https://www.chathamfinancial.com/technology/us-market-rates
there are two swap rate, Swaps – Semi-bond and Swaps – Monthly Money. What is the difference between the two rate?
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3It's as if though Chatham Financial intentionally makes these things look more complicated than they are :) this is answered in my answer to the linked question. What is the relation between the USD Swaps Rates and US treasuries? – Dimitri Vulis Dec 22 '20 at 05:09
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@DimitriVulis Thanks for the comment, so, say I enter a 1 year Semi-Bond swap with size 100 USD, do I pay 0.1 USD every half year while the Bank pays me 100*3month LIBOR RATE/4 every quarter? Assmue swap rate is 0.2% – Preston Lui Dec 22 '20 at 09:20
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1Yes, this sounds right. – Dimitri Vulis Dec 22 '20 at 13:12
1 Answers
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Semi-Bond
These are based on an OTC swap contract in which a party pays the fixed rate semi-annually on a 30/360 basis, versus receiving 3-month LIBOR quarterly on an Actual/360 basis.
Monthly Money
Monthly money swap rates are commonly used by real estate and corporate borrowers to hedge exposure to floating-rate 1-month LIBOR debt. The contractual basis is paying a fixed rate monthly on an Actual/360 basis, versus receiving 1-month LIBOR monthly on an Actual/360 basis, without amortization.
Paul Brennan
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1Thanks for the comment, so, say I enter a 1 year Semi-Bond swap with size 100 USD, do I pay 0.1 USD every half year while the Bank pays me 100*3month LIBOR RATE/4 every quarter? Assume swap rate is 0.2% – Preston Lui Dec 22 '20 at 09:21
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1To be precise, the bank will pay you 3M Libor on an Actual/360 basis very quarter. You will need to count the actual days in the quarter. – AlRacoon Dec 22 '20 at 14:24