Key Features in this Release:
[EUR] Transition From EONIA to ESTR
Forward Swap Matrix: “ECB#” meeting dates are now mapped to the ESTR ECB dates, the EONIA ECB dates are now using “ECBOIS#” format, also applied to the Historical Viewer
CB Rate Monitor: Added “Live ESTR”, “CoD ESTR”, “Step ESTR”, “Cumul Steps ESTR” columns
Bond Roll: Added the IVSPE YY/Z & IVSPE dYY/dZ columns
Sprd/Bfly: Added “ESTR Spread Z Rich<->Cheap” heatmap & “ESTR Spread Z-score” columns to complete the ESTR Z spread set of columns
Added three more futures with different delivery baskets
[USD] Added Implied Lock Yield column
Added “Cnvx” as an option under “Graph” dropdown
[USD] Added support for SOFR headliner swap spread as “SFCT#”
[JPY] Added “Comp Yld” column, already available in JPY Bond
Minor Fixes & Enhancements:
Sprd/Bfly:
[USD] Added ability to set alerts on IVSPS YY/dYY/Z/dZ
[EUR] extended the ESTR ZS & Rich<->Cheap heatmap to inflation bonds
Forward Swap Matrix:
[KRW] Added historical data for KRW futures (KR, KR, KAA), also available in KRW Sprd/Bfly & KRW Bond sheets
USD SSA + Covered:
Added historical data for “CMT RVS”
Added “SSprd”, “OTR RVS”, & “CMT RVS” to Graph dropdown
Market View:
[IRVOL] In RV Analysis, “MR Ret” is set to > 0 on default
In “Top Outright” -> “Short”, now show “Vol”, “3M Rlzd Vol”, & “Mean” as positive numbers
[CAP/FLR Vol] Will now use ICPL for USD & EUR closes
Historical Viewer [CB Rate]:Now map USD FOMC to SOFR version, while keeping FOMCOIS for reference
CCY TIPS: Added tooltips to column headers
Preferences:
Under “Global Preferences” > “GUI Preferences” > “Graph Setting” > “Scatter Last Points”, added the ability to set the number of latest points shown in Scatter Plots
Previous week's release - Future CTD, [New] Global Swap CoD, Bond Roll, Fwd Swap Matrix, Sprd/Bfly, New Global IVSP, and Trade Blotter [Listed Option] enhancements