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CAD Prov & Covered Enhancement | Weekly Release 3/11/22


Added additional sets of XCCY ASW columns, including GBP SONIA to XCCY ASW

Two additional sets of XCCY ASW columns have been added. These columns will show the Asset Swap YY/T level adjusted by the XCCY basis swap curve. Included are the XCCY ASW YY/T carry, XCCY ASW YY/T Roll, XCCY ASW YY/T Carry and Roll.

In addition to adding the columns, the GBP SONIA has also been added as an additional currency in the menu.

To add these columns, click “Table” – “Manage Columns”.

To calculate, click “Calculation” – “Calc XCCY ASW All”. In the popup window, traders can select the “ASW Sprd”, “CCY”, & “Index” for each set of XCCY ASW columns. The columns will be relabeled based on the CCY & Index selected.


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