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Headline: Swapnote’s flying start Source: Euromoney Date: May 2001 Author: Tessa Oakley On March 20, the London financial futures and options exchange, Liffe, introduced a new product called Swapnote. This swap futures contract, the first of its kind, is referenced against the European interbank swap curve instead of the government bond curve. This means that it more accurately reflects the exposures that bondholders experience. It is available at two-, five- and 10-year maturities. The credit ratings of most banks are between AA and A+, which is more similar to corporate credits than to government credit ratings. |
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