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Forward Swap Matrix Enhancement | Weekly Release 06/02/2023

Enhancement: Added the ability to set the default curve as either Onshore/Off Shore, for the emerging markets- Korea, Malaysia, Taiwan, China, Thailand

Traders can now set the default curve for their Forward Swap Matrix sheets to use the Onshore or Offshore Libor curves. To do so, click “Preferences” – “Default Curve”. Traders can specify the “LIBOR – Offshore” & “Libor – Onshore” swaps by using the formatting below. If the formatting does not specify the “On” or “Off” shore, the sheet will show the rate based on the selection.

Traders can enter Onshore & Offshore swaps in the same tab by using the corresponding Onshore & Offshore codes.

For CCY onshore swap, the code will be; Country Symbol’ + ‘S + ‘ON’ + ‘Tenor’

For example, MYSON5 for Malaysian onshore 5-year swap rate.

For CCY Offshore swap, the code will be:

Country Symbol’ + ‘S’ + ‘OFF’ + ‘Tenor’

For example, MYSOFF5 for Malaysian offshore 5-year swap rate.

For reference, below are codes for the following countries with Onshore/Offshore curves:

Malaysia = MY

Korea = KR

Taiwan = TW

China = CN

Thailand = TH

Libor = S



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