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] |