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Derivatives


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Par Floater Spread


The quoted margin for a par floater. In other words, it is the spread over a floating rate (e.g., LIBOR) paid by a floating rate note (floater) issued today at par. In essence, it is a credit spread that measures the credit risk associated with the par floater. That is, it reflects the market-perceived credit risk of the note issuer. The fixed spread of a floating-rate note is an indication of the par floater spread and hence, the credit quality of its issuer when it was issued at par.


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