Note: The date in the title of this article corresponds to the production deployment date.
The pricing for debt and derivatives has been improved.
RFR zero-coupon curves are now used as the reference for EUR, USD, GBP, CAD, and CHF currencies, replacing the former IBOR-based curves. As a result, for the aforementioned currencies only, the values displayed in the transaction overview and mark-to-market data have been affected by this change.
Examples of valuation changes
Below are examples of transactions where valuation changes were observed due to the adoption of RFR zero-coupon curves. These represent the most significant changes identified during the testing phase:
- Standard loan in GBP with a fixed index at 1%, 3 years to maturity:
We observed a valuation change of approximately 40 basis points, corresponding to a 46-basis-point difference between the 3-year LIBOR zero-coupon curve and the SONIA curve. - Standard loan in EUR with an index EURIBOR 3M + 3%, 3 years to maturity, interest calculated at the end of period:
We observed a valuation change of approximately 20 basis points, corresponding to a 10-basis-point difference between the 3-year EURIBOR 3M zero-coupon curve and the ESTER curve.