Key Features in this Release:
[Emerging Markets] Expanded the Bucket Risk to include the FX Spot and forwards for currency pairs such as USDMXN and USDBRL, as well as added the Emerging Markets Swap Risk
Added the Benchmark CT and the CT spread columns to allow traders to set the benchmarks and the spread to the benchmark for Agency bonds
Enhanced “IVSP YY” column to show the spread of swap spread to the future’s ASW YY Invoice spread
Enhanced the format for entering monthly tenors to use “1M”, “2M”, “3M”, “4M” … “12M”
[EUR] Added support for alias EURIB1, EURIB3, EURIB6, EURIB12 for LIB1M, LIB3M, LIB6M, LIB12M respectively
Added graphing options for “MMY TB-T”, “MMY SOFR” and “CT Sprd” columns
Added a "Flip ASW C+R" flag to control the direction in which the carry and roll is displayed, independently from the "Flip ASW" flag
Minor Fixes & Enhancements:
USD Agency:
Added the "3M C+R”, “SOFR Sprd YY”, and “SOFR Sprd Z”
Added a flag to skip calculating the carry and roll for bonds maturing withing the first 5 months, under “Preferences” – “Skip C/R Maturing in 5M”, also available in the XCCY SSA + covered
Added a flag under “Preferences” – “Skip loading bonds matures in 1M” to exclude bonds that are maturing within 1 month, also available in the XCCY SSA + covered
Forward Swap Matrix:
Added support for MXN28D vs USD1S as “BSMXN28DUSD1S-#(X#)”
Enabled exporting lower panel table from Basis Swap Monitor sheet
Corrected the Carry and Roll calculation for Bonds(B#) when changing the Rolldown period
Added historical data for non -conventional forward swaps for 1.25x1, 1.5x1, 2.25x1, 2.5x1
Swap Monitor: Auto-save has been enabled for the entered strategies
CMT Monitor: Added option to plot multi and spread cross-currency graphs in the lower panel table
System: Renamed "Restore Desktop Popups" to "Restore Floating Windows"
Option Monitor: Adjusted ATM and Vol calculations