Key Features in this Release:
Refresher on how to create the WI for the upcoming 30 year on-the-run and its strip
Added the Emerging Markets Swap Risk, similar to the Bucket Risk
Added a Preference to select the default, whether it is on/off shore curve for emerging markets or if NDIRS is applicable
Added the Gross Notional and Net Notional totals for bonds
Added a “Beta Matrix” to show the beta values for various input combinations based on the input selection
Added historical data for the Whole Bond (WB) column and daily change, heatmap, and Z-score for Yld -WB spread
Added the UST 20 year bond series
Added the OIS Sprd YY/Z and the ASW YY/Z as the spread types with historical data
Minor Fixes & Enhancements:
Trade Blotter:
Adjusted the risk exposure of the off-the-shore NDIRS swap to show the exposure to the USDBRL Spot FX and XCCY Basis
Adjusted the pricing of MXN Swaps, by price Alignment Interest is using Fed Funds Overnight Rate adjusted by FX Overnight and tomorrow next rates
Enhanced the swap’s NPV, Unwinding Fee, DV01, etc., to accept “100K” or “10M” input
Market View – Curves – BRL – Libor: Added more OD futures to the curve building
Sprd/Bfly and New Global IVSP: Historical data has been added to Carry, Roll, C+R for IVSP YY and IVSPO YY
Historical viewer: Added historical data for SOFR v FF, SOFR v USD3s, and Fwd SOFR/ESTR
Sprd/Bfly:
Support loading Intraday data for the swap legs
Added the alert on the ASW Z diff column
Forward Swap Matrix: Added carry and roll historical data for nonconventional Forward/Tenors
Bond:
Added the ability to create multiple graphs across a different column on the same row.
Include the future contracts in the Hedge (HG) column
Added the option under the preferences dropdown to skip calculating carry and roll for the bonds maturing within the first 5 months