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Forward Swap Matrix Enhancements | Weekly Release 09/22/2023

Enhancement #1: [EUR] Added support for IMM Annual Money Market, IMM Semi-Annual Bond, & IMM Quarterly Money Market

Traders can enter “IMMAM”, “IMMSB” & “IMMQM” formats followed by [HMUZ#x#] in the Forward Swap Matrix sheet.

Enhancement #2: Added option to exclude overlapping strategies form XCtry RV Analysis

Traders who would like to view the top strategies from the RV Analysis, can now further filter the strategies by “Excluding Overlapping Strategies”. This will remove any strategies that have overlapping swap legs.

In the example below, see the strategy, SOFR(1/5/6)x5/ESTR(1/5/6)x5. The SOFR/ESTR 5x5 overlaps with the 6x5, thus, it is removed in the second RV Analysis.

Enhancement #3: Added support for TBills

Entering “B#M” formats in Fwd Swap Matrix sheet will allow traders to load TBills.

Additionally, to enter different CCYs traders can use “[2 letter country code +B+#+M]” format.

TBills are already supported in Sprd/bfly sheets using “#M” formats such as “1M”, “3M”, “6M”, etc.


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