Sentences with phrase «eonia swap rates»

* For graphs of historic Euribor and EONIA swap rates, right click on the links in angle brackets below, and select «Related Graph» 1 week 2 week 3 week 1 month 2 month 3 month 4 month 5 month 6 month 7 month 8 month 9 month 10 month 11 month 1 year

* For a table of the previous day's fixings of EONIA swap rates, which show market expectations for future overnight lending rates, double click on

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In the second step, the model estimates the appropriate discount rate for the security, which in the case of RMBS is expressed as a trading margin — the difference between the yield on the RMBS and the Australian dollar swap rate for the tenor corresponding to the WAL of the RMBS.

Spreads between corporate bond yields and swap rates and the premia on credit default swaps have fallen slightly over the period, and are very low by historical standards (Graph 44).

Market contacts have reported that it also reflects the relatively high level of swap rates — a common benchmark for price - makers» funding costs — for reasons related more to the demand for funds than to credit concerns.

Consistent with this, spreads between corporate bond yields and swap rates have moved much more in line with CDS than have spreads between corporate bonds and CGS.

3 - month interbank interest rates in Australia peaked at over 7 per cent in mid September, more than 50 basis points above the corresponding rate that measures expectations of the cash rate (the overnight indexed swap rate: OIS)(Graph 2).

I will then summarise the current state of play in Australia, particularly for the major interest rate benchmark, the bank bill swap rate (BBSW).

This largely reflects the earlier rise in the cost of funding fixed - rate loans, evident in higher swap rates.

Rather, the increase in spreads appears to reflect both tightness in the Commonwealth Government bond market (where supply remains limited and demand by foreign investors appears to have increased) and upward pressure on swap rates (one benchmark against which corporate bonds are priced) as companies have sought to lock in fixed - rate borrowings due to expected increases in interest rates.

Spreads between corporate bond yields and swap rates, which are a measure of the market's credit risk perceptions, have fallen slightly since the previous Statement (Graph 43).

Spreads between corporate bonds and swap rates have generally narrowed (Graph 55).

The summary of terms states: «The rate of interest payable on a loan will be at a fixed rate per annum equal to the aggregate of: (a) the Margin; and (b) the Sterling 7.5 year swap rate at the date of disbursement.»

Swap rates reflect AA counterparties.

Since that time, the average 10 - year swap rate (what a AA - rated bank can borrow at) for the 10 nations that I track (USA, Germany, Japan, Britain, Switzerland, Canada, Australia, New Zealand, Norway, and Sweden) have risen 53 basis points (0.53 %).

Personally, I find swap rates more comparable across countries than sovereign obligations.

There are some brokers which have higher spreads, higher swaps rates and other trade restrictions that could make your trading costlier.

A gap between credit default swap rates and bond yields reflects that.

The debenture rate for the loan is based on market rates for U.S. Treasury yields and an additional spread (an interest rate swap rate).

With a FRN the coupon rate is reset, typically every 90 - days and are relative to bank bill swap rate plus some margin.

Treasury and Swap rates have fallen enough that we are finally getting mortgage refinancing / hedging activity.

The 10 - year swap rate has come down 90 bps since the peak three months ago.

10 - year swap spreads are 12 basis points below where they peaked a month ago, and 10 - year swap rates, which serve as a proxy for prime 30 - year mortgage rates, are 35 basis points below their 18 - month moving average.

1A swap rate is the rate of the fixed leg of a swap as determined by its particular market.

Charging triple swap on Wednesday roll - over period accounts for the settlement of trades over the weekend, as swap rates are not charged during this period due to the market being closed.

Our swap rates are calculated automatically in the trading platform, however, for your information, swap rates may be calculated using the following formula:

Why not use credit default swap rates to determine credit quality rather than the «official» bond ratings?

I use 10 - year swap rates here because they are more comparable than government bond rates.

If you have been in the market lately for a CRE term - loan, you might have encountered a trend where the bank is selling you a fixed rate loan using the SWAP rate as the base instead of the T - Bill.

The 2 - year swap rate (USSW2) was 0.40 per cent.

The swap rate curve is an important interest - rate benchmark for the bond markets and is commonly used in Europe as the pricing reference for all European government bonds.

Swap rates suggest what the market expects the direction of LIBOR rates to be; and reflect the market's perception of credit quality.

The graph plotting swap rates across available maturities became known as the swap curve.

@event... The coupon rate on a 30 year fixed rate bond was probably higher than a comparable swap rate, which provided the opportunity for this «arbitrage.»

If the Fed maintains its commitment to keep interest rates low, the LIBOR, 10 - year swap rate, and conventional mortgage rates are likely to remain low.

Cable, also known as is a term used in slang language among Forex traders to indicate the swap rate between British Pound Sterling and U. S. dollar.

Further, the Fed's long - term interest rate policy has pushed the 10 - year swap rate below 3 percent, increasing the monthly benefits received from a reverse mortgage (Figure 1).

Swap rates are supposed to be similar to where AA banks borrow / lend, so something is broken here.

With effect from 23 November 2011, interest shall be paid within the ceiling rate of LIBOR / SWAP rates plus 125 basis points for the respective currency / corresponding maturities

Long - term positions are charged usurious swap rates, making it unviable for any serious trading.

Are you sure that's not 0.5 % over some swap rate or something like that?

Conduit interest rates depend largely on the yield that investors demand for CMBS, which spiked up in May for AAA - rated CMBS from about 80 basis points over the swap rate to about 130 basis points in July, according to data from Commercial Mortgage Alert.

As a point of reference, the five and 10 - year swap rates have risen roughly 70 basis points since pre-Donald Trump election.

Mortgage rates typically move with the government's 10 - year treasury note, and private lenders price similarly to various benchmarks — such as the five or 10 - year swap rate.

The expected interest rate is the summation of the 10 - year Libor swap rate and the lender's index margin.

Further, the Fed's long - term interest rate policy has pushed the 10 - year swap rate below 3 percent, increasing the monthly benefits received from a reverse mortgage (Figure 1).

If the Fed maintains its commitment to keep interest rates low, the LIBOR, 10 - year swap rate, and conventional mortgage rates are likely to remain low.

Not exact matches

TrueEx, which was founded by famed trader Sahil Hirani in 2010, already facilitates trading for interest rates swaps.

However, about 10 banks have improved their hedging products, adding more derivative products, such as forex call spread options, interest rate swaps and cross currency swaps, he said.