Forward Swap Matrix Enhancement | Weekly Release 1/17/20

Created a USD Fwd Swap RV Analysis tool to help derivative traders identify the top 10 long/short forward curve and tail strategies

In this week’s release, we added RV Analysis for USD. To help swap traders discover strategies with potential positive alpha, the Swap RV Analysis was created. In this analysis, the strategies are sorted by either the Total Return, Excepted Return, or the Carry + Roll. Each metric values the strategies in a different way, as selected by the user.

Aged 3M Spread = [Current Sprd – 3M Rolldown]

Expected Return = [Current Sprd – Mean]

Total Return = [Expected Return + (3M C+ R)]