Basis Swap Enhancements | Weekly Release 3/6/20

Added CAD OIS vs USD FF derived basis, which combines the impact of the outright FX Curve between USD and CAD

Traders can analyze CAD OIS vs FF basis in both basis monitor and custom basis monitor sheets.

Traders can also find this basis available in the “Market View” – “Basis Swap” – “CAD” tab to navigate to “CADOIS vs FF” tab.

This swap breakeven shows the basis between USD OIS curve and CAD OIS curve, combining the impact of the outright FX Curve between USD and CAD.

The basis swap has 2 floating legs:

  • For floating leg 1, we use USD OIS curve as both the forward curve and the discounting curve.

  • For floating leg 2, we use CAD OIS curve as the forward curve to derive cash flows in CAD, then use the FX curve to exchange the cash flows in USD. Afterwards RiskVal can use USD OIS curve as the discounting curve.

Basis breakeven is defined as the spread added to CAD, which makes the basis swap NPV equal to 0.

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