Market View Enhancements | Weekly Release 3/20/20


Enhancement #1


[Repo] GC and Special Repo is now marked as a spread against the OIS curve, opposed to the Libor curve in previous versions


The Repo has been updated to use the mid-level (instead of bid/ask) for overnight, 1 week, 1 month, 2-month, 3-month, 6-month, and 12-month terms. The spread has also been changed from the Libor curve to the OIS curve, thus the markable levels are the repo and repo-OIS spreads.

Enhancement #2


[Curves - OIS] Updated default OIS curve configuration for G7 + AUD


The default OIS curve configuration will now skip the 1-day point if applicable and begin building the curve with the 1-week point. Click the “Reset Config” button then the “New Build” button to refresh the curve.

Enhancement #3


[Basis Swap] Added EUR6M vs USD3M cross-currency basis swap


This swap breakeven shows the basis between EUR 6M forward curve and USD 3M forward curve, combining the impact of implied FX Curve derived from EUR3M vs USD3M basis.


The basis swap has 2 floating legs.


  • For floating leg 1, we use USD 3M Libor curve as forward curve to derive cash flows in USD and USD OIS curve as the discounting curve.

  • For the floating leg 2, we use EUR 6M Libor curve as the forward curve to derive cash flows in EUR, then use implied FX curve derived from EUR3M vs USD3M basis to exchange the cash flows in USD. Afterward, we can use USD OIS curve as the discounting curve.

Basis breakeven is defined as the spread adding on EUR side, which makes the basis swap has NPV equals to 0.

Enhancement #4


[Basis Swap] Added AUD3M vs JPY3M cross-currency basis swap


This swap breakeven shows the basis between AUD 3M forward curve and JPY 3M forward curve, combining the impact of implied FX Curve derived by multiplying implied FX Curve from AUD3M vs USD3M basis and implied FX Curve from JPY3M vs USD3M basis.


The basis swap has 2 floating legs.


  • For floating leg 1, we use JPY 3M Libor curve as forward curve to derive cash flows in JPY and JPY OIS curve as the discounting curve.

  • For the floating leg 2, we use AUD 3M Libor curve as the forward curve to derive cash flows in AUD, then use implied FX curve mentioned above to exchange the cash flows in JPY. Afterward, we can use JPY OIS curve as the discounting curve.

  • Basis breakeven is defined as the spread adding on AUD side, which makes the basis swap has NPV equals to 0.


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