SOFR Basis Enhancement | Weekly Release 11/20/20

Created a new window to summarize the Spot, Forward, and IMM Basis for SOFR vs FF, FF vs 3M, and SOFR vs 3M basis, where STIR traders can also set alerts


STIR traders who would like to see the Short End Basis on one tab, can do it in the SOFR Basis floating windows. The table is broken up in to three sub-tables. Additionally, alerts can be set to these basis spreads.

  • The table on the left will show the spot basis indicated by the first column “0” as the start date.

  • The middle table will display the forward indicated by the column showing the forward start.

  • Finally, the table on the right, shows the IMM started Basis, indicated by the “Contract” as the start date.


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