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CCY Bond Enhancements | Weekly Release 3/1/2024

Enhancement #1:

[EUR] Added “DE CMT RVS” set of columns


DE CMT RVS live, change on day, heatmap, & z-score columns have been added to the EUR Bond sheet. Traders can add these columns from “Table” – “Manage Columns”. Historical data is available through <double-click>.

Enhancement #2:

[GBP] Extended XCCY ASW calculation to support CAD


To access XCCY ASW functionality, click “Calculation” – “Calc XCCY ASW”. Support has been added to run XCCY ASW against CAD Libor 1M, Libor 3M, & OIS curves. After selecting the curve, click “Calculate”. The “XCCY ASW” column will be updated accordingly. For example, when selecting CAD OIS the column header will be updated to “CAD OIS ASW YY”.

Enhancement #3:

[JPY] Added option to change bond settlement date from T+1 to T+2


Added preference to change JPY bond settle date from T+1 to T+2. A column labeled “Settlement Date” has also been added to the sheet.

Note: This will only affect live levels & not closing levels


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