I am in the middle of building an lbo model and was hoping someone could suggest a free site where I might be able to get forward LIBOR rates for my debt schedule. If such a site does not exist, would someone mind pulling some rates through 2014 for me from Bloomberg?
Thanks, I would really appreciate it.
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it's unlikely you will do an LBO with floating rate notes, so not sure why you need a Libor curve
what are you talking about? term loans are off of LIBOR as everyone said.
^???? Bank debt is priced as a spread over LIBOR........
Are you kidding? Term loans are floating pegged on LIBOR!
Bootstrap it yourself, dude. Why is everyone on this forum so damn lazy? Why don't you figure it out, then post what you did and how you did it and, as a result of that process, actually add some value to people's lives, instead of just asking someone to give you the answer.
I was able to get some forward rates from a bank we work with. The only other thing I could think of was using a floor-rate.
Thanks.
If you're assuming there's a libor floor of 2% or 3% then why not just use that all the way through?
Have you thought about consulting the almighty Bloomberg Terminal?
I just saw a really cool chart the other day. I'll see if I can find it again.
the bulk of your financing will be a term loan - fixed rate. Yes, the loan is initially priced as a spread above libor, but then it's fixed at funding. Why do you think bonds trade at a premium or discount to par, because they're fixed rate.
Uh... no.
Leveraged loans are not fixed at funding. If they were, then the LBO market would be a fraction of the size it is today, because CLOs -- which have to invest in floating rate loans -- wouldn't be able to invest in any of the debt that is issued to finance the transaction.
I'm not sure why you start off talking about loans and then switch to bonds. Yes, high yield notes are priced at a fixed rate, but they're not financing the bulk of the LBO transactions. As for the premium or discount to par comment, that's something that happens with variable rate securities too.
Wow some of the above statements about LBO financing and term debt are ridiculous and exactly why I would warn against from taking advice from anyone outside a select circle of proven posters.
why can't you just use eurodollar futures as quoted by the cme?
http://www.cmegroup.com/trading/interest-rates/stir/eurodollar.html
First, let me clarify my initial comment. I was questioning why a forward libor curve would be needed. My bad, I left out the word forward. There's a difference between a forward libor curve and a libor yield curve - that's all I was pointing out.
Do LBOs use floating rates, sure. But, the majority are done using fixed rate term loans. And the majority of loans in a CLO are fixed rate. I supposed everyone sees different things, but that's what I saw and worked on while at GS and at my current gig.
Were you a janitor at GS?
+1 for the janitor jab, if blackcleo worked at Goldman then it was in Ops
blackcleo,
What do you do what do you do where you see primarily fixed rate loans? I typically read anywhere from 5-20 CIMs a week that are marketing loans, and I don't think I've ever seen a fixed rate term loan. Many CLOs can only invest in floating rate securities. It makes sense because CLOs generate returns based on the spread of what they're invested in over the rates they're borrowing at (which are, for the most part, floating rate notes that the CLO issues).
6-Month Date Spot Rate Forward Rate 09/02/2010 0.3496 10/04/2010 0.2579 0.3838 11/02/2010 0.2794 0.4109 12/02/2010 0.299 0.4355 01/04/2011 0.3236 0.46 02/02/2011 0.3409 0.4822 03/02/2011 0.3515 0.5042 04/04/2011 0.3684 0.532 05/03/2011 0.3798 0.5625 06/02/2011 0.3932 0.5936 07/05/2011 0.4066 0.6335 08/02/2011 0.4195 0.6721 09/02/2011 0.4335 0.715 10/03/2011 0.4471 0.7633 11/02/2011 0.4628 0.8115 12/02/2011 0.4773 0.8665 01/03/2012 0.4952 0.9183 02/02/2012 0.5139 0.9719 03/02/2012 0.5299 1.0285 04/02/2012 0.5501 1.0832 05/02/2012 0.57 1.1394 06/06/2012 0.5942 1.2041 07/02/2012 0.6124 1.2546 08/02/2012 0.6361 1.3153 09/04/2012 0.6612 1.3739 10/02/2012 0.6822 1.4278 11/02/2012 0.7071 1.4841 12/03/2012 0.7311 1.5427 01/02/2013 0.7558 1.5966 02/04/2013 0.7836 1.6567 03/04/2013 0.8047 1.7089 04/02/2013 0.8294 1.7626 05/02/2013 0.8541 1.8255 06/03/2013 0.8813 1.8862 07/02/2013 0.9055 1.9438 08/02/2013 0.9325 2.0032 09/03/2013 0.9603 2.0599 10/02/2013 0.9852 2.1124 11/04/2013 1.015 2.1678 12/02/2013 1.0394 2.2129 01/02/2014 1.0673 2.2627 02/03/2014 1.096 2.3156 03/03/2014 1.1185 2.3626 04/02/2014 1.1453 2.4127 05/02/2014 1.1712 2.4654 06/02/2014 1.1988 2.5158 07/02/2014 1.2245 2.5672 08/04/2014 1.2536 2.6224 09/02/2014 1.2792 2.6681 10/02/2014 1.305 2.716 11/03/2014 1.3334 2.7666 12/02/2014 1.3582 2.8105 01/02/2015 1.3855 2.8572 02/02/2015 1.4127 2.9052 03/02/2015 1.4347 2.9493 04/02/2015 1.4617 2.9783 05/05/2015 1.4895 3.0092 06/02/2015 1.5138 3.0337 07/02/2015 1.5389 3.0616 08/03/2015 1.5664 3.0873 09/02/2015 1.5921 3.1101 10/02/2015 1.6152 3.1527 11/02/2015 1.6399 3.1923 12/02/2015 1.6629 3.2318 01/04/2016 1.6889 3.2749 02/02/2016 1.7117 3.3116 03/02/2016 1.7328 3.3504 04/04/2016 1.7585 3.353 05/03/2016 1.7802 3.3537 06/02/2016 1.8035 3.3535 07/05/2016 1.828 3.3523 08/02/2016 1.8495 3.3501 09/02/2016 1.8732 3.3446 10/03/2016 1.8929 3.3778 11/02/2016 1.9126 3.4084 12/02/2016 1.9315 3.4399 01/03/2017 1.9523 3.4719 02/02/2017 1.9718 3.5023 03/02/2017 1.9875 3.5343 04/03/2017 2.008 3.535 05/02/2017 2.0258 3.5335 06/02/2017 2.0456 3.5314 07/03/2017 2.0645 3.5282 08/02/2017 2.0835 3.5245 09/05/2017 2.1048 3.5175 10/02/2017 2.119 3.5411 11/02/2017 2.1361 3.5654 12/04/2017 2.1528 3.592 01/02/2018 2.1687 3.6147 02/02/2018 2.1855 3.6394 03/02/2018 2.1983 3.6643 04/03/2018 2.2155 3.6552 05/02/2018 2.2303 3.6446 06/04/2018 2.2478 3.6322 07/02/2018 2.262 3.6209 08/02/2018 2.2783 3.6084 09/04/2018 2.2956 3.5915 10/02/2018 2.3076 3.6098 11/02/2018 2.3215 3.6288 12/03/2018 2.3346 3.6486 01/02/2019 2.348 3.6666 02/04/2019 2.3626 3.6872 03/04/2019 2.3727 3.7043 04/02/2019 2.3855 3.6998 05/02/2019 2.3979 3.6943 06/03/2019 2.4118 3.6882 07/02/2019 2.4236 3.6823 08/02/2019 2.4369 3.6757 09/03/2019 2.4506 3.6669 10/02/2019 2.461 3.6819 11/04/2019 2.4735 3.6983 12/02/2019 2.4835 3.7121 01/02/2020 2.4952 3.7267 02/03/2020 2.5072 3.742 03/02/2020 2.5162 3.7562 04/02/2020 2.5277 3.7304 05/05/2020 2.5391 3.701 06/02/2020 2.5495 3.6763 07/02/2020 2.5597 3.6486 08/03/2020 2.5713 3.619 09/02/2020 2.5822 3.5896 10/02/2020 2.5902 3.602 11/02/2020 2.5993 3.6118 12/02/2020 2.6073 3.6219 01/04/2021 2.6167 3.6335 02/02/2021 2.625 3.6426 03/02/2021 2.631 3.653 04/06/2021 2.6408 3.7191 05/04/2021 2.648 3.7752 06/02/2021 2.6562 3.8307 07/02/2021 2.6639 3.8926 08/02/2021 2.6725 3.9519 09/02/2021 2.681 4.0122 10/04/2021 2.6914 4.0249 11/02/2021 2.7014 4.0359 12/02/2021 2.7111 4.0472 01/04/2022 2.7223 4.0594 02/02/2022 2.7322 4.0695 03/02/2022 2.7396 4.0808 04/04/2022 2.7507 4.0255 05/03/2022 2.7597 3.9739 06/02/2022 2.7697 3.9219 07/05/2022 2.7798 3.8627 08/02/2022 2.789 3.8125 09/02/2022 2.7991 3.7554 10/03/2022 2.8058 3.7631 11/02/2022 2.8128 3.7698 12/02/2022 2.8192 3.777 01/03/2023 2.8266 3.784 02/02/2023 2.8335 3.7907 03/02/2023 2.8381 3.7987 04/03/2023 2.8454 3.8044 05/02/2023 2.8513 3.8109 06/02/2023 2.8583 3.8177 07/03/2023 2.8646 3.8238 08/02/2023 2.8713 3.8299 09/05/2023 2.8788 3.8361 10/02/2023 2.8841 3.8417 11/02/2023 2.8909 3.8474 12/04/2023 2.8972 3.8538 01/02/2024 2.9035 3.859 02/02/2024 2.9101 3.8647 03/04/2024 2.9155 3.8709 04/02/2024 2.9217 3.8758 05/02/2024 2.9274 3.8819 06/03/2024 2.934 3.8865 07/02/2024 2.9395 3.8917 08/02/2024 2.9459 3.8972 09/03/2024 2.9524 3.9012 10/02/2024 2.9577 3.9062 11/04/2024 2.9644 3.9116 12/02/2024 2.9695 3.9157 01/02/2025 2.9756 3.9201 02/03/2025 2.9819 3.9251 03/03/2025 2.9858 3.9282 04/02/2025 2.9917 3.8874 05/02/2025 2.9969 3.8435 06/02/2025 3.0029 3.801 07/02/2025 3.0081 3.7578 08/04/2025 3.0144 3.7105 09/02/2025 3.0199 3.668 10/02/2025 3.0234 3.6708 11/03/2025 3.0277 3.6737 12/02/2025 3.0311 3.6758 01/02/2026 3.0352 3.678 02/02/2026 3.0393 3.6806 03/02/2026 3.0414 3.6832 04/02/2026 3.0455 3.6853 05/05/2026 3.0492 3.6878 06/02/2026 3.0528 3.6896 07/02/2026 3.0562 3.6923 08/03/2026 3.0602 3.694 09/02/2026 3.064 3.6952 10/02/2026 3.0672 3.6973 11/02/2026 3.0711 3.6995 12/02/2026 3.0743 3.701 01/04/2027 3.0783 3.7031 02/02/2027 3.0819 3.7043 03/02/2027 3.0837 3.7065 04/02/2027 3.0874 3.7083
3-Month Date Spot Rate Forward Rate 09/02/2010 0.2956 10/04/2010 0.2579 0.3392 11/02/2010 0.2794 0.3735 12/02/2010 0.299 0.4038 01/04/2011 0.3236 0.4289 02/02/2011 0.3409 0.4487 03/02/2011 0.3515 0.466 04/04/2011 0.3684 0.4899 05/03/2011 0.3798 0.5153 06/02/2011 0.3932 0.5419 07/05/2011 0.4066 0.5746 08/02/2011 0.4195 0.6076 09/02/2011 0.4335 0.645 10/03/2011 0.4471 0.6883 11/02/2011 0.4628 0.7355 12/02/2011 0.4773 0.7838 01/03/2012 0.4952 0.8376 02/02/2012 0.5139 0.8877 03/02/2012 0.5299 0.943 04/02/2012 0.5501 0.995 05/02/2012 0.57 1.0519 06/06/2012 0.5942 1.1186 07/02/2012 0.6124 1.1676 08/02/2012 0.6361 1.2236 09/04/2012 0.6612 1.2832 10/02/2012 0.6822 1.3376 11/02/2012 0.7071 1.4007 12/03/2012 0.7311 1.4597 01/02/2013 0.7558 1.5149 02/04/2013 0.7836 1.5729 03/04/2013 0.8047 1.6206 04/02/2013 0.8294 1.6712 05/02/2013 0.8541 1.728 06/03/2013 0.8813 1.7879 07/02/2013 0.9055 1.8457 08/02/2013 0.9325 1.9135 09/03/2013 0.9603 1.9785 10/02/2013 0.9852 2.035 11/04/2013 1.015 2.0898 12/02/2013 1.0396 2.1351 01/02/2014 1.0675 2.1852 02/03/2014 1.0963 2.2392 03/03/2014 1.1188 2.2846 04/02/2014 1.1457 2.3322 05/02/2014 1.1716 2.383 06/02/2014 1.1992 2.4307 07/02/2014 1.225 2.4869 08/04/2014 1.2542 2.5488 09/02/2014 1.2798 2.6022 10/02/2014 1.3059 2.6507 11/03/2014 1.3345 2.7011 12/02/2014 1.3596 2.7447 01/02/2015 1.3871 2.7929 02/02/2015 1.4146 2.8424 03/02/2015 1.4368 2.8853 04/02/2015 1.4641 2.9315 05/05/2015 1.4921 2.9821 06/02/2015 1.5167 3.024 07/02/2015 1.542 3.025 08/03/2015 1.5697 3.0244 09/02/2015 1.5957 3.0215 10/02/2015 1.6185 3.0637 11/02/2015 1.6429 3.103 12/02/2015 1.6655 3.1414 01/04/2016 1.6912 3.1841 02/02/2016 1.7138 3.2214 03/02/2016 1.7345 3.2591 04/04/2016 1.7599 3.3007 05/03/2016 1.7813 3.337 06/02/2016 1.8043 3.3742 07/05/2016 1.8285 3.3422 08/02/2016 1.8498 3.3134 09/02/2016 1.8732 3.2791 10/03/2016 1.8927 3.3124 11/02/2016 1.9124 3.3437 12/02/2016 1.9312 3.3734 01/03/2017 1.952 3.4061 02/02/2017 1.9715 3.4358 03/02/2017 1.987 3.466 04/03/2017 2.0076 3.4971 05/02/2017 2.0253 3.5264 06/02/2017 2.045 3.5586 07/03/2017 2.0638 3.528 08/02/2017 2.0828 3.493 09/05/2017 2.104 3.451 10/02/2017 2.1181 3.4739 11/02/2017 2.135 3.4993 12/04/2017 2.1516 3.5247 01/02/2018 2.1673 3.5479 02/02/2018 2.184 3.5714 03/02/2018 2.1966 3.5963 04/03/2018 2.2137 3.6195 05/02/2018 2.2283 3.6424 06/04/2018 2.2457 3.6675 07/02/2018 2.2597 3.6347 08/02/2018 2.2759 3.5973 09/04/2018 2.293 3.5558 10/02/2018 2.3051 3.5744 11/02/2018 2.3192 3.5952 12/03/2018 2.3324 3.6133 01/02/2019 2.3459 3.6316 02/04/2019 2.3606 3.653 03/04/2019 2.3708 3.6701 04/02/2019 2.3837 3.6872 05/02/2019 2.3962 3.7057 06/03/2019 2.4102 3.7246 07/02/2019 2.4221 3.7118 08/02/2019 2.4356 3.6978 09/03/2019 2.4494 3.6818 10/02/2019 2.4603 3.6976 11/04/2019 2.4734 3.7148 12/02/2019 2.4838 3.7289 01/02/2020 2.496 3.7447 02/03/2020 2.5085 3.7613 03/02/2020 2.518 3.7752 04/02/2020 2.53 3.79 05/05/2020 2.5419 3.8065 06/02/2020 2.5527 3.82 07/02/2020 2.5635 3.7609 08/03/2020 2.5756 3.6969 09/02/2020 2.5869 3.6356 10/02/2020 2.5956 3.6482 11/02/2020 2.6052 3.6592 12/02/2020 2.6138 3.6696 01/04/2021 2.6239 3.6826 02/02/2021 2.6328 3.6927 03/02/2021 2.6393 3.7032 04/06/2021 2.6498 3.7153 05/04/2021 2.6576 3.7254 06/02/2021 2.6663 3.7355 07/02/2021 2.6745 3.7787 08/02/2021 2.6837 3.8193 09/02/2021 2.6928 3.8617 10/04/2021 2.7022 3.8734 11/02/2021 2.7114 3.8836 12/02/2021 2.7201 3.8932 01/04/2022 2.7303 3.9044 02/02/2022 2.7393 3.9142 03/02/2022 2.7459 3.9242 04/04/2022 2.7559 3.935 05/03/2022 2.7641 3.9443 06/02/2022 2.7732 3.9538 07/05/2022 2.7824 3.8819 08/02/2022 2.7908 3.8202 09/02/2022 2.8 3.7509 10/03/2022 2.8068 3.7588 11/02/2022 2.814 3.7661 12/02/2022 2.8205 3.7726 01/03/2023 2.8281 3.7801 02/02/2023 2.8352 3.7867 03/02/2023 2.8399 3.794 04/03/2023 2.8473 3.8009 05/02/2023 2.8534 3.8076 06/02/2023 2.8606 3.8153 07/03/2023 2.867 3.821 08/02/2023 2.8738 3.8274 09/05/2023 2.8815 3.8341 10/02/2023 2.887 3.8399 11/02/2023 2.8939 3.8462 12/04/2023 2.9003 3.8522 01/02/2024 2.9068 3.8578 02/02/2024 2.9135 3.8635 03/04/2024 2.919 3.8699 04/02/2024 2.9253 3.875 05/02/2024 2.9312 3.8807 06/03/2024 2.938 3.8864 07/02/2024 2.9436 3.8915 08/02/2024 2.9501 3.8975 09/03/2024 2.9568 3.902 10/02/2024 2.9623 3.9071 11/04/2024 2.969 3.9125 12/02/2024 2.9742 3.9167 01/02/2025 2.9806 3.9213 02/03/2025 2.987 3.9268 03/03/2025 2.991 3.931 04/02/2025 2.997 3.9352 05/02/2025 3.0024 3.9404 06/02/2025 3.0085 3.9443 07/02/2025 3.0138 3.8406 08/04/2025 3.0202 3.7258 09/02/2025 3.0258 3.6243 10/02/2025 3.0292 3.6269 11/03/2025 3.0334 3.6295 12/02/2025 3.0366 3.6313 01/02/2026 3.0405 3.6337 02/02/2026 3.0445 3.6364 03/02/2026 3.0464 3.6385 04/02/2026 3.0503 3.6405 05/05/2026 3.0538 3.643 06/02/2026 3.0573 3.6449 07/02/2026 3.0605 3.6468 08/03/2026 3.0644 3.6489 09/02/2026 3.068 3.6505 10/02/2026 3.0711 3.653 11/02/2026 3.0748 3.6544 12/02/2026 3.0779 3.6557 01/04/2027 3.0817 3.6577 02/02/2027 3.0851 3.6593 03/02/2027 3.0869 3.661 04/02/2027 3.0904 3.6623
1-Month Date Spot Rate Forward Rate 09/02/2010 0.2578 10/04/2010 0.2579 0.2949 11/02/2010 0.2794 0.3381 12/02/2010 0.299 0.3804 01/04/2011 0.3236 0.4029 02/02/2011 0.3409 0.433 03/02/2011 0.3515 0.4489 04/04/2011 0.3684 0.4635 05/03/2011 0.3798 0.4874 06/02/2011 0.3932 0.5156 07/05/2011 0.4066 0.5444 08/02/2011 0.4195 0.5679 09/02/2011 0.4335 0.6048 10/03/2011 0.4471 0.6511 11/02/2011 0.4628 0.6799 12/02/2011 0.4773 0.7305 01/03/2012 0.4952 0.7955 02/02/2012 0.5139 0.8295 03/02/2012 0.5299 0.8819 04/02/2012 0.5501 0.9478 05/02/2012 0.57 0.9907 06/06/2012 0.5942 1.0585 07/02/2012 0.6124 1.1179 08/02/2012 0.6361 1.1642 09/04/2012 0.6612 1.2254 10/02/2012 0.6822 1.2839 11/02/2012 0.7071 1.3308 12/03/2012 0.7311 1.397 01/02/2013 0.7558 1.4665 02/04/2013 0.7836 1.5147 03/04/2013 0.8047 1.5664 04/02/2013 0.8294 1.6169 05/02/2013 0.8541 1.6663 06/03/2013 0.8813 1.7265 07/02/2013 0.9055 1.7869 08/02/2013 0.9325 1.8377 09/03/2013 0.9603 1.907 10/02/2013 0.9851 1.977 11/04/2013 1.0148 2.0289 12/02/2013 1.0392 2.0759 01/02/2014 1.067 2.1275 02/03/2014 1.0956 2.1761 03/03/2014 1.118 2.224 04/02/2014 1.1448 2.2714 05/02/2014 1.1705 2.3203 06/02/2014 1.198 2.3687 07/02/2014 1.2236 2.4187 08/04/2014 1.2526 2.4711 09/02/2014 1.2781 2.55 10/02/2014 1.3043 2.5996 11/03/2014 1.333 2.6485 12/02/2014 1.3581 2.695 01/02/2015 1.3857 2.7434 02/02/2015 1.4133 2.7888 03/02/2015 1.4355 2.8345 04/02/2015 1.4629 2.8836 05/05/2015 1.491 2.9319 06/02/2015 1.5156 2.9731 07/02/2015 1.541 3.0196 08/03/2015 1.5688 3.0619 09/02/2015 1.5949 2.9769 10/02/2015 1.6178 3.0178 11/02/2015 1.6422 3.0581 12/02/2015 1.6649 3.0999 01/04/2016 1.6907 3.1413 02/02/2016 1.7133 3.1772 03/02/2016 1.7341 3.2175 04/04/2016 1.7596 3.2571 05/03/2016 1.7811 3.2943 06/02/2016 1.8041 3.3333 07/05/2016 1.8284 3.3726 08/02/2016 1.8497 3.4069 09/02/2016 1.8732 3.2351 10/03/2016 1.8927 3.2677 11/02/2016 1.9124 3.2983 12/02/2016 1.9311 3.3307 01/03/2017 1.9518 3.3628 02/02/2017 1.9712 3.3913 03/02/2017 1.9868 3.4221 04/03/2017 2.0072 3.4526 05/02/2017 2.0249 3.4819 06/02/2017 2.0446 3.5122 07/03/2017 2.0634 3.5422 08/02/2017 2.0822 3.5729 09/05/2017 2.1034 3.4131 10/02/2017 2.1175 3.4361 11/02/2017 2.1344 3.4621 12/04/2017 2.1509 3.4876 01/02/2018 2.1667 3.5109 02/02/2018 2.1833 3.5339 03/02/2018 2.1959 3.5582 04/03/2018 2.2129 3.5821 05/02/2018 2.2276 3.6062 06/04/2018 2.2449 3.6303 07/02/2018 2.2589 3.6515 08/02/2018 2.2751 3.6758 09/04/2018 2.2922 3.5384 10/02/2018 2.3044 3.5573 11/02/2018 2.3186 3.5774 12/03/2018 2.332 3.5973 01/02/2019 2.3456 3.6174 02/04/2019 2.3605 3.6356 03/04/2019 2.3708 3.6545 04/02/2019 2.3839 3.6718 05/02/2019 2.3965 3.6911 06/03/2019 2.4106 3.7093 07/02/2019 2.4227 3.727 08/02/2019 2.4363 3.7457 09/03/2019 2.4502 3.6046 10/02/2019 2.4607 3.6207 11/04/2019 2.4732 3.6361 12/02/2019 2.4832 3.6505 01/02/2020 2.495 3.6663 02/03/2020 2.507 3.6806 03/02/2020 2.5161 3.6949 04/02/2020 2.5276 3.7106 05/05/2020 2.539 3.7253 06/02/2020 2.5494 3.7379 07/02/2020 2.5597 3.7525 08/03/2020 2.5714 3.7592 09/02/2020 2.5822 3.5481 10/02/2020 2.5904 3.5595 11/02/2020 2.5996 3.5703 12/02/2020 2.6076 3.582 01/04/2021 2.6172 3.5929 02/02/2021 2.6256 3.6019 03/02/2021 2.6316 3.614 04/06/2021 2.6416 3.6241 05/04/2021 2.6489 3.6339 06/02/2021 2.6572 3.6431 07/02/2021 2.665 3.6533 08/02/2021 2.6736 3.6633 09/02/2021 2.6823 3.9381 10/04/2021 2.6925 3.9501 11/02/2021 2.7025 3.9608 12/02/2021 2.712 3.9734 01/04/2022 2.7231 3.9848 02/02/2022 2.7329 3.9943 03/02/2022 2.7403 4.0065 04/04/2022 2.7512 4.017 05/03/2022 2.7601 4.0277 06/02/2022 2.77 4.0389 07/05/2022 2.78 4.0494 08/02/2022 2.7892 4.0588 09/02/2022 2.7992 3.7476 10/03/2022 2.8061 3.7554 11/02/2022 2.8134 3.7625 12/02/2022 2.8201 3.7705 01/03/2023 2.8278 3.7778 02/02/2023 2.835 3.784 03/02/2023 2.8398 3.7918 04/03/2023 2.8473 3.7986 05/02/2023 2.8535 3.8054 06/02/2023 2.8608 3.8124 07/03/2023 2.8673 3.8192 08/02/2023 2.8743 3.8266 09/05/2023 2.882 3.8326 10/02/2023 2.8876 3.8386 11/02/2023 2.8946 3.8453 12/04/2023 2.9012 3.8515 01/02/2024 2.9077 3.8573 02/02/2024 2.9146 3.8633 03/04/2024 2.9202 3.8693 04/02/2024 2.9266 3.8745 05/02/2024 2.9326 3.8807 06/03/2024 2.9395 3.886 07/02/2024 2.9452 3.8915 08/02/2024 2.9518 3.8973 09/03/2024 2.9586 3.9023 10/02/2024 2.9642 3.9081 11/04/2024 2.971 3.9128 12/02/2024 2.9763 3.9177 01/02/2025 2.9828 3.923 02/03/2025 2.9893 3.9269 03/03/2025 2.9934 3.9322 04/02/2025 2.9995 3.9365 05/02/2025 3.005 3.9412 06/02/2025 3.0112 3.9455 07/02/2025 3.0166 3.9507 08/04/2025 3.0231 3.9332 09/02/2025 3.0288 3.6228 10/02/2025 3.0322 3.6258 11/03/2025 3.0364 3.628 12/02/2025 3.0397 3.6306 01/02/2026 3.0437 3.633 02/02/2026 3.0477 3.6347 03/02/2026 3.0497 3.6375 04/02/2026 3.0536 3.6402 05/05/2026 3.0572 3.6422 06/02/2026 3.0608 3.6439 07/02/2026 3.064 3.6464 08/03/2026 3.0679 3.6483 09/02/2026 3.0716 3.65 10/02/2026 3.0748 3.6521 11/02/2026 3.0785 3.6538 12/02/2026 3.0816 3.6562 01/04/2027 3.0855 3.6577 02/02/2027 3.089 3.6587 03/02/2027 3.0907 3.6608 04/02/2027 3.0944 3.6627
I worked at a MM shop and all of the senior debt was L+.
Was not a janitor - was a Senior Facility Maintenance Engineer. All kidding aside, I guess I show my age from the days when virtually all term loans were fixed rate. Just exchanged emails with a few friends - MD at a BB DCM, CEO of a Regional Bank, and Attorney specializing in finance. I can definitely confirm that there's still plenty of fixed rate lending on terms loans used for LBOs; however, banks and CLOs are quick to swap them out to floating to avoid interest rate risk. There are also CLO-driven floating rate term loans which now make up a sizeable portion of the LBO financing market (50-65% was the range estimated).
I'm big enough to admit that I wasn't up to speed on the availability of the floating rate term loans, but it appears that there are also still plenty of fixed rate term loans - but this makes sense because as a borrower it's natural to want to lock in today's low rates.
Nuf said?
I think you have it the other way around. (I don't want to say never...) but you usally will ahve floating rate term loans and if the company wants, it can pay a premium and do an interest rate swap to hedge against future interest rate volatility. However, that is not the norm. but it does happen.
Go and read any credit agreement or offering memorandum... theyr'e all (or mostly all) floating rate. that's what my group has seen, that's what is marketed to investors, and that's what we use in our models.
So, yes, you will need a forward 3-mo libor for TL's.
^^^ This
If term loans were at fixed rates, there would be no opportunity to cross-sell!
how do you bootstrap it yourself?
you need bloomberg to pull the #"s? anyonr have an answer to the Eurodollar post?
Treasury notes and LIBOR rate (Originally Posted: 09/24/2009)
I can't find the connecting link.
Shouldn't American banks set their floating interest rates equal to the Fed Funds rate + X%
I am not sure about the first question. But the answer to the second question is:
Because banks are more likely to borrow from each other than they are to borrow from the FED, they rely more on LIBOR(London InterBank Overnight Rate). The reason they are likely to borrow from each other is because the FED is monitoring the banks and if banks borrow money from the FED too often, the FED could deem them as illiquid and require them to follow stricter rules or basically the FED gets involved in the banks decision making process. And as we know, Banks don't like the interference.
At least this is the answer I got from my Econ textbooks.
I hope I articulated it clearly.
The 30 YR MBS and 10 YR UST have similiar durations. In the fixed income market the yield on risky assets (ie the 30 YR MBS) are compared to risk free assets (10 YR UST) which have an equivelant duration. This allows for a cleaner comparison of the yields of the two bonds since the duration component of the yield is a wash.
^^ Good point, and along those lines because the durations are similar, the quick hedge for most passthru securities is the 10 Year note. As a result, they two will have very high correlation.
Can you explain how the 10 year treasury note is used to hedge passthru securities?
Long the Pass Thru and Short the 10 YR UST
If the Pass Thru is a GNMA, it is of the same credit risk as the UST (it has an explicit US Govt Guarantee). As a result, you are simply long the pre-payment risk of the GNMA since the duration risk has been essentially sold via the UST. One thing to remember is the GNMA is negatively convexed instrument (since the mortgage holders essentially have a call option to prepay whenever they want). Part of the yield of the GNMA is an expectation of these prepayments. Not to get into too much detail here, but things can get messy if rates drop and prepayments pick up more than expected. Essentially, the duration of the GNMA will contract and the price movement of the GNMA and UST will diverge.
If the Pass Thru is a FNMA or FHLB, then you have assumed a little credit risk on top of the convexity/prepayment risk. FNMA and FHLB have an implicit US Govt Guarantee, so they trade at a slight price discount (higher yield) to GNMAs.
If the the MBS is a non-Agency, then you have assumed credit risk which is dependent upon the underlying loans, collateral, and security structure. Convexity/prepayment risk also remains.
It is not altogether complicated. In bond world the quick way to hedge is by duration. Since 30 YR MBS have similar duration to the 10 YR Note, buying one and selling the other is a fairly close hedge.
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