Market View - Basis Swap Enhancements | Weekly Release 5/6/22



Enhancement #1:


[KRW] Added support for “KRW3S vs SOFR”


From the “KRW” – “KRW3s vs SOFR” tab, traders can load the basis swap table.

If they hit on “Calc Fwd”, RiskVal will load the forward table in the lower part of the sheet.

Traders can <double click> on the “Live” column, or fields in the forward table to open a historical chart. Hit “ToFwdSwapMatrix” to send strategy to Forward Swap Matrix sheet.


We support “BSKRW3SSOFR-#”, “BSKRW3SSOFR-#x#” & “IMMBSKRW3SSOFR-[HMUZ]#x#” formats in Fwd Swap Matrix sheet.



Enhancement #2:


[HKD] Added support for “HKD3s vs SOFR”


From the “HKD” – “HKD3s vs SOFR” tab, traders can load the basis swap table.

If they hit on “Calc Fwd”, RiskVal will load the forward table in the lower part of the sheet.

Traders can <double click> on the “Live” column, or fields in the forward table to open a historical chart. Hit “ToFwdSwapMatrix” to send strategy to Forward Swap Matrix sheet.


We support “BSHKD3SSOFR-#”, “BSHKD3SSOFR-#x#” & “IMMBSHKD3SSOFR-[HMUZ]#x#” formats in Fwd Swap Matrix sheet.