Hybrid Term Structure Tab

Hybrid Term Structures allows you to specify the following types of Hybrid Yield Curves:

• Merge
• Spread
• Moving Average
• Custom Weighted Average

Hybrid Yield Curves are built up from either one or more Standard Yield Curves. When you add, modify, or delete any historical rate data from a Standard Yield Curve, the data associated with any related Hybrid Yield Curve must be updated. After defining, the Hybrid Yield Curves can be used like any other Interest Rate Curve in the system. You can reference these curves within the Cloud Service Business Rules that allow the selection of an Interest Rate Code.

Hybrid Curve Type Spread: A Spread Hybrid Yield Curve is defined as the difference between two standard yield curves. The Spread type of hybrid yield curve is useful in establishing liquidity risk or basis risk yield curves.

• Merge: Merge hybrid yield curves represent a blending of two or more underlying yield curves. In constructing a Merge type of Hybrid Yield Curve, specify the percentage weighting applied to each of the underlying Standard Hybrid Yield Curves.
• Spread: A Spread hybrid yield curve is defined as the difference between two standard yield curves. The Spread type of Hybrid Yield Curve is useful in establishing liquidity risk or basis Risk Yield Curves.
• Moving Average: Moving average Hybrid Yield Curves represent moving average data of a single underlying Standard Yield Curve. These curves are used in Funds Transfer Pricing.
• Custom Weighted Average: Custom Weighted Average Rate is the sum of weighted rates as per the defined Custom Weights for the Historical Rates.