Return
to Story Page
To print: Select File and then Print from your
browser's menu
Our Banking Bureau
Mumbai, Nov 9: The National Stock Exchange (NSE) is launching a 14-day NSE-Mibid/Mibor on Tuesday. This follows a decision taken by the Committee for the Development of the Debt Market headed by OP Chawla.
A release from the NSE said that the success of the overnight NSE-Mibid/Mibor led to a greater demand for the creation of a benchmark rate for the term money market. "A number of market participants have requested NSE to work towards developing a benchmark for term money market also. The Committee has therefore decided to launch a 14-day term rate and has also decided to gradually develop longer term money market benchmarks", the release said.
The new 14-day NSE-Mibid/Mibor will be computed in such a way so that it can be used as a benchmark for developing new instruments in the derivatives market as well as for banks' pricing to corporates. "Accordingly, banks and institutions identified for the overnight NSE-Mibid/Mibor would be contacted daily for their indicative quotes for 14-day money", therelease said. The NSE, based on this feedback from market participants would compute the reference rate at 11.30 everyday.
The Exchange added that the debt committee held the view that the polling technique currently used is the best technique amongst the various techniques available and hence may be used for the 14-day rates also.
The statistical tool "bootstrapping" currently used for the calculation of this rate has been found to be statistically sound and accurate. This iterative process has been found to be efficient in identifying and trimming the outliers which tend to influence the data set in case of any traditional techniques. The bootstrapping techniques trims the data set of of its extreme values dynamically and recalculates the standard deviation as against conventional tools like dropping the top two and bottom two values. Real time tools to determine the number of polls has been successfully tested rather then going for a standard number of polls of 12-14 everyday, the NSE release said.
Copyright © 1998 Indian Express Newspapers (Bombay) Ltd.
------------------------------------------------------------
This story was printed from Net Express located at http://www.expressindia.com. Net Express provides a portal to India, with news from The Indian Express and The Financial Express along with sites on travel and tourism, the entertainment industry, the power sector, the environment and much more.
------------------------------------------------------------