Enhancement #1
Added outstanding size, issue size, float size, fed holding size, & free float set of columns in market value terms
Added "Out Sz B MV", "Issue Sz B MV", "Float Sz B MV", "Fed Hold Sz B MV", & "Free Float B MV" columns. These columns will show the original notional columns in market value terms (Notional * Dirty Px/100).
Note: Traders can add these columns to their view from “Table” – “Manage Columns”.
Enhancement #2
Added overridable DV01 column to Key Rate hedge function
In CCY Bond sheets, traders can run Key Rate risk by selecting a cell, holding the <Ctrl key>, selecting additional cell(s) in the same column, & choosing “Risk/Hedge” – “Key Rate (Cashflow) Risk” from the dropdown menu. The Key Rate risk popup will load.
In the popup, the “Total DV01” column is now overridable. Overriding the column & pressing <Enter>, the corresponding notional & risk will be calculated automatically.
Enhancement #3
Added SOFR/ESTR/OIS as Bfly Type for Custom Bfly columns
SOFR (USD), ESTR (EUR), and OIS rates are now supported as a butterfly type for “Custom Bfly” columns.
First, traders can click on “Preferences” – “Custom Bfly Settings” to pop out the settings. Next, traders can change butterfly period and tolerance, or check “Use adjacent if no match”, if needed. Under the “Type”, traders will be able to see the ESTR/SOFR and OIS curves available.
For example, traders can click on the arrow and open the dropdown menu and select the newly added “OIS” as Bfly2 Type. Lastly, hit the “Apply” button and the relevant columns will refresh.
Note: Traders need to click on “Apply” in the “Custom Bfly Settings” first in order to load the Bfly set of columns. In addition, traders can add and rearrange columns from “Table” – “Manage Columns”.
Enhancement #4
Added ability to select more than one bond for TED/FF/SOFR hedge
Traders can select multiple bonds to calculate the TED/FF/SOFR hedge. Simply follow the instructions below.
Hold <ctrl> and click on a cell in the bond rows desired. Release <ctrl> when all bonds are selected.
<Right click> and click on “Risk/Hedge” – “Ted/FF/3M SOFR Hedge”.
In the pop-up window, Ted/FF/3M SOFR hedges are listed from top to bottom.
