Market View – Basis Swap Enhancements | Weekly Release 7/16/21


Enhancement #1


[JPY] Added support for the DTIBOR basis, “JPY3sDTIBOR” and “JPY6sDTIBOR”


Traders can access DTIBOR basis, from the “Basis Swap” – “JPY” tab.


In the lower part of the Basis Swap sheet, traders can access “Fwd Matrix”. Same enhancement is also available in the Basis Monitor, and Custom Basis sheets.

Enhancement #2


[CLP] Added support for “CLICP vs USD6s” cross-currency basis


In Forward Swap Matrix and Sprd/Bfly sheets, added support for CLICP vs USD6s. Traders can enter “BSUSD6SCLICP-#”, “BSUSD6SCLICP-#x#”, “IMMBSUSD6SCLICP-1IX#” (generic) and “IMMBSUSD6SCLICP-[HMUZ#]X#” (specific) formats.

Note: To see “CLP” tab under the Market view – Basis Swap, traders must first enable Chile (CLP) under the “CCY Config” and hit “Save User Config”, before clicking on “Curves” – “Libor” – “Auto Build” check-box.