September 2005
Intermediate to advanced
272 pages
9h 8m
English
Content preview from Clearing and Settlement of Derivatives
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6
OTC products
We have already noted elsewhere in the book that the OTC derivative
market is a large and important one. In this chapter we can look at
some of the popular types of OTC products.
Forward rate agreements
A forward rate agreement (FRA) is an agreement to pay or receive, on
an agreed future date, the difference between a fixed interest rate at
the outset and a reference interest rate prevailing at a given date for
an agreed period.
The FRAs are transacted between buyers who agree to the fixed
rate and sellers who agree to the floating rate or benchmark.
The benchmark rate will be, for instance, LIBOR and the settlement
is calculated ...
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