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In the Wall Street Journal there is a list of money rate benchmarks. One of them is LIBOR swaps (USD), whose description is

LIBOR swaps are mid-market, semi-anual swap rates and pay the floating 3-month LIBOR rate.

So we have a variable rate which is LIBOR + X% and a fixed rate/swap rate which is Y% - what is the "libor swap rate"?

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The libor swap rates show the fixed rate you would have to pay if you entered into a swap agreement where you received the floating 3-month libor rate.

From the link in your question:
Two Year: 0.478
Three Year: 0.549
Five Year: 0.842

For example, if I wanted to enter into a two year interest rate swap I would have to pay a fixed rate of 0.478 % for two years and in return I would receive interest payments based on the 3-month LIBOR rate (currently 0.4551 %). My interest payments would be fixed while the money I received from the swap would be variable based on the 3-month libor rate.

"Mid-market" refers to the value halfway between highest bid and the lowest offer.

Semi-annual means the swap settles interest payments every 6 months.

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  • Ah thanks - I assumed the fixed rate you swapped was determined between the two parties and not something the market would be involved in.
    – John D
    Jul 13 '12 at 17:40
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    The fixed rate (swap rate) WAS determined between the two parties and is NOT something the market is directly involved in. The market is where you go to look and see what kind of fixed rates are being agreed upon by everybody.
    – user10413
    Jun 22 '13 at 14:20
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LIBOR rate swaps are common most among an international bank and a with a branch in another country, so say Company A is located in Kenya and Company B is in the US, A can borrow $100M from the US and B the same from Kenya and agree to swap assuming that A borrowed at a fixed rate of say 5% and B borrowed for say a 6 month LIBOR rate of maybe 4.2% which increases at a rate of say 0.5% above the prior 6 moth libor rate for time t being 5 years.A is the fixed rate payer and B is the floating rate payer.

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