Curve Enhancements | Weekly Release 4/17/20

Enhancement #1


[CMT] Extended the Constant Maturity Treasury (CMT) curve across emerging market countries. Relative value spread analysis against the CMT curve is now supported in Bond Roll for KRW, MYR, NOK, NZK, SGD, THB, COP, CZK, HKD

To give traders another metric to gauge the relative value of the bonds for emerging markets, the CMT curve is being introduced in this release. Each country (KRW, MRY, NOK, NZD, SGD, THB, COP, CZK, HKD), has its own CMT curve. Each of the Roll Analysis has the CMT set of columns added to its default view for easier access.

In the table below, see a summary of the curve construction for each of the added countries. Each of these curves uses the Nelson-Siegel Model. However, THB uses a Quadratic CMT model with 9 terms.


For further detail, our white paper is available upon request.

Enhancement #2

[SOFR] Allow traders to modify the SOFR construction to analyze basis and SOFR swaps during non-USD trading hours

To help Traders access the SOFR curve off-hours, they have the option to select how to construct the SOFR curve. This curve is then used to price the basis and SOFR Swaps.


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