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Forward Swap Matrix Enhancements| Weekly Release 4/7/2023

Enhancement #1: Added “Ccy” column, also available in Sprd/Bfly

From “Table” - “Manage Columns”, traders can add “Ccy” column that will show them what are the currencies entered in the strategy.

Currency column is also available in Sprd/Bfly sheet.

Enhancement #2: Added the SOFR CMS Matrix and the SOFR – CPI matrix in the bottom section

From SOFR CMS and SOFR CPI tabs in the lower part of the sheet, traders can access live grids, populate, and send strategies to the upper table.

From the historical pop-up just click on “ToFwdSwapMatrix” and Risk Val will populate it in the upper table using following formats:

SOFRCMS# for spot & SOFRCMS#x# for fwd SOFR CMS levels;

CPI#/SOFR# for spot & CPI#X#/SOFR#X# for SOFR CPI fwd levels.


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