I have a question about the definition and understanding of libor rates. We have the time to maturity tenor, $T$, which is the time over which i borrow or lend money. For libor we also have the reset date, i.e. in Bloomberg we find USD 3 Month LIBOR 25 Year. What does this exactly mean? Here the 3 Month is the reset tenor and 25 Year is the time to maturity. So for sure this is the interest rate over the next 25 Year. But what does the reset tenor mean? I observe daily changes in the market for this rate, so it cant be the interest I borrow or lend over the next 3 Month. One possible ticker in Bloomberg is for example S0023Z 25Y BLC2 Curncy.
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1 Answer
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This is something I think the help desk (F1F1) would have answered with ease.
S0023Z 25y BLC2 is a derived Zero Rate from US 3m LIBOR fixed to float (FXFL) interest rate swaps. The tenor in this example is 25y, and the swap quote would be the fixed rate that makes the swap fair. This answer shows a 5y swap which is otherwise identical. The coupon is the quoted value from which the zero rate of the ticker is computed from (would be 5y zero in this case).
The Ticker logic is explained as follows:
- S stands for swaps (same logic for government bonds, where you have G instead of S; see the FWCM link below for an example)
- 23 is the 3M LIBOR curve as seen on
ICVS - Z stands for zero
- 25y is the swap tenor
- BLC2 is the "pricing source". All BLC* tickers are Bloomberg calculated values. This is also what FWCM tickers and some FRD values have.
