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SEK Repo Scenario

Last Update: 2017-06-23 01:49
DateO/N RateScenario
2017-06-27-0.50
2017-07-05-0.50
2017-09-06-0.50
2017-11-01-0.50
2017-12-20-0.50
2018-02-21-0.50
2018-04-18-0.50
2018-07-11-0.50
2018-09-12-0.50
2018-10-31-0.50
Credit spread**
FRAQuoteSettlementFair rateDiff [bp]*
SEKFRA 3#1-0,4702017-09-20-0,4700,0
SEKFRA 3#2-0,5502017-12-20-0,470-8,0
SEKFRA 3#3-0,4152018-03-21-0,4705,5
SEKFRA 3#4-0,3152018-06-20-0,47015,5
SEKFRA 3#5-0,2202018-09-19-0,47025,0
SEKFRA 3#6-0,1702018-12-19-0,47030,0
SEKFRA 3#7-0,0302019-03-20-0,47044,0
SEKFRA 3#80,0752019-06-19-0,47054,5
*Diff [bp] expresses the difference between Quote and Fair rate. Fair rate is the forward rate implied by the repo rate scenario entered by the user. Quote is the rate at which the market is trading. Hence, a positive number in the Diff [bp] column indicates that a T-bill is cheap and that an FRA is expensive given the repo rate scenario.
**Credit-spread is the spread used to capture the difference in credit between the repo rate and deposit rate, against which the FRA settles. For this purpose we have defined the Credit-spread as the simple rate spread over the implied forward rate given by the repo rate scenario.