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Forward Swap Matrix Enhancement | Weekly Release 11/11/22

Enhancement #1: [CNY]: Added support for current China 1-year government bond, also available in Sprd/Bfly

Traders can now view the 1-year on the run CNY government bond by entering “B1” in the CNY tab in the Forward Swap Matrix sheet. Traders can use this same format, “B#”, to enter other on the run bonds in this sheet as well.

Note: To enter CNY on the runs in Sprd/Bfly sheet, in the CNY tab traders can use “#” code. For example, “1” for the 1-year on the run bond.

Enhancement #2: [USD & EUR]: For “3M Cnvx Ret” & “3M Cnvx Adj C+R” columns, added support for libor & OIS strategies

In a previous release, the “3M Cnvx Ret” and the “3M Cnvx Adj C+R” were added to the Forward Swap Matrix. In this release, these columns were extended to show the metrics for the OIS and Libor swaps in EUR and USD currencies.

  • The “3M Cnvx Adj C+R” is calculated as the carry and rolldown including the 3-month convexity adjustment.

  • “3M Cnvx Return” is calculated as the convexity adjustment P&L in basis points using 3-months historical data


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