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CMT Curve Enhancement | Weekly Release 10/25/19

Enhanced all CMT Curves to use each country’s default weight (Free Float, Issue Size, or Outstanding Size) multiplied by DV01 to achieve a more balanced weighting across the short and long ends of the curve

In all CMT Curve tabs, we now show the DV01, and either Issue Size, Free Float, or Outstanding Size (depending on each CCY default).

Traders can right-click from the “Weight” column to “Reset to Default Weight” at any point. This will also provide traders with a tooltip of the current default weighting method.

Default weighting for available CMT curves for each CCY:

  • USD, GBP, JPY: Free Float x DV01

  • EUR: Issue Size x DV01

  • AUD, CAD, CGB, CDB, TRY, ZAR, MXN, PLN, HUF: Outstanding Size x DV01


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