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Forward Swap Matrix Enhancements | Weekly Release 7/2/21


Added support for SOFR futures such as “SFR1”, “SFRU1”, “SERU1”

Traders who would like to see the SOFR futures alongside their swaps and derivatives can now enter them in their Forward Swap Matrix. Like the Sprd/Bfly, traders can enter the “SFR#” for the 3M SOFR generic, “SFR[H,M,U,Z]#” for the specific, “SER#” for the generic 1M SOFR, “SER[N,Q,U, V,X…]#” for the specific SOFR 1M futures.



Allow traders to enter future IVSP (YY/T/Z) and IVSPO (YY/T/Z) as benchmarks when doing a regression analysis, as well as in the table

Traders can now enter Future IVSP YY and IVSPO YY as benchmarks to do regression analysis. To do so, in the “BM” field at the top of the Fwd Swap Matrix sheet, use the format “<Bond Future>_IVSP/IVSPO_(YY/T/Z)”.

For example, TY1_IVSP_YY. The “Corr”, “Resid”, “Resid Rich<->Chp”, & “Resid ZS” columns will be updated to reflect the entered benchmark.

Traders can also use this same format to enter Future IVSP and IVSPO in the Fwd Swap Matrix table as well.


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