Key Features in this Release:
Added a tab to show all enabled alerts across all initialized sheets and tabs, with the ability to edit, delete, and mute alerts in one place
Added support for CMS strategies (format CMS# or CMS#X#); lower CMS matrix has the live and historical data
Enhanced the process of sending XCCY spread strategy to the Trade Blotter, such that RiskVal takes the FX rate into consideration, and hedges on either DV01 USD or PV01 USD
Added Carry, Rolldown and Carry+ Rolldown columns for IVSP YY, IVSPO YY, and IVSP SOFR/ESTR YY
Added option to plot multiple standard deviations on the same historical graph, also available in the Fwd Swap Matrix
Support PCA weight for spread and butterfly strategies containing issue specific bonds, previously only calculated for generics
Changed “SOFR vs USD3s” to use the actual market data
Added the ability to bold selected columns
Minor Fixes & Enhancements:
User Experience: “Market View” – “Curves” – “Libor”, when traders turn on "Auto build", RiskVal automatically forces a "New Build"
Market View:
[WI] Added support for Slovakia UWI Bonds
[WITII] Added “Show All” check-box to the benchmark dropdown to allow traders to select off-the-run bonds
Sprd/Bfly:
[SEK] Added support for “TII5” and “TII10” for generic SEK TIPS
Added historical data for non-conventional fwds/tenor swaps for s1.25x1, s1.5x1, s2.25x1, s2.5x1 and also added short term forwards 1.25, 1.5, 1.75, 2.25, 2.5
Allow traders to search an Agency bond by maturity year or maturity date, similar to treasuries
The real time chart is now available for OISprd Z
CCY TIPS:
Added “3M BEI C”, “3M BEI R”, and “3M BEI C+R” columns
Added “3M BEI C+R” historical data; also available in the Sprd/Bfly sheet
CCY Bond:
“BM CT” column will use closer maturity CT as benchmark; for example, bond between CT5 and CT10 in the GBP Bond sheet, it may use either CT5 or CT10 as BM depending on maturity. This applies to all CCY with the exception to USD
Added an option for the “Hist” dropdown in the lower panel graphs to show as points instead of a connected line
New Global IVSP: Added “IVSP ESTR YY”, “IVSP ESTR dYY”, “CTD ESTR YY”, and “CTD ESTR dYY” columns
Forward Swap Matrix: Added calculation for #M Roll history for all EUR sub countries, like CMTAT#(X#), CMTBE#(X#), CMTFI#(X#); enhancement also available in the Sprd/Bfly sheet
Vol Wedge Grid: Added a table to show Z-score, and historical timeseries
Previous week's release - TIPS, Sprd/Bfly and Future NetBAsis Forecast enhancements