The fixed rate on a single-currency, fixed-notional interest rate swap that has its floating-rate leg referenced to LIBOR with no spread over LIBOR on that floating-rate leg. The fixed rate is the implied rate that would cause the swap to have a zero value at the contract date because the present value of fixed cash flows, based on that rate, will be equal to the present value of floating cash flows.

LIBOR is an interbank rate, representing the interest rate that banks charge each other for loans and is a proxy for a bank’s cost of funds. The market’s consensus expectation for future LIBOR rates is normally reflected in the Eurodollar futures curve. A LIBOR swap rate represents the fixed rate equivalent of these future expectations.