Basis Swap Enhancements | Weekly Release 6/5/20

Enhancement #1


Enhanced the lower ‘Fwd’ and ‘IMM’ panels to allow traders to create spread, butterfly, and multiple graphs. From graph, traders can send basis & xccy basis swaps to the Fwd Swap Matrix. Additionally, updated the graphs to show the series name and title

Traders can now create spread, butterfly, and multi-graphs in the Custom Basis and Basis Monitor sheets as well as in Market View – Basis Swap just as they can in the Forward Swap Matrix sheet. Once a spread or butterfly graph has been created in any of these sheets, traders have the ability to send them to the Forward Swap Matrix using the “ToFwdSwapMatrix” button; multi-graphs cannot be sent over to the Forward Swap Matrix using this method. The following example shows the 6mx1y/9mx1y/1yx1y butterfly strategy for the USD1s vs USD3s basis swap being sent to the USD Libor tab from the Basis Monitor sheet.

The button to send strategies to the Forward Swap Matrix is in the blue box in the screenshot above. The strategy title at the top of the graph will be sent over as well in the same format, denoting the basis swap and the legs of the strategy.

Of note: graphs cannot be created with custom forward dates that aren’t a full term; they

must be set with a full-term date (such as 1 month, 2 years, etc).

Enhancement #2


Support BRL offshore in the [custom] basis swap monitors

In addition to supporting the Brazil offshore rates in the Forward Swap Matrix, traders can now view the BRL offshore in both the Basis Monitor and Custom Basis Sheets. Traders with BRL enabled will automatically see the corresponding tab loaded into the Basis Monitor with the offshore rate table already loaded and the forward matrix can be enabled by clicking the “Show Fwd Matrix” button. In the Custom Basis sheet traders can add “BRL OFFSHORE” to an existing tab or create a new one.


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