XCCY ASW Enhancements | Weekly Release 2/18/22


Enhancement #1:


Added OIS as an index choice for GBP/CAD/JPY/AUD



In “CCY Bond” tabs and “CCY SSA” tabs, OIS has been added as the default index choice for GBP/CAD/JPY/AUD. Traders can select the currency and then choose the desired index.


To open the XCCY ASW menu, click on “Calculation” – “Calc XCCY ASW”, select the currency, then click on “Calculate”. The XCCY ASW set of columns will refresh after clicking the “Calculate” button.


Note: To add the XCCY Columns, click on “Table” – “Manage Columns




Enhancement #2:


[INR Bond] Added support to calculate against USD (SOFR) & EUR (ESTR)


In “INR Bond”, Traders can now calculate ASW spread against USD with SOFR index or against EUR with ESTR index.




Enhancement #3: [SGD Bond]


Added XCCY ASW function


Traders can now use the “XCCY ASW” function by clicking on “Calculate” – “Calc XCCY ASW…”. After clicking the “Calculate” button in the pop-up window, the XCCY ASW set of columns will refresh.

Note: Traders can add XCCY ASW set of columns from “Table” – “Manage Columns”.