Bond Roll and SSA Enhancements | Weekly Release 3/12/21

Modified the XCCY ASW to show the currency and Index selected, as well as added historical data


In Bond Roll and SSA sheets, after XCCY ASW is calculated, the currency and index selected will be shown at the top of the column. Historical data can also be accessed by double clicking cells in this column.


Definition, for reference

XCCY ASW: ASW YY/T level adjusted by the XCCY basis swap curve.


To calculate XCCY ASW, navigate to “Calculation” and click “Calc XCCY ASW”. In the dialogue box, select the CCY and Index to calculate against. After selecting CCY and Index, click “Calculate”. The XCCY ASW column will be updated to reflect the CCY and Index chosen. Historical data can also be accessed by double clicking cells in this column.

To add the column,

- click on “Table”“Manage columns”

- Search for “XCCY”, add the XCCY ASW column to your view and save it.

- The column will appear in your view.