Key Features in this Release:
Added a CMT monitor to show all the CMT curves of all active countries
In the Blotter Manager added “SOFR Hedge”, “Meeting Date Rate Hedge”, “Inflation Risk”, “Swap Spread hedge”, “Basis Risk”, and “Gamma Risk” to the Calculation dropdown
Added support for 1 month EUR Overnight future such as “OMM1”, “OMU1”, etc.
Added “Sprd01” column to the Summary section for basis swaps
Allow users to run Horizontal Analysis directly form the RV Analysis
Added “Cnvx + Exp Ret” column as a sum of Expected Return and 3 Month Convexity Return
[EUR] Added the ability to allow the user to choose which metric to use under the “Comp diff Type”
Allow traders to select multiple sectors simultaneously, which is available across tabs and RV Analysis
Added option to load SSA + Covered tickers for other countries to the EUR Curve Analysis
Minor Fixes & Enhancements:
Bond Roll
[HKD] Added “3M R CMT” and “3M C+R” columns
[CNY CDB] Added default issue size to $10B
Fwd Swap Matrix:
[EM] Added 3M Roll for CMT entries
o [EM] Added historical data for FRA, IMM FRA, and IMM OIS (if available) strategies such as “FRA0x3”, “IMMFRAH1”, IMMOISH1,. etc
Added “#M” tail support for IMM and IMM OIS strategies to show forward by month such as “M21X3M”, “IMMOISU22X6M”, etc.
Enhanced plotting Multi/Sprd/Bfly graphs in all tabs under the lower matrix
Enabled “ToFwdSwapMatrix” button for strategies in the lower matrix
Hist Viewer: Added the SOFR/ESTR YY Sprd and the SOFR/ESTR Z for USD/EUR Bonds, Strips, Strip Principles, Agencies, Bills, and Bond On-The-Run
Cal ASW: Updated column headers in the Strategy Analysis to be consistent with the strategy detail table
Swap Box: Enhanced the “Yld Sprd” Column to show the spread for a two legged strategy