Forward Rate Agreement Counterparty Risk

This allows us to see how interest rates change the value of the FRA changes, which in turn results in a counterparty and an equivalent loss for the other counterparty. A purchase rate agreement involves two parties, namely the buyer and the seller. The buyer of such a contract sets the interest rate on the start date of the contract and the seller sets the interest rate on the credit. When creating a FRA, both parties have no profit/loss. The waiting period is the start period of the fictitious loan and can take up to 12 months, although durations of up to 6 months are the most frequent. The duration of the contract extends over the term of the fictitious loan and can last up to 12 months....

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Kategorien: Allgemein