Forward Swap Matrix Enhancement | Weekly Release 10/29/21

Use “FOMC#” format to map to SOFR & “FOMCOIS#” to map to OIS, also in the Sprd/Bfly


Traders can enter “FOMC#” formats in the Fwd Swap Matrix sheet, and those dates will match FOMC dates under the “Market View” – “Curves” – “USD” – “SOFR” tab.

If they enter "FOMCOIS#" formats, that will match FOMC dates under the “Market View” – “Curves” – “USD” – “OIS” tab.

Note: Both formats are supported in the Sprd/Bfly sheet


In the CB Rate monitor, RiskVal added support for “Live SOFR”, “CoD SOFR”, “Step SOFR”, “Cumul Steps SOFR” columns and also added OIS suffix to already existing “Live”, “CoD”, “Step”, “Cumul Steps” columns.