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The IRPH is supported by the fact that spreads between corporate financial and non-financial bond rates and the LIBOR rate increased following the TAF announcement.
Evidence of the IRPH: The Behavior of Corporate Financial and Bank Bond Spreads
The behavior of the AA corporate financial/AA bank bond spread is consistent with the IRPH for two reasons.
The portfolio mainly contains floating-rate loans linked to 12-month Euribor [91.5%], or "Indice de Referencia de Prestamos Hipotecarios conjunto de entidades de credito" ("IRPH"), whereas the notes are linked to three-month Euribor and reset every quarter on the determination dates.
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- IRP Line
- IRP Theorem