Fixed Income Relative Value Analysis: A Practitioners Guide to the Theory, Tools, and Trades

Chapter 6

LIBOR, OIS Rates, and Repo Rates

Introduction

Given the severe disruptions that occurred in many of the world’s money markets with the onset of the financial crisis in 2007, LIBOR, OIS rates, and repo rates are of considerable interest in their own right. But for the relative value analyst, they’re also of interest because they serve as the building blocks for term structures of government bond yields, LIBOR swap rates, and OIS swap rates. If we’re to understand the relative valuations between government bond yields and swap rates, we need to understand the relative valuations between their respective components in the money markets.

As this book assumes a familiarity with these rates, we’ll provide only brief definitions of these rates ...