Key Features in this Release:
Added Alert Management so traders can set alerts on Invoice Spreads, Net Basis, Implied Repo, etc.,
Introduced Central Bank Rate floating window for G7 and AUD which summarizes meeting date rates, step and cumulative steps with historical time series
Enhanced the Historical VaR to allow users to change the lookback period from daily (default) to weekly or monthly
Added, in the summary table, the “Return on Net Capital” for bond positions
[New] Added the fully functional CHF Sprd/Bfly integrated with CHF On-the-Run generic Treasury bonds, historical data, and CHF CMT curve to perform RV Analysis
[EUR] Added the ESTR, ESTR YY, ESTR dYY, ESTR ASW Z, ESTR ASW dZ columns
Added a way to apply a custom Bid/Ask Sprd for the Repo rate
Added an option to allow users to remove line items from the table
Minor Fixes & Enhancements:
User Experience: Enhanced the table headers to apply a red border should the header be customized to show it has a custom name
Sprd/Bfly:
“Map to Generic” will be turned off for non G7 currencies as the default which is consistent with the Bond Roll Sheets
Added the “Generic”, “Roll Adj”, and “Decay” flags in the Strategy’s pop up graphs
NZD Bond: Adjusted the On the Run Spline Curve to include 2y, 5y, 7y, 10y fitting points
ZAR Bond: Adjusted the On the Run Spline Curve to include 3y, 6y, 10y, 30y fitting points
Bond Roll:
Enhanced the 3M C+R, to share the selected time horizon across all subtabs
[EUR] Added a “IT All” Standard Tab to show all Italian tabs in one tab
Enhanced the Forward Analysis in the subtabs to allow the traders to enter a forward date or future, this will be shared amongst all tabs
Basis Swap Monitor: EUR - EONIA vs EUR3M - IMM, GBP - SONIA vs GBP3M - IMM, added the 3M tail column, also available in the Custom Basis Swap Monitor
Historical Viewer:
Re-ordered the Treasury bonds to original issue, then maturity; the flag is under Preferences – Sort Bonds by Orig
Under “Fut-Bond” and “Fut-Bond-Generic” added the 3Yr future
Previous week's release - Roll Adjustments, Trade Blotter, [New] USD SFR Fly, Bond Roll, Sprd/Bfly and Forward Swap Matrix enhancements