Key Features in this Release:
Added “CMT Par Yield” which includes the coupon effect to compare with the CMT Model yield to see the coupon effect
Added “To Swap Box Synthetic” option for Original 20Y and 30Y bonds
Allow traders to input “Realized P/L” to be part of their “Total P/L”
Added “Fwd SOFR/ESTR” hedge with the corresponding forward rate
Enhanced the seasonality’s “Eco Events” dropdown to include CAD and GBP Auctions; also added “Include Supply” checkbox for both CAD and GBP Auctions
Traders can create row headers by entering either “--” or “==”, which will automatically highlight the entire row for visual separation
Expanded support to include the applicable basis swaps, such as 1s3s, 3s6s, 1s6s, OIS v 3s
Enhanced the curve analysis by adding the ability to plot ACGB government bonds alongside AUD Semi tickers with the option to filter by the issue size
Added “Series” filter which enables the trader the option to exclude EMTN or MTN bonds
In the historical graphs added “to Swap Box” and “To Sprd/Bfly” buttons
Minor Fixes & Enhancements:
Bond Roll: The pop-out tabs will have a “Table” menu to manage its view
SSA: Traders can optionally pop-up a tab; consistent with USD/EUR Bond Roll
Market View – WI: Allow traders to create UWI bonds for “NZD”
CMT Monitor
Allow traders to plot Multi/Sprd/Bfly graphs across CCY and tenors
Added exporting “To Historical Viewer” function
Trade Blotter: Adjusted the “Delta_N” under the Listed Option table to show the same scale as Hedge Ratio in Swaption table
Forward Swap Matrix:
Expanded the functionality to the lower panes to allow the traders to choose more than two tails or gaps
Allow Traders to enter custom dated CMT
Swap Box:
Added Key Risk support for Swaps
Allow traders to <right click> to set alerts for supported spread measures
Sprd/Bfly: Added support for MAC swaps
Tools - Set Alerts: Added color highlighting to the “high” and “low” selected measures to better distinguish them
Previous week's release - [New] ILS Bond and Sprd/Bfly, Bond Roll, Trade Blotter, CMT Monitor and Custom Basis enhancements