Key Features in this Release:
Enhanced “Graph” dropdown with Carry, Rolldown, and sum of Carry and Rolldown for theASW YY, OIS, OISprd YY, SOFR/ESTR, SOFR/ESTR Sprd YY sets of columns
Added “XCCY 3M C”, “XCCY 3M R”, and “XCCY 3M C+R” columns for XCCY ASW columns
[Seasonality Analysis] Under the “Auction” Eco event, added option to segment the data by the re-openings, excluding the new issuances
Added pre-built product types and examples under the “Help” menu
Enhanced the format for issue specific securities where the maturity of the bond is past 2100 to use the MYYYY format (ie- RAGB 0.850 30-Jun-2120)
Added “3M C”, “3M R” and “3M C+R” columns
For SP and SPX, added two columns to calculate the yield – whole bond yield and the Strip B/E SP yield – whole bond yield
Enhanced how RiskVal estimates the WITII total roll where the rolldown is calculated using the CMT RYld curve
Minor Fixes & Enhancements:
Market View:
[WI] Added “BM FASW YY” column
[WI - EUR] Added support for Slovenia user WI bonds
Sprd/Bfly:
Added “IVSPO YY Chart” column to show real time intraday invoice spread
Added historical data series for Carry, Roll and sum of Carry and Rolldown for IVSP SOFR/ESTR set of columns
Added “3M C”, “3M R”, “3M C+R” historical data series for CMT strategies under the RV Analysis; also added to the CMT Monitor window
Added IT50 and FR25
CCY Bond:
Renamed ASW/OISprd/ESprd/SSprd columns for 3M C, 3M R Crv, and 3M C+R to include "YY" in the column name
[EUR] Added support for “IT50” and “FR25”; also supported in the Sprd/Bfly sheet
Historical Viewer: Added “3M BEI C”, “3M BEI R”, “3M BEI C+R” for TIPS
Trade Blotter: For the EUR Swaptions, enhanced the default “Cash Settle Method" to be "Physical Settle", instead of "Cash Settle"
IT FRN: Added “3M C”, “3M R” and “3M C+R” columns
CMT Monitor: Added historical data in the lower panel table
Vol Spread: Adjusted option premium based on selection made under “Preferences”, and also updated hedge method to be consistent with the Future Option sheet
Swap Box: Added an option to <right-click> on the strategy tab and rename it
Previous week's release - Alert Monitor, Forward Swap Matrix, Sprd/Bfly, Basis Swap and User Exerience enhancements