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Reset Rate Date

The point in time when the coupon rate for a variable rate or floating rate financial instrument is re-adjusted to reflect changes in a benchmark index. Usually, interest is paid at the end of a specific quarter based on the value of 3-month LIBOR two business days before the start of that quarter. The coupon rate is calculated as the reference rate (3-month LIBOR) plus a fixed spread. Reset dates are usually monthly, quarterly, semi-annual or annual.

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F3 Brochure

Portfolio valuation and risk analytics for multi-asset derivatives and fixed income.