Forward Swap Matrix Enhancements | Weekly Release 5/15/20


Enhancement #1


Basis Swaps & Cross Currency Basis Swaps can now be sent “To Trade Blotter”

Traders can now send basis swaps (spot, forwarded, and IMM dated) and XCCY basis swaps to the Trade Blotter. This allows traders to easily model up basis swap strategies in the Forward Swap Matrix and view them in a portfolio style in the Trade Blotter without having to manually create each line item. Support for this feature also applies to the RV Analysis window as well as the Custom Basis Swap sheet.

In order to send a strategy from the Forward Swap Matrix to the Trade Blotter, right click on the strategy in the “Curve” column and select “To Trade Blotter DV01” (or the PV01) option.

Of note: the pay and receive indexes are preserved when sending a strategy to the Trade Blotter. For example: in the BS1S3S-2x3 basis swap, the 1m LIBOR is the pay index and the 3m LIBOR is the receive index. This can be changed in the Trade Blotter as necessary.

Enhancement #2


Added support for LCH-EUREX basis, including forward and IMM Basis

Traders can now create strategies with the LCH-EUREX exchange basis swap using both IMM and non-IMM dated starts. The accepted ticker formats for the new swap are “BSLCHEUREX-#”, “BSLCHEUREX-#x#”, “IMMBSLCHEUREX-[HMUZ]#x#”, “IMMBSLCHEUREX-#ix#”, and each of the previous four with the location of LCH and EUREX switched.

Enhancement #3


Added support for IMM Forward for LCH-CME in USD Libor

Previously traders could only enter spot and forwarded LCH-CME exchange swaps as “BSCMELCH-#x#”. Support has been extended to included IMM dated exchange swaps as well as entering the pair in either order. Traders can now create the non-IMM dated swap as “BSLCHCME-#x#”. Additionally, traders can create IMM exchange swaps for this pair as “IMMBSLCHCME-[HMUZ]#x#” and “IMMBSLCHCME-#ix#” or as CMELCH instead.

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