For each currency for which SDX Interest Rates supports distinct yield curves for the non-standard indexes as well as for the standard index, you can see the basis spreads (which are displayed in basis points) between the standard index and each non-standard index in the Basis Spreads tab.
The Basis Spreads tab is accessed by clicking the Basis Spreads button in the Yield Curve page.
In the Basis Spreads tab you can:
See the basis spreads between the standard index and each non-standard index.
Edit the basis spreads between the standard index and each non-standard index.
Define any missing basis spreads.
You can edit the basis spreads in a number of ways as follows:
You can edit each basis spread individually. After you manually edit a basis spread, the background of that field turns blue.
You can shift the basis spreads for all tenors up or down by the same basis points. You do this entering a number in the Shift Yield Curve By field, using the + <> - toggle button to indicate if you want to shift the basis spreads up or down, and then clicking the Calculate button. After you do this it is noted in the page that you have shifted the basis spreads by the defined amount.
Once you have done this and until you manually instruct the system to remove any changes by clicking the Refresh button, any shift in basis spreads is retained during the current session. That means that if you shift the basis spreads and then later in the same session shift the basis spreads again, this latter shift is added to any previous shift(s) already made in the session. In addition, in the page the total amount by which you have shifted the basis spreads in the current session is noted.
After changing a currency’s displayed basis spreads if you then click:
The Calculate button, the system updates the relevant non-standard yield curves for this currency taking the edited basis spreads into account. So for example if in the Basis Spreads tab you edit the USD 3m/6m basis spread for the 1Y tenor, if you then click Calculate and navigate back to the Yield Curve page (by clicking the Yield Curve tab) you will see a change in the 1Y swap rate for the 6m non-standard index.
The Accept button, the system updates the relevant non-standard yield curves for the currency taking the edited basis spreads into account and instructs the system to subsequently use the edited yield curves until further notice. Alternatively, you can click the Accept button in the Yield Curve tab.
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This action freezes all of this currency’s yield curves, i.e., the yield curve for the standard index and the non-standard indexes. |
It is important to note that since defining inappropriate spreads can affect the overall rate calibration, caution is advised when changing these inputs.
Once you have saved the data, it will also be used throughout the system.
To work in the Basis Spreads tab:
| 1. | In the Yield Curve window click the Basis Spreads button. |
| 2. | Select the relevant trade date and currency. |
| 3. | Edit the basis spreads as required. |
| 4. | Click Calculate. The system updates the non-standard yield curve as relevant taking into account the edited basis spreads (this includes recalculating the corresponding discount factors and zero rates accordingly). |
| 5. | To instruct the system to use the edited data displayed in this page in all calculations as relevant (instead of the realtime market data) until instructed otherwise, click Accept. This action automatically shifts the non-standard yield curves as necessary taking into account the edited basis spreads (this includes recalculating the corresponding discount factors and zero rates accordingly). |
| 6. | Click OK. |