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CCY SSA + Covered Enhancements | Weekly Release 12/10/21

Enhancement #1

Added ability to set SSA bonds as Comparable Bond

Comp Bond” column now supports traders to set SSA Bonds as Comparable Bond. For any SSA bond, traders can <right click> on the cell in the “Comp Bond” column to select the “Set Comp Bond or ticker” window.

In the pop up, there will be the Country selector, below that, <click> on the “Ticker” button. In the next pop up, you will see the “Ticker Chooser”, to select the ticker to be set as the benchmark.

Below that, there is a check box, “Apply to Tickers”, this box will allow you to choose which tickers to apply the benchmarks to.


Enhancement #2

Added ESTR and SOFR options for the XCCY ASW columns, also available in the Bond Roll

To calculate XCCY ASW, navigate to “Calculation” and click “Calc XCCY ASW”. In the dialogue box, select the ASW Sprd, CCY, and Index to calculate against then click “Calculate”.

The XCCY ASW columns will be updated to reflect the CCY and Index chosen.

The SOFR and ESTR will be under the USD and EUR currencies, respectively.

Note: (1) To add the XCCY ASW column, click on “Table” – “Manage Columns” and search for XCCY ASW. (2)This column is supported in CCY Bond as well, following the same method.

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