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CCY S+SP Enhancement| Weekly Release 4/26/2024

Added “ZC SOFR/ESTR/OIS” & “SSprd/ESprd/OISprd ZC YY” columns

 

Traders can now add the “ZC SOFR/ESTR/OIS” & “SSprd/ESprd/OISprd ZC YY” columns in the “USD/EUR/CAD S+SP” windows. To add and arrange the columns, traders can go to the “Table” – “Manage Columns” menu and save the view.



Column Name

Description

ZC SOFR

Matched Maturity Zero Coupon SOFR swap rate

SSprd ZC YY

Yield to Yield Matched Maturity Zero Coupon SOFR swap spread (bps).

 

= [(Yld – ZC SOFR) *100]

ZC ESTR

Matched Maturity Zero Coupon ESTR swap rate

ESprd ZC YY

Yield to Yield Matched Maturity Zero Coupon ESTR swap spread (bps).

 

= [(Yld – ZC ESTR) *100]

ZC OIS

Matched Maturity Zero Coupon OIS swap rate

OISprd ZC YY

Yield to Yield Matched Maturity Zero Coupon OIS swap spread (bps).

 

= [(Yld – ZC OIS) *100]


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