Key Features in this Release:
Added SOFR swaps and ESTR Swaps
Added Basis Swaps and Cross Currency Basis (Spot/Forward/IMM)
Added GBP SONIA and EUR EONIA Futures
Added FX Majors across all currency tabs
Enhanced the XCCY Basis to allow the trader to configure the notional hedge
Added the ability to calculate Risk off the Blotter Manager
Added the “Custom Risk” and “Custom Return” columns to the Blotter Manager
Enhanced the Customized Callable Bond table to include the Libor/OIS/SOFR spreads for traders to calculate the corresponding coupon, treasury spread, and DV01 for each index
Extended the funding grid to include 11, 12, 13, 14-year terms along with their respective locks
Added the Absolute Spread “Abs Sprd” column to show the absolute value of the spread
Minor Fixes & Enhancements:
Basis Swap: Enhanced JPY OIS vs FF xccy basis, which is now implied by JPY3s vs USD 3s to match market convention
Future Net Basis Forecast: Added an option to exclude the contracts in the current cycle from recalculating when the yield factor changes
[New] CAD SSA: This sheet will include SSA bonds issued in CAD
Hist Viewer: Enhanced the “Import User Events” to include a user guide and a sample file under the “Help” dropdown
BRL Bond and BRL Sprd/bfly: Added the On-The-Run 5 year bond
EUR Sprd/Bfly:
Added support for ES7
Extended the PCA Weighting to all the generic country codes such as ES(5/710), IT(2/5/10), etc
Added the OTR IOTA
Trade Blotter: Added support for EONIA Futures such as “EXM1”
Callable Grid: Enhanced the synchronization of all tables, such that user entries/selections auto save
Swap Box: Added a column to show the “3M Convx Ret”
Bond Roll: Added the Cnvx Adj C+R to the Curve Analysis