Derivatives

Mid Market Swap Rate

July 16, 2020
Islamic Finance

Dain Hal

July 16, 2020

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An average of a pay rate (bid rate) and a receive rate (offer rate) in an interest rate swap. A dealer quotes one swap coupon (fixed rate) in a transaction whereby he/ she receives the fixed rate payments, whilst quoting a different swap coupon if he/ she is the payer of the fixed rate payments.

Averaging the bid and offer rates gives the dealer’s mid-rate.

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