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CMT Curve Enhancement | Weekly Release 2/7/20

Added the option to use either Whole Curve CMT or Hi/Lo CMT curves for Italy such that the CMT RVS columns in EUR Bond and Sprd/Bfly will use the selected CMT curve(s)

Traders now have the option to choose between two Italian CMT curves preferences; one set of curves for high coupon bonds and a separate one for low coupon bonds or a single CMT curve with all bonds regardless of coupon. Traders should set both sets of curves (all three options) to “Auto Build” for seamless transitions between either set. To ensure that all curves are automatically built click “Market View” – “Curves” to get to the curve building section of the backend. Then click “EUR” – “CMT”. Here, set “IT High”. “IT Low”, and “IT All” to Auto Build and click the “New Build” button for each.

Once all curves are built traders can choose to use CMT IT high and low or all in the Global Preferences menu.

To set this, click “Preferences” – “Global Preferences”. In the pop-up window in the middle “Calculation Preferences” section, click “CMT Curve Preferences”. In the drop-down choose either “HI/LO” for the separate high and low coupon CMT curves or “ALL” for a single curve, then click “Apply”.

The inclusion of the two sets of CMT curves will allow traders to conduct two types of CMT RVS analysis: one more narrow in scope with similar value coupon bonds and the other against the entirety of the Italian bond market. Each has it’s own historical data set and will update automatically based on which preferences is set. Notice the difference in CMT RVS levels when set to use respective high and low CMT curves (on the left) against using the CMT curve containing all bonds (on the right).


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