AUD Semi Enhancements | Weekly Release 2/19/21

Enhancement #1


Consolidated the three Cross Currency ASW T columns into one calculation menu


To streamline the calculation of the XCCY ASW T columns, we enhanced “Calc XCCY ASW All” menu to show all three columns calculation in one pop up.


To open the selection window, traders can click on “Calculation” – “Calc XCCY ASW ALL”.


In the popup menu each section has a numerical value which maps out to each “XCCY ASW T” column in the AUD Semi sheet. From there, choose each “CCY / Index” and hit “Calculate All” to see the data.


This enhancement is also available in the USD/EUR/AUD SSA+Covered sheet.

Note: XCCY 2 ASW T” and “XCCY 3 ASW T” can be added form the “Table” – “Manage Columns” menu.

Enhancement #2


The “Comp Sprd” column has been modified to include the futures, such as the XM1 and YM1, as benchmarks


Added XM1 and YM1 bond futures as Comp Treasury benchmark.


Traders can <right click> on the "Comp Trsy" column and select "Set Comp Try Ticker" from the dropdown menu. From the popup graph select "Bond Future" and hit “Apply”. RiskVal will include XM1 and YM1 futures as benchmarks.

Enhancement #3

Added the RV Analysis


Enhanced AUD Semi sheet with RV Analysis.


Traders can open RV Analysis from “Analysis” – “RV Analysis”.

To generate the best performing Spread and butterfly strategies, traders can apply filters and hit “Generate Strategies”.


RiskVal will load the best flattening/steepening spread and long/short bfly strategies.

The system allows traders to send any of the strategies to the Sprd/Bfly, Swap Box, and Trade Blotter sheets. After selecting one of the strategies, traders can <right click> and select where to send the strategy.

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