Forward Swap Matrix Enhancement | Weekly Release 8/13/21

Enhancement #1


Added support for SOFR Invoice spread YY/Z for USD bond futures & ESTR Invoice spread YY/Z for EUR bond futures


Added support for SOFR Invoice spread YY & Z for USD bond futures using the following format: <Bond Future>_IVSPS_(YY/Z)”.


Also added support for ESTR Invoice spread YY & Z for EUR bond futures using the following format: <Bond Future>_IVSPE_(YY/Z)”.

Note: These formats are supported across all CCY tabs

Enhancement #2


Added support for XCCY SOFR basis such as SOFR vs JPY OIS, SOFR vs ESTR and SOFR vs AUD OIS


Added support for USD SOFR vs JPY OIS using the following formats:

“BSSOFRJO-#(X#)”

“BSJOSOFR-#(X#)”

“IMMBSSOFRJO-[HMUZ#]x#”

“IMMBSJOSOFR-[HMUZ#]x#”


Added support for USD SOFR vs EUR ESTR using the following formats:

“BSSOFRESTR-#(X#)” “BSESTRSOFR-#(X#)” “IMMBSSOFRESTR-[HMUZ#]x#” “IMMBSESTRSOFR-[HMUZ#]x#”


Added support for USD SOFR vs AUD OIS using the following formats:

“BSSOFRAO-#(X#)” “BSAOSOFR-#(X#)” “IMMBSSOFRAO-[HMUZ#]x#” “IMMBSAOSOFR-[HMUZ#]x#”

To calculate the cross-currency basis:


· ESTR vs SOFR: Use the ESTR and SOFR curves as forward curve, together with corresponding outright fx curve to imply breakeven spreads


· AUD OIS vs SOFR: Use the AUD OIS and SOFR curves as forward curve, together with corresponding outright fx curve to imply breakeven spreads


· JPYOIS vs SOFR: Use the JPY OIS and SOFR curves as forward curve, together with corresponding outright fx curve to imply breakeven spreads

Enhancement #3


[AUD] Added “6s Roll”, “6s Carry +Roll” tabs in the lower panel


Traders can now monitor Australian “6s Roll” and “6s Carry +Roll” in the Forward Swap Matrix, by selecting "6s Roll" or "6s Carry + Roll" and clicking "Calc fwd".

Enhancement #4


Added EU SSA CMT tickers


Added support for spot, forward, and spread EUSSACMT using the following formats:

“EUSSAEUCMT-#”

“EUSSAEUCMT#X#”