Key Features in this Release:
[EUR/GBP] Renamed "OISprd YY/Z" to "EONIA/SONIA Sprd YY/Z", which applies to the level, change on day, heatmap, and z-score columns
Added new columns to estimate rolldown which include: “OISprd Z 3M R”, and “SOFR/ESTR Sprd Z 3M R” for USD/EUR Bond sheets
[EUR] In RV Analysis, added flag to see strategies using the same country
Allow inflation traders to configure the coupon range to filter the matched treasury bond selection used for the BEI
Added an option to “Mute” all incoming alerts across all sheets
Added “Sound” setting for notifications
Allow traders to remove columns at the sheet level
Standardized “SOFR/ESTR YY/Z” columns to “SOFR/ESTR Sprd YY/Z” across USD/EUR Sprd/Bfly, USD/EUR Bond, USD/EUR TBill, USD Agency, USD S+SP, and Swap Box
Renamed the AUD Semi sheet as AUD State, with added support for the following tickers: NSWTC, NTTC, QTC, SAFA, TASCOR, TCV, WATC
Enhanced the Bermudan and European grids with a tooltip to reference information the Call Probability, YTM, YTC, and CMT OAS
Allow traders to customize the Bermuda Call Frequency
Added columns to calculate the Expected Maturity Par Rate and Callable Yield
Minor Fixes & Enhancements:
Sprd/Bfly
Added “Meeting Date” column for Central Bank strategies like FOMC1
Added support for “USCRWCAS” ticker for crude oil
Added support for IMM FRA and IMM OIS strategies
[EUR/ GBP] Added the “3s ASW YY” and “3s ASS dYY” columns
CCY Bond Roll
[USD/EUR] Added “SOFR/ESTR”, “SOFR/ESTR Sprd YY/Z” options for the Zero Spread and Zero Bfly Types
Added flip function for butterfly graphs [also added to USD Agency]
Fwd Swap Matrix
In the “Swap-CMT” and “OIS-CMT” tabs, added a “Flip” option to calculate live and historical as CMT rate – Swap (or OIS) rate
In the “CMT” tab, added ability to select two or more cells to generate a multi, sprd, or bfly graph
Added support for broken-dated SOFR and ESTR swaps
Added support for broken dated cross-currency basis swaps such as BSUSD3SEUR6S-01152021x05152025
Market View – Basis Swap: For “AUDOIS vs FF”, added 3M, 6M, and 9M terms (also available in the Basis Swap Monitor, and Custom Basis Swap sheets)
Trade Blotter
Enhanced the csv/txt trade import to support Basis Swaps
Enhanced the csv/txt trade import for Swaps to include “upfront fee”
Fut Cal Roll: Added “Back IRR-Front IRR” column, which is the difference between the back contract’s implied repo and front contract’s implied repo rate
Calendar ASW
[USD/EUR] Added “Spot”, “FwdDt1” and “FwdDt2” columns for SOFR/ESTR, SOFR/ESTR Sprd YY/Z
Swap Box
Reorganized “Calculation” menu to make it consistent with Trade Blotter
In the Strategy Analysis, added columns to calculate the spot and fwd SOFR/ESTR Sprd
EUR TIPS: Resolved the “ASW Z Diff” historical graph bug
Previous week's release - Swap Box, Sprd/Bfly, Bond Roll, Forward Swap Matrix and USD Agency enhancements