Key Features in this Release:
Added a second set of CT Sprd & Implied Lock Px columns for traders to compare the swap box to a secondary CT
Added a Central Bank holding column (in Billions)
Introduced an NOK Bond sheet, where traders can monitor Norwegian bonds and leverage the full suite of relative value measures
Added CAD OIS vs USD FF derived basis, which combines the impact of the outright FX Curve between USD and CAD
Added 2Y, 5Y, 10Y, 30Y tabs for more focused EGB spread analysis
Created short-code for system generated WIs such as WIT3 and WIT10
Added historical on standard deviation based on whole level & daily changes
Minor Fixes & Enhancements:
Trade Blotter: For Swaption trade types, added a new column called “$Delta Blended” to show the custom delta as 50% $SABR Delta + 50% $Normal Delta
Historical Viewer
For Bond Futures (including Generic), added OIS time series to show the OIS rate to the corresponding contract’s delivery date
Added IRR vs OIS time series for issue specific bond future contracts
Bond Roll
[USD] Added history on T-Bill Money Market Yld “TB MMY” column
Added “WTD” as an option in the Diff and Hist dropdown graph options
Enhanced Gap Analysis chart to show the bond description to clarify which ticker is plotted when there are multiple bonds of similar maturity
TIPS: [EUR] Added columns for season adjusted IOTA and IOTA based on one day change, five day and monthly changes