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Fwd Fwd Enhancements | Weekly Release 1/31/20

Enhancement #1

Support shortcodes for forward spreads, such as 2x(2/10)

Traders can now abbreviate their forward swap spread strategies by placing the tails in parenthesis. This formatting option is also available in the Forward Swap Matrix. To use parentheticals in creating forward swap strategies first input the prefix followed by the forward term then “x(tail1/tail2)”. The example below uses the USD1m vs USD3M IMM started basis swap with a 2 year and 7-year tail, with the new formatting option enter “IMMBS1S3S-H0x(2/7)”.


Enhancement #2

Expanded coverage to include CPI swaps, both spot and forward

Traders can now enter both spot and forward started CPI swaps in the Fwd Fwd Matrix and the Forward Swap Matrix. To enter a forward started CPI swap follow the same formatting convention for other forward swaps by entering “CPI” followed by the forward term x tail, such as CPI2x5.

Of note: when entering CPI swaps in the Forward Swap Matrix for a currency different than the tab being utilized enter the two-letter currency code before. E.g. EUCPI2x5 in the USD – LIBOR tab.


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