Basis Swap & Custom Basis Enhancements | Weekly Release 3/11/22

Enhancement #1


[KRW] Added KRW Fixed vs SOFR basis


RiskVal added support for KRW Fixed vs SOFR basis swap to the Basis, Custom basis, and Fwd Swap Matrix sheets.


Traders can click on “KRW” tab, and access KRW Fixed vs SOFR basis.

They can load forward table in the lower part of the sheet by clicking on “Calc Fwd”.


In the Forward Swap Matrix, traders can also enter “BSKRWFXSOFR-#”, “BSKRWFXSOFR-#x#”, & “IMMBSKRWFXSOFR-[HMUZ#X#]” formats.


Enhancement #2


[CNY] Added CNH Fixed vs SOFR basis


RiskVal added support for CNH Fixed vs SOFR basis swap to the Basis & Custom basis and Fwd Swap Matrix sheets.


Traders can click on “CNY” tab, and access CNH Fixed vs SOFR basis.

They can load forward table in the lower part of the sheet by clicking on “Calc Fwd”.

Traders can <double click> to access historical data.


In the Forward Swap Matrix, traders can also enter “BSCNHFXSOFR-#”, “BSCNHFXSOFR-#x#”, & “IMMBSCNHFXSOFR-[HMUZ#X#]” formats.