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2

You can decompose swap returns this way although I would argue that you should think more in terms of risk factors. For most any fixed income instrument (and especially for swaps), we often break exposure into three types of yield curve movements which explain the most variation, aka the Litterman and Scheinkmman (1991) factors: Changes in level (equivalent ...


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If you change the collateral rate, that would not increase PnL. If market moves against the bank, no collateral will be posted and the increased collateral rate will be irrelavante (assuming one way CSA), and if the market moves in favour of the bank, the client will post collateral that will be payed by the higher rate. If you change the fixed rate, that ...


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FX-OIS basis, depending on the fx pair, basically means, the implied yield vs the OIS basis of the currency pair. ON JPY trading at parity: USDJPY offered or bid at "0" 1W implied OIS basis moved 70BP: depending if its downward move or upward move, its trading +-70bp vs OIS basis. Upward, therefore, demand for JPY inched up, vice versa demand for ...


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