According to the company, the value of issuing the options amounts to DKK10m, using the Black and Scholes model assuming a share price of DKK 302.68, an interest rate equivalent to the zero coupon rate based on the
swap curve of 28 December 2018, future annual volatility of 22%, a pattern of exercise similar to Topdanmark's previous allocations of share options and otherwise in accordance with IFRS 2 on share-based payments.
The rise in long-term rates has been so pronounced that it has pulled the front end of the yield and
swap curve higher with it, and forward interest rates for late 2014 have risen sharply, to the extent that they are more or less pricing-in a policy move.
Nevertheless, the 1Y rate on the FX
swap curve has eased to the flat 4.45% from mid-March, also marking the low of 2013.In spite of relatively large RON1.4bn demand, MinFin sold exactly the planned RON0.4bn amount of its 5Y T-bonds Thursday, at a maximum yield of 5.51%.
The latter trend may also foster normalisation (dis-inversion) of the x-ccy
swap curve.
Some carriers have introduced interest-rate-based crediting strategies that use a point on a published "
swap curve" as the benchmark rate, while another approach provides the fixed indexed annuity owner with credit based upon an increase, if any, in the three-month London Interbank Offered Rate (LIBOR).
For example, several carriers have introduced interest-rate-based crediting strategies that use a point on a published "
swap curve" as the benchmark rate.
India's overnight indexed
swap curve stayed inverted on Tuesday, reflecting expectations for tighter liquidity and more policy tightening, along with doubts over the pace of long-term economic growth.
Reserve Bank Governor Alan Bollard is expected to boost the OCR 132 basis points over the coming year, according to the Overnight Index
Swap curve.
The aggregate deficit of the FTSE 100 pension schemes has almost doubled to pounds 245billion in the year to the end of March on an "economic" basis - measuring pension liabilities against the interest rate
swap curve as opposed to against AA-rated corporate bonds, consultant Redington said..
The first few securitizations of 2007 priced at 22 basis points over the
swap curve for AAA bonds.