Forward Swap Matrix Enhancement | Weekly Release 11/27/20

Enhancement #1


[USD] Enhanced FRA OIS tab with added “SOFR” and “FRA-SOFR” columns

Under the FRA-OIS tab, in the lower part of the Forward Swap Matrix sheet, traders can access forward SOFR and IMM SOFR to compare FRA-SOFR spreads. After clicking “Cal Fwd” tables will populate.

Enhancement #2


Enhanced support for the CMT spot and forward strategies in all available currencies across all tabs



Traders can enter CMT spot and forward strategies for all available currencies across all tabs in the Forward Swap Matrix sheet.


Traders can use “CMT[Country Code]#” format for the spot strategies, and “CMT[Country Code]#x#” format for the forward strategies.


When traders are using CMT cross-currency strategies, and one of the currencies is not on auto-build, after entering CCY CMT strategy, the “CMT curve” will auto-build itself for the non-initialized currency.