Key Features in this Release:
Added the flag to load EU SSA
Added “ZC SOFR/ESTR/OIS” & “SSprd/ESprd/OISprd ZC YY” columns
Added ability to enter Future CTD in ticker format
Added support for SOFR future convexity
[MTGE] Added “Schedule MTGE Data Refresh” function
Extended “To Realize P&L” functionality to support bonds and swaps
Added support for Greek historical graphs with different timelines (“0D”, “1W”, “2W”, “1M”, “2M”, & “3M”)
Added “Fwd to Spot P&L” column
Added “Custom Beta” column, also available in Sprd/Bfly
Added support for the “Refresh Weight” function, also available in Sprd/Bfly
Added the ability to set a country as the benchmark for spreads, also available in Global Rates Monitor
Bug Fixes & Minor Enhancements:
Forward Swap Matrix:
Extended the CIX to support a combination of future vs cash strategies
Market View:
[BasisSwap] Added FX Curve fitting points for ESTR vs. SOFR, JPYOIS vs SOFR, AUD3s vs SOFR, AUDOIS vs SOFR, CADOIS vs SOFR, & SONIA OIS vs SOFR
[Basis Swap – JPY] Added 15M, 18M, & 21M fitting points for JPYOIS vs SOFR
[Curves] Renamed “Libor” tabs to “IBOR”
Sprd/Bfly:
Added support for 5y FRTR linker for OATi & OATe
[USD] Extended the CIX to support SFCT tickers
USD TBill: “Autoload Reissued Bills” will be checked by default
Fed Fund Simulation: Enhanced the Inferred Future’s tab to populate the manually entered strategies in both Price and Rate tables
USD SSA + Covered: Reorganized the “Tickers” to make it consistent with EUR SSA + Covered
USD Bond 2+ RVS Graph: Added “Schedule Graph Export” functionality