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CCY Bond Enhancements | Weekly Release 05/12/2023

Enhancement #1: [USD/EUR] Added Forward SOFR and Forward ESTR, “FSOFR”/ “FESTR” columns

Forward SOFR rate (FSOFR) & forward ESTR rate (FESTR) columns have been added to the USD & EUR Bond sheets, respectively. These columns will show the forward matched maturity SOFR/ESTR rates. Traders can add these columns to their view from “Table” – “Manage Columns”.

To populate these columns, enter a forward date in the “Fwd Dt:” box at the top of the sheet.

Enhancement #2: [USD/EUR] Added support for “SOFR/ESTR” & SOFR/ESTR swap spread options for “Zero Sprd Fwd Type”

Under “Preferences” – “Zero Sprd” – “Zero Spread Fwd Type”, support has been added for “SOFR”, “SSprd YY”, & “SSprd Z” for USD & “ESTR”, “ESprd YY”, & “ESprd Z”. After making selection, the “0 FSprd” column will be updated accordingly.

This “0 FSprd” column will show the forward spread to the reference bond, which traders can mark by entering “0”, based on the selected measure.

In the screenshot below, after setting the fwd spread type to SOFR, the “0 FSprd” column will show the FSOFR spread of all the other bonds to the reference bond.

For example, for the T .750 15-Aug-2026, the “0 FSprd FSOFR” is calculated as: (3.283 – 3.250) * 100 = 3.3


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