Forward Swap Matrix Enhancement | Weekly Release 11/19/21


Added MAC SOFR/ESTR swaps


RiskVal added support for MAC (Market Agreed Coupon) SOFR/ESTR swaps. Traders can enter “SOFR[H/M/U/Z]#x#” & “ESTR[H/M/U/Z]#x#” formats.

For example, SOFRH2X2 stands for MAC SOFR swap starting from IMM H2 with 2-year forward.


For further analysis, trader can <right click> on the swap in the “Curve” column and select “To Trade Blotter” - “DV01 Hedge”. In Trade Blotter, traders can <double click> “B/E Rate Dirty/Clean” to view the swap details.

Note: These are also available in the Sprd/Bfly.