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[DOC File]NAIC
https://info.5y1.org/constant-maturity-swap-rate-history_1_c175e1.html
The stress test is the percent change in the market value of the asset portfolio, derivative positions, and if the guaranteed index is based on interest rates, the liabilities. The stress test is based on the 95th percentile interest rate change over one year. For the five-year constant maturity treasury, this statistic is 197 basis points.
constant maturity swap

[DOC File]Swap Information System
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Swap uses data of solar radiation, air temperature, air humidity, and wind speed to calculate potential evapotranspiration rate with the Penman-Monteith equation (Smith, 1991). Rainfall data should be specified for each day, but in addition the actual rainfall intensities may be specified at menu option Input/Meteo/ detailed rainfall.
constant maturity rates

[DOC File]Oakland University
https://info.5y1.org/constant-maturity-swap-rate-history_1_63fdab.html
To hedge against that interest rate, the Board approved a variable rate to fixed interest rate swap, with a notional amount of $34,370,000 fixed at 4.62%. Mr. Roberts also explained that the University was tracking a potential interest rate cost savings possibility related to this bond issue because of the current, or flat, inverted bond yield ...
constant maturity swap pricing

[DOCX File]Hong Kong Monetary Authority
https://info.5y1.org/constant-maturity-swap-rate-history_1_6aa227.html
Fixed spreads, which in the IRRBB standardised framework may be slotted until contractual maturity, can be defined as the difference between contractual and risk-free rate if that difference can arguably be assumed constant over time, that is, that the AI can pass through any changes in the risk-free rate …
1 year constant maturity rate

Bank of America Corporation
During the Floating Rate Period, each quarterly period from, and including, an Interest Period Demarcation Date (or, in the case of the first Interest Period during the Floating Rate Period, May 19, 2023) to, but excluding, the next Interest Period Demarcation Date (or, in the case of the final Interest Period, the Maturity Date or, if the notes are redeemed, the redemption date).
treasury constant maturity rate history

[DOC File]Fixed-Income Readings
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READING 3: "The Risks in Swap Contracting," Ch. 5, Interest Rate and Currency Swaps: A Tutorial, Keith C. Brown and Donald J. Smith (Research Foundation of the Institute of Chartered Financial Analysts, 1995), pp. 83-102. Swap risk is composed primarily of market risk and credit risk.
5 year constant maturity rate

[DOC File]CS FIRSTBOSTON - NYU
https://info.5y1.org/constant-maturity-swap-rate-history_1_971c76.html
If the discount rate on the 1 year U.S. Treasury bill is 5% and the assumed recovery rate on the risky bond is 30%, then the equation becomes; 83.33 = 100 (1 d) + 30d 1.05 Solving for the default rate d gives a market implied default probability of 17.85%.
3 year constant maturity rate

NuStar Energy
Effective January 15, 2018, the interest rate on the Subordinated Notes switched from a fixed annual rate of 7.625%, payable quarterly in arrears, to an annual rate equal to the sum of the three-month LIBOR for the related quarterly interest period, plus 6.734% payable quarterly, commencing with the interest payment due April 15, 2018.
constant maturity swap rate

[DOCX File]Appendix A--Subpart B of Part 652--Risk-Based …
https://info.5y1.org/constant-maturity-swap-rate-history_1_eccfc5.html
The stress test uses the 10-year Constant Maturity Treasury (10-year CMT) released by the Federal Reserve in. HR. 15, "Selected Interest Rates." The stress test uses the 10-year CMT to generate earnings yields on assets, expense rates on liabilities, and changes in the market value of assets and liabilities.
constant maturity swap

Investors: UPS
Alternatively, a fluctuating rate of interest equal to the highest of (1) the rate of interest last quoted by The Wall Street Journal as the prime rate in the United States; (2) the Federal Funds effective rate plus 0.50%; and (3) LIBOR for a one month interest period plus 1.00%, plus an applicable margin, may be used at our discretion.
constant maturity rates

Constant maturity swap rate history