Enhancement#1
Enhanced the Emerging Markets sheets for ZAR, MXN, INR, CNY with the XCCY ASW calculation vs USD/EUR
The emerging markets sheets of ZAR, MXN, INR, and CNY now have the XCCY ASW column with the ability to calculate against the USD/EUR curves.
Definition, for reference
XCCY ASW: ASW YY/T level adjusted by the XCCY basis swap curve.
To calculate the XCCY, click on “Calculation” – “Calc XCCY ASW..”. In the pop-up select the curve to which calculate against
To add the column,
- click on “Table” – “Manage column”
- Search for “XCCY”, add the column to your view and save it.
- The column will appear in your view.
Enhancement #2
Added the SOFR/ESTR rate’s 3M Carry and Rolldown columns
Added “SOFR/ESTR 3M C”, “SOFR/ESTR 3M R Crv”, “SOFR/ESTR 3M C+R” and “SOFR/ESTR Sprd 3M C+R” columns to USD/EUR Bond Roll sheets.
To add newly added columns, traders can hit “Table” – “Manage Columns”; search for “SOFR/ESTR 3M” and the columns will highlight yellow. Traders can move them to the right-hand side. Then click “Save As” to create a new user view, or just “Save” to add it to the current view.
Traders can <double click> on any of the four columns to open historical data. In addition, traders can <right click> and select a different rolldown, such as 1M and 2M.
Note: This is the SOFR/ESTR rate’s carry and roll, not the spread to the bond.