As shown in chart 2, the one-month and three-month Libor-OIS spreads were at low levels through the month of July but increased markedly in August and early September at the onset of the financial market turmoil. 6 The one-month spread declined during the fall but rose sharply again toward the end of the year.
It is for these reasons and to be really effective that the Bank of Mauritius has adopted, together with banks, a consultative and participative approach for Basel II implementation. The target date for implementation has tentatively been set for beginning 2008. Much work has been done already at the level of the Basel II Implementation Committee.