Key Features in this Release:
Constant Maturity Treasury (CMT) Curve Enhancements
Separated IT CMT into two curves: Low (coupon <4%) and High (coupon >=4%) for more accurate trade discovery and rolldown when analyzing BTPS bonds against the CMT curve (also applies to ASW Z RVS)
Refined the USD CMT curve to fit the original issue within each sector to create a smoother curve for more powerful relative value analysis
Plot the Par Rate curve, instead of the Spot Rate
Enhanced the seasonality function which dissects the historical data based on either an economic event or custom anchor date to automatically show the full cycle of the oldest segment
Added an indicator to flag which strategies have alerts enabled
Updated default views with ASW Z RVS set of RV columns, as well as Total Return and Expected Return columns
Added US Treasury Trading Volume
Added XCCY ASW YY to analyze the Yield-Yield ASW of each bond in one currency-adjusted by the XCCY basis swap curve of another currency
Gap Analysis: Added “Total Return” = Expected return + Gap Return
Curve Analysis: Added option to let traders configure the Diff when plotting any combination of two series
Enhanced the Key Rate Risk (and cashflow) calculations to support listed option and swaption trade type
[GUI] For traders with 4K monitors, added bigger font size options
Forward Swap Matrix: revamped the Help menu’s Format References with a PDF containing a full list of supported product types & formats
Minor Fixes & Enhancements:
Forward Swap Matrix: SAR: backfilled historical data for Saudi Arabian spot and fwd swaps Market View:
Curves: Highlight default fitting points for both OIS & Libor curves
IRVOL: reorganized the Realized Vol Hist, Roll Type, and Straddle Scenario (bps) into a “Preferences” menu
Future: remove dependency on ASW/OIS method and show all Sprd methods (YY, True, Z-Sprd)
USD TBill: Added Float Size to the default view
Bond Roll:
AUD: Renamed the ASW (YY, T, Z) and ASW Z RVS columns as 3M ASW to differentiate from 6M ASW
Curve Analysis: remembers the settings from the “config” menu
FX Curve: For EUR pairs, added tooltips for IMM
Sprd/Bfly: Added generic time series for ASW Z RVS columns
CANHOU Bond: Added history for CMT RVS
Callable Grid: After user enters a level into the libor spread or NPV table, use interpolation to push to the ‘Extended’ tab
Trade Blotter: Enhanced the Horizontal Analysis to support CMS Sprd Options
User Experience: Enhanced floating windows such that resizing is easier
Previous week's release - Added support for cross country CPI Swaps across G7 tabs