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YouTube T3-30: Plain vanilla interest rate swap

Nicole Seaman

Director of FRM Operations
Staff member
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The "plain vanilla" interest rate swap is the common interest rate derivative: one counterparty, in this example Apple (who is the "fixed-rate payer") agrees to pay cash flows equal to interest at a predetermined FIXED rate on a notional amount (in this case, 3.0% per annum payable semi-annually on $100.0 million notional); in exchange, the fixed-rate payer will RECEIVE from its counterparty (in this example, Citigroup, who is the "floating-rate payer") interest at a FLOATING rate on the same notional, over the same life (aka, term, tenor) of the swap.

David's XLS is here: https://trtl.bz/2QBc5et

 
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