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Basis Swap Monitor Enhancement | Weekly Release 08/18/2023

Under the NZD tab, support has been added for NZD3s vs SOFR. To load live prices,

click “Use BBGLive”. Traders can hover over the “Live” column to see the BBG ticker

being used. Click the “Show Fwd Matrix” button at the bottom to expand the forward

matrix panel.

To easily send these basis swaps to Forward Swap Matrix for further analysis, traders can

pop out a historical graph by <double-clicking> the cell under the “Live” column & use the “ToFwdSwapMatrix” button in bottom right.

In Fwd Swap Matrix, traders can enter “BSNZD3SSOFR-#” for spot, “BSNZD3SSOFR-#x#” for forward, and “IMMBSNZD3SSOFR-[HMUZ]#x#” for IMM positions.

Note: To enable the NZD tab, traders can select the NZD from “Market View” – “CCY Config” tab & click “Save Config” then in “Market View” – “Curves” – “NZD” tab hit “Auto Build”.


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