Key Features in this Release:
With the official announcement that the U.S. Treasury will begin issuing 20-year bonds early this year, here is a quick read on how to create 20-year WI bonds with varying coupon assumptions
Introduced a Fwd Swap Relative Value Analysis tool to help derivative traders identify curve and tail trades
Added a new sheet for CAD traders to perform relative value analysis across Provincial & Covered bonds
Added Non-Farm Payroll dates as Economic Calendar Events in the Seasonality tool for traders to see how strategies perform going into and immediately following the monthly NFP announcement by the BLS
Enhanced cross-country support in all Sprd/Bfly windows by accepting swaps and OIS swaps for any G7 + AUD country
[USD] Support STIR indices which include upper and lower target bands of the FF range, Fed Discount Rate, and RRP
Added USD as an option for the “Comp Trsy” column for relative value analysis on EGBs spreads against USTs
Added option to sort by country and maturity
Added “Par Cpn” and “Strip B/E Par Cpn” columns, where Strip B/E Par Cpn uses “Strip B/E SP Px” as the principal price instead of the market price. Also available in USD Bond sheet
Support AUD OIS vs USD OIS basis swap
Centralized and added new font preferences to further customize font size & style across the system
Minor Fixes & Enhancements:
Market View – WI: Allow AUD traders to model up AUD WI bonds
Forward Swap Matrix:
Added option to hide all lower panel matrices
Added new columns: 3M heatmap for Z-Score and Rolldown, Total Return column (Expected Return [formerly “Sprd Dev”] + 3M C+R)
Added Stdev column which is calculated based on level instead of daily change
Updated intraday chart to collect data for all swap types, which now includes forward strategies
CAD Bond: Added values for Gen Curve point column like in USD Bond
CCY TIPS: Added ability to view SA IOTA in the lower panel graph
CCY Sprd/Bfly:
Renamed “Stdev Sprd” to “Stdev” and adjusted to scale to be in line with other standard deviation columns
Added history to Gross Basis column for Bond Futures
Enhanced “Custom Column” by setting the column names to match the sprd/bfly column names
Swap Box: Enhanced the Batch Repo Editor “Country” button to include those in the “Strategy Analysis” tab