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Forward Swap Matrix Enhancements| Weekly Release 3/29/2024

# 1: Added support for single look CMS strategies

 

Traders can now use format “SNGLLKCMS#x#” to enter single look CMS strategies into Forward Swap Matrix sheet. First number will be the expiry, second number will be default curve index. For example, “SNGLLKCMS1x10” will be 1yr forward single look CMS on SOFR 10. Traders can also send these strategies directly to Trade Blotter sheet by <right-clicking> on the strategy in the “Curve” column & selecting “To Trade Blotter”. 

 


# 2: Added “Carry +Roll Adj Sprd” column for swaps

 

In this week’s release, we have added the Swap’s Carry and Roll Adjusted Spread. The enhancement is in the historical data. The live value and the live “C+R Adj Sprd” will be the same.

 

The historical value is adjusted by the total daily carry and roll backwards from the current business day. In other words, yesterday’s value is adjusted by one day carry. The previous day before that (2 days ago) is adjusted by the 1d carry from yesterday and the 1d carry from 2 days ago, thus that date has 2-day carry, and so on.

 

In the example below, the graph on the left, see the SOFR10’s historical data adjusted by the carry and roll. On the right, see how the spread between the actual historical data and the “C+R Adj Sprd” historical data steadily increases showing the carry and roll adjustments.


Note: To add the column, click on “Table” - “Manage Columns

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