We also consider an efficient market specification whereby all information available to the bidder prior to the auction is embodied in the interest rate on the matched maturity instrument prevailing in the market the day before the auction
For bonds, the information contained in the previous auction of the matched maturity instrument does not add to the information set of the bidders.
Initially tpSWAPDEAL, which forms part of Tullett Prebon's rapidly expanding electronic broking services, will support trading in Euro denominated IRS, gap and butterfly strategies,
matched maturity futures spreads, and tenor basis swaps.
Moreover, the authors find evidence that since their introduction, TIPS have outperformed
matched maturity conventional Treasury securities in terms of after-tax returns.
A prudent investment strategy has been adopted; the company employs a liability matched investment strategy and invests mainly in assets with similar or
matched maturity.
CP with sufficient yield and a
matched maturity to that of the FRNs, and 'rolling' it in a similar fashion thereafter.
The short-term and
matched maturity of the loans and
For a given
matched maturity, a widening of the spread indicates that investors suspect the Hong Kong dollar might be devalued by that date, and therefore they demand a higher interest rate in order to invest in Hong Kong dollars rather than in U.
