Key Features in this Release:
Added a function to create generic tabs using the generic future rolls and included a quick refresher on analyzing the calendar roll
Allow traders to create Calendar Rolls with the Future of the previous Active cycle, ie- Z9-H0, when the active cycle is H0-M0
Calculate Strip Roll for SP bonds which traders can utilize for analyze 20-year and 30-year WI bonds
To help traders manage their swap positions easier, we added a function to create the unwind trade to offset the original swap position
Allow FX traders to aggregate their FX Spot/Fwd, FX Option and FX Exotic positions to estimate the Prev Cum P&L given a custom closing date
Added the option to use either Whole Curve CMT or Hi/Lo CMT curves for Italy such that the CMT RVS columns in EUR Bond or Sprd/Bfly will use the selected CMT curve(s)
Price Ratio: added an option to keep the first leg positive or consistent with the weight on the strategy. Also available in the Swap Box
Seasonality: Added USD TIPS Auctions
Exclude Bond Management and updated reload & refresh watchlist function w/ new options
Minor Fixes & Enhancements:
Future CTD Scenario:
Enhanced wildcard EOD option which is calculated using 6-hour window (from 3:00 PM– 9:00PM EST). We were previously using 2.5 hr window
Renamed ‘Quality Option’ as “Switch Option’
IVSP: Added Clearinghouse under the “Preferences” menu for JPY & USD. For JPY, option to use either JSCC or LCH. For USD, option to use either LCH or CME
Callable Grid: Added 9M non-callable term
Market View – WI: [EUR] When user selects CMT Curve as the Roll Method, RiskVal will use that country’s respective CMT curve
Forward Swap Matrix: Added * indicator to show strategies that have alerts
USD Bond:
For traders who model up the 20y WI bond, it can now be displayed in the lower panel graph
Added the “Strip B/E SP ASW Z” column to default STRIP and STRIPRECON views
Curve Analysis: allow trader to plot the SP ASW and SP Yld, without manually calculating in the blotter
Swap Box: Supports Butterfly B/B/F strategy combinations
Sprd/Bfly:
Renamed columns that use standard deviation based on daily change as “Stdev_d” to differentiate from “Stdev” based on absolute level
Added “C/stdev” which is the 3M Carry / Stdev where standard deviation is based on whole level
“Added “TReturn ASW YY” and “EReturn ASW YY” which is the Total Return and Expected Return on the ASW YY levels
Previous week's release - Future Calendar Roll, Forward Swap Matrix, CCY Sprd/Bfly, CCY Bond, FRN and Fwd Fwd enhancements