In a 5 year Libor Swap, say fixed vs. 3 months Libor, what is the credit risk reflected by the fixed leg ? (I'm ignoring counterparty credit risk). Would the fixed leg reflect 3 month Libor quoting bank credit quality ?
LIBOR is the London Interbank Offered Rate. These are the rates that banks are offering to lend to each other and therefore will reflect the average credit quality of the banks that participate in the establishing the setting of the rate, which is generally about a AA credit rating.