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Swap Box enhancement | Weekly Release 10/21/22

Enhancement: For FRN trades, Discount Margin will be used as the primary metric, replacing the yield

Swap Box sheet will recognize FRN bonds as such and subsequently set the RV metrics to be based upon the Discount Margin (DM) of the bond and the matched maturity benchmark bond from the same issuer. For example, when a FRN is used in a trade in Swap Box, yield spread will be automatically replaced by DM spread under the yield column and the ESTR/EONIA/EURIBOR Spread columns.


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