Custom Basis Enhancement | Weekly Release 8/6/21


Added SOFR vs ESTR XCCY basis swap curve, SOFR vs AUD OIS XCCY basis swap curve, SOFR vs JPY OIS XCCY basis swap curve, also available in the Basis Swap Sheet


In this week’s release, with the increasing focus on SOFR, the XCCY basis of SOFR against the ESTR, AUD OIS, and JPY OIS have been added to the “Custom Basis” sheet and under “Market View” - “BasisSwap”.


Traders can add the “ESTR vs SOFR”, “AUD OIS vs SOFR” and the “JPYOIS vs SOFR” from the “Manage” menu, or create a “New” tab.

To calculate the cross-currency basis:

  • ESTR vs SOFR: Use the ESTR and SOFR curves as forward curve, together with corresponding outright fx curve to imply breakeven spreads

  • AUD OIS vs SOFR: Use the AUD OIS and SOFR curves as forward curve, together with corresponding outright fx curve to imply breakeven spreads

  • JPYOIS vs SOFR: Use the JPY OIS and SOFR curves as forward curve, together with corresponding outright fx curve to imply breakeven spreads