AUD Semi Enhancements | Weekly Release 3/5/21

Enhancement #1


Incorporated the CMT RVS set of columns to analyze the relative value spread (RVS) performance of AUD Semi bonds against the AUD Constant Maturity Treasury (CMT) curve


For those who trade the AUD Semi bonds, can now how they are performing against the AUD Treasury CMT Curve.

Enhancement #2


Added the ability to create When Issued bonds under the Market View – WI Semi


Traders can create the AUD Semi WIs from under: Market View – WI Semi.


To create the WI:

1- Click on “New

2- Select the Ticker/Benchmark and enter the coupon and appropriate dates

3- Finally, hit “Save

Note: The WI will appear in the AUD Semi sheet as above.

Enhancement #3


Enhanced RV Analysis under the AUD Semi sheet by adding series filter


To access RV Analysis from the AUD Semi sheet, traders can click on “Analysis” – “RV Analysis” and from the popup window hit the “Series” button. By default, RiskVal checks all series except “MTN” and “EMTN”.

After adjusting their selection, traders should hit “Generate Strategies” to re-generate the best performing flattening/steepening spread strategies and long/short butterfly strategies.

Enhancement #4


Added the “Hist” line to the live graphs to compare the live to a historical date from the “Hist” dropdown


Traders who use the live graphs to have a visual representation of where each security is, now can see where the same security was on a selected time from the “Hist” dropdown. The historical position will be plotted as a line. This allows traders to see the performance of the security relative to the selected historical time.


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