FRN Enhancement | Weekly Release 1/31/20

Added OIS Z, Trsy OIS Z, and the spread to OIS Z


Traders can now add the new OIS Z spread, matched-maturity treasury OIS Z spread, and spread of OIS Z spread column set to both the USD and IT FRN sheets. The “Sprd of OIS Z” is the spread of OIS Z level of the FRN and the matched-maturity treasury.

For the FRNs, the cash flows are separated into two parts. Previous cash flows are based on the T-bill rate released in USD and Libor 6M rate released in EUR, plus the spread of the note Future cash flows are created using the T-bill curve in USD, Libor curve in EUR, plus the spread of the note. Thus all the ASW calculations use the updated cash flows.

  • YY ASW Spread = Curve yield – Matched Maturity Par Swap Rate

  • YY OIS Spread = Curve yield – Matched Maturity OIS Swap Rate

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