the fictitious loan. The nominal amount is only nominal and is never exchanged, but only the interest rate difference, i.e. the interest calculated on the difference between the initial interest rate and the reference variable rate in force at the time of settlement is exchanged on the settlement date. . . .

Dieser Beitrag wurde veröffentlicht in Allgemein von Toddo. Permalink