Forward Swap Matrix Enhancements | Weekly Release 10/4/19

Added SOFR vs 3M Basis and IMM SOFR vs 3M Basis tickers.

In the forward swap matrix, we have expanded the SOFR basis strategies to cover forwards. See below for the added codes:

In the screenshot below, you can see the strategies with their metrics to gauge their performance. The trader can set up the list of the SOFR basis of interest and set up alerts to help him identify trading opportunities. The added benefit is that the trader can pull up historical data from double-clicking on the strategy.