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  1. #1
    Ignorant. Just ignorant.
    Join Date
    Jan 2005
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    Wrong Side of the Tracks
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    1,587

    Question So how are Swap Rates set, then ?

    Evenin', team . . .

    Various NZDX perpetuals (and even long-term non-perpetuals) have a regular rate reset at a margin ovet one of the swap rates.

    How are the swap rates "set", and how dependent are they (formally or otherwise) on the OCR.

    Can we have a situation where the OCR moves in one direction, but the swap rates don't follow - or even move the other way ?

    Yours in ignorance. . . . GTM3442

  2. #2
    Guru Xerof's Avatar
    Join Date
    Mar 2005
    Posts
    3,005

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    Swap rates are 'set' in similar fashion as the 30/60/90/180 day bank bill rate, LIBOR, and all the other interest rate products around the globe - a panel of banks submit rates to Reuters or Bloomberg at a set time each day - these are published with an average for bid and offer, and any rate sets in the primary issue markets are based off either bid/mid or offer depending on underlying rate set arrangements. This method has been in place since time immemorial, and remains the accepted basis for determining binding rate sets as required.

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