Is there any relation between euro swap rates and euribor? I think this is a dumb question but I see the 6-month euribor rate being 5.415% and the 12-month Euribor rate being 5.493% yet the 1yr swap rate is 4.83%.
Normally, I would say that they are very connected as in the swap is based off Euribor. Since your probably looking at something different, you are probably looking at EONIA swaps which are very liquid but are based on overnight rates.
Hey Joey - thanks But, the 1yr swap rate of 4.83% is not, I think, an EONIA swap. Shouldn’t the semi-annual paying 1-yr no-arbitrage fixed swap rate be: X = (1-1/1+12m Euribor)/(1/(1+6m Euribor) + 1/(1+12m Euribor)) * (360/180)? or very close to 0x6 + 6x12 Euribor FRAs? I don’t understand how they are getting the 4.83% figure based off of the listed Euribor rates.
I guess I don’t either. I’ll check it out.