Basis Swap Enhancement | Weekly Release 1/17/20

Support AUD OIS vs USD OIS basis swap

This swap breakeven shows the basis between USD OIS curve and AUD OIS curve, combining the impact of the outright FX Curve between USD and AUD. The basis swap has 2 floating legs.

  • Floating Leg 1 uses the USD OIS curve as both the forward & discounting curves

  • Floating Leg 2 uses the AUD OIS curve as the forward curve to derive the cash flows in AUD, then uses the FX curve to exchange the cash flows in USD. Thus we can use USD OIS curve as the discounting curve.

Basis breakeven is defined as the spread adding on the AUD side, which makes the basis swap’s NPV equal to 0.

With AUD and USD curves on auto-build, traders can leverage the Custom Basis and/or Basis Swap Monitor sheets to analyze spot, fwd and IMM AUD OIS vs USD OIS basis swaps.