Key Features in this Release:
Added “SP Curve Roll” roll method for traders to set the 30-year WI Bond’s WI Roll as the “SP Derived WI Roll”
Added "Strip B/E ASW Z" (Z-spread on the whole bond calculated with Strip B/E Price) and "Strip B/E SP ASW Z" (Z-spread on the SP bond with Strip B/E SP price)
Built for Relative Value traders, RiskVal’s *RV Analysis* generates the best/worst strategies based on Z-Score or Expected Return to quickly identify potential trading strategies across any part(s) of the treasury curve
Enhanced shared column layout such that RiskVal will prompt traders with a popup window to select and apply their desired view across all tabs of the current sheet. This feature is also available in the Sprd/Bfly
In EUR, give traders more flexibility to define the pricing source for each country, which will update all real-time EGB prices across of RiskVal
Added a new method for traders to conduct a regression analysis, allowing traders to choose from three options: whole level, daily change, or the whole level with beta based on the daily change
Enhanced Bond/Bond Future trades to default the CTD Bond’s repo rate with the CTD Implied Repo Rate
The Trade Blotter allows traders to enter several security types to view their aggregated risk and pre-trade P&L. The framework was rigid, but in this release, we have added a few enhancements to make it a bit more flexible and customizable.
Added the ability to have re-order the trade types
With the click of two buttons clear out the sub-tab
In each trade type section, display the number of positions selected/total number of positions in the section
Enhanced EUR + FRF CPI Swap curves to use 24 monthly CPI
Bug Fixes & Minor Enhancements:
Market Monitor: Reverted to original column layout
Calendar ASW: Allow traders to transform their trading strategy into an email with a new "Send as Email" feature. Traders can specify the email recipient(s) & receiver(s), to send a snapshot of their Calendar Trade details as well as the spread graph of the 3-month history.
Sprd&Bfly:
In USD, show the auction dates when plotting Swap Spread strategies
Enhanced the Seasonality function by adding “Middle of Month” as an Eco Calendar Event option
Default # decimal places in the “Sprd” column; single strategies will show 3 decimals places, and Sprd or Fly strategies will show 1 decimal place
Market View – Libor & OIS Curves: Automatically enable auto-build for the corresponding CCY, which gets triggered upon opening the CCY TIPS, Sprd/Bfly, and Bond Roll sheets
TIPS: For USD & GBP, enhanced the CMTRY (CMT Real Yield) curve to use free float * dv01 as the new weight method. In addition, the USD CMTRY model now uses Quadratic Model, instead of the previously used Nelson Siegel Model
Bond Roll: Added option to choose a specific tab when sending a strategy from the sheet to the Sprd/Bfly monitor using the “to sprd/bfly” function. Also in TIPS
TBill: In “Preferences”, added option to autoload WI + Reissued Bills in the sheet, which traders now have the option to exclude from the “Graph” sub-menu
Forward Swap Matrix: Allow traders to set alerts on the “dsprd/stdev”