The floating leg of an interest rate swap is “rate-set” against the relevant benchmark as defined in the signed agreement between the two counterparties. In New Zealand the rate-set is managed by the NZFMA and is termed BKBM. In Australia it is managed by AFMA and is termed BBSW. Globally the most prevalent rate-set is LIBOR and is managed by ICE (following the scandal that surrounded LIBOR when it was managed by British Bankers’ Association (BBA))
How Hedgebook helps:
Hedgebook’s daily rate feeds of underlying floating rate references such as BKBM and BBSW enables the automatic calculation of cashflows to ease the administration of interest rate swaps.
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