Swap Box Enhancement | Weekly Release 11/29/19

Added column to calculate XCCY ASW (also available in Custom Bond ASW), which uses the same method as the one in Bond sheets

Traders can now utilize the XCCY ASW column that exists in CCY Bond sheets in both Swap Box and Custom Bond ASW. The XCCY ASW column is used to analyze True ASW levels adjusted by the XCCY Basis Swap curve of any other currency, to value local bonds against another curve.

Once a strategy has been created click the “Calc XCCY ASW” button, then choose the currency and index in the pop-up window and click “Calculate”.

The example below shows the FVZ9/TYZ9/UXYZ9 future butterfly strategy in the Swap Box asset swap spread to the Euro 6M LIBOR index.