The consistent widening of the Libor-overnight index swap
spread all suggests that liquidity is declining in global financial markets even as systemic credit risk rises.
According to Principia, version 6.6 of the platform delivers enhanced valuation capabilities to support the shift in derivatives markets towards Overnight Index Swap
(OIS) discounting, giving clients the flexibility to adopt OIS discounting for collateral calculations and valuation of their derivative positions.
Reserve Bank Governor Alan Bollard is expected to boost the OCR 132 basis points over the coming year, according to the Overnight Index Swap
The spread expresses the three-month premium paid over anticipated central bank rates, or Over night Index Swap
rates, and is seen as a gauge of banks' willingness to lend to each other - a wider spread is seen as an indication of decreased inclination to lend.
A key indicator of liquidity is the spread between the London Interbank Borrowing Rate (Libor) on a term loan and the interest rate paid on an Overnight Index Swap
(OIS) for a comparable maturity.
. Another way to defer tax on appreciated securities is to swap the portfolio's performance for that of an index fund through a contractual agreement with a brokerage firm.
India's one-year overnight index swap
fell around three basis points after Friday's data.
Barclays Capital will purchase the metals contracts and create an index swap
for the fund, based on Castlestone's desired weightings.
The central bank said that it will set a minimum rate on the 264-day credits based on the Overnight Index Swap
rate plus a spread of 50 basis points.