Basis Swap Enhancement | Weekly Release 5/28/21


Enhancement #1


Added support for "SOFR vs BSBY3s" basis


Traders can find the "SOFR vs BSBY3s" basis in the Basis Monitor, Custom Monitor sheets, as well as the Market View - Basis Monitor – USD tab.

Traders can also access forward "SOFR vs BSBY3s" basis, in the lower part of the Basis Monitor and Custom Monitor sheets.

To populate the lower panel table, traders can hit “Cal Fwd” button, and the system will calculate the forward table.

Note: Traders can <double click> the cells to access historical data points

Enhancement #2


Added support for the SOFR vs BSBY3M basis including IMM basis in the Fwd Swap matrix, as “BSSOFRBSBY3S-#” and “IMMBSSOFRBSBY3S-#” respectively


Traders can enter “BSSOFRBSBY3S-#” and “IMMBSSOFRBSBY3S-#” to analyze SOFR vs BSBY3s basis and IMM basis respectively.


Traders can also send SOFR vs BSBY3M basis and IMM basis strategies from Basis Monitor and Custom Monitor to Fwd swap matrix sheet as well.