Key Features in this Release:
Centralized the roll adjustment settings to keep consistency between the Bond Roll and the Sprd/Bfly such that both places share the roll adjustment flags
Added a “map to generic limit” which allows the user to define the number of off-the-run generic curve points to map issue-specific securities to graph generic + roll adjusted historical data
Added the “Cashflows” report summary including bonds and swaps
Created a new floating window which displays SOFR Future butterfly strategies
[EUR] Enhanced the Color Management tool with the option to color code by country and original series
Added columns to show the $ Annual ASW YY carry + roll and $ Annual OIS YY carry + roll
[EUR] Added a Green Bond filter to only include the Green Bonds on the list; also available in the EUR SSA
Added the SOFR Future Packs & Bundles
Added a pop up message to warn users if the selected weighting type is not supported for the strategy; additionally added a tool tip on the weight column to show the weighting type
In an effort to remove the obsolete CCY-OIS sub-tabs, moved the lower subtabs from the OIS tab to the Libor tab
Minor Fixes & Enhancements:
Bond Roll:
Traders can delete multiple user created views at a time
Added the FASW dZ for the future rows
Enhanced the OIS column to have the ability to send the spread or butterflies to the Sprd/Bfly
Added the background heat map for CMT dRVS, ASW Z dRVS. And dYld under the “Preferences” menu
Trade Blotter:
Adjusted the last few fitting points of the Forward Bucket Risk to from 40x5 and 45x5 to 40x10
Enhanced the sheet to handle CMS strategies
[CAD] Adjusted the roll convention on IMM dates which is also updated in the Forward Swap Matrix
Sprd/Bfly:
[EUR] Added the “CA Sprd” and “CA dSprd”
Enhanced the historical graphs to draw a line to show the 2nd standard deviation
USD S+SP: Added the CT20 as a benchmark for the original 20 yr SPX and as s choice
EUR SSA + Covered: Backfilled historical data for the tickers: EU, EIB, KFW, ESFS
Previous week's release - Docked Floating Windows, Forward Swap Matrix, Market View - Future, Swap Box, Bond Roll, SSA + Covered and Future Calendar Roll enhancements