Suppose today is May 25, 2007 and a company wants to deposit $X for 3 months from Sept 1, 2007 to Nov 30, 2007 and enters into a FRA with a bank.If the settlement is done at end (i.e. Nov 30, 2007) then which date's interest rate is used for settlement purpose ? Is it the interest rates as of Sept 1, 2007 or as of Nov 30, 2007 ?If the settlement is done anytime during the 3 month period, say Oct 1, 2007, then which date's interest rate would be used ?

QuoteOriginally posted by: shettydiwakarSuppose today is May 25, 2007 and a company wants to deposit $X for 3 months from Sept 1, 2007 to Nov 30, 2007 and enters into a FRA with a bank.If the settlement is done at end (i.e. Nov 30, 2007) then which date's interest rate is used for settlement purpose ? Is it the interest rates as of Sept 1, 2007 or as of Nov 30, 2007 ?u have settlement in arrears, but the rate is used the same 3M libor as of sep 1.

QuoteOriginally posted by: jawabeanQuoteOriginally posted by: shettydiwakarSuppose today is May 25, 2007 and a company wants to deposit $X for 3 months from Sept 1, 2007 to Nov 30, 2007 and enters into a FRA with a bank.If the settlement is done at end (i.e. Nov 30, 2007) then which date's interest rate is used for settlement purpose ? Is it the interest rates as of Sept 1, 2007 or as of Nov 30, 2007 ?u have settlement in arrears, but the rate is used the same 3M libor as of sep 1.I'd be careful using "as of", as it can be confusing about exactly which set you mean. The rate is the one set two London busines days before Sep 1st, for value sep 1st.

QuoteOriginally posted by: jawabeanQuoteOriginally posted by: shettydiwakarSuppose today is May 25, 2007 and a company wants to deposit $X for 3 months from Sept 1, 2007 to Nov 30, 2007 and enters into a FRA with a bank.If the settlement is done at end (i.e. Nov 30, 2007) then which date's interest rate is used for settlement purpose ? Is it the interest rates as of Sept 1, 2007 or as of Nov 30, 2007 ?u have settlement in arrears, but the rate is used the same 3M libor as of sep 1.Thanks Jawabean. It is clear to me. Also to complete the answer, if settlement is done before 30 Nov, then the "present value" of settlement on 30 Nov (using 1 Sep LIBOR rate) is given, isn't it ?

QuoteOriginally posted by: NorthernJohnQuoteOriginally posted by: jawabeanQuoteOriginally posted by: shettydiwakarSuppose today is May 25, 2007 and a company wants to deposit $X for 3 months from Sept 1, 2007 to Nov 30, 2007 and enters into a FRA with a bank.If the settlement is done at end (i.e. Nov 30, 2007) then which date's interest rate is used for settlement purpose ? Is it the interest rates as of Sept 1, 2007 or as of Nov 30, 2007 ?u have settlement in arrears, but the rate is used the same 3M libor as of sep 1.I'd be careful using "as of", as it can be confusing about exactly which set you mean. The rate is the one set two London busines days before Sep 1st, for value sep 1st.Thanks NorthernJohn for pointing out that LIBOR rates are set 2 days prior to the actual date from whence it is valid.

Except Sterling, of course, where is is set for the same day.For all other rate trades, though "today" is not generally something that effects your calculations. T+2 is where it's at.