Key Features in this Release:
Brazil On/Offshore: In this week’s release, we have added the BRL On/Offshore basis curve to allow traders to price the off shore by setting a spread to the onshore curve. Traders can then use these spreads to price swaps in the Trade Blotter.
[Seasonality Analysis] Under the “Eco Event” anchor, added a second "+/-" drop-down to set the end of each time series
Added daily and weekly change to the historical graphs with multiple time series
Added the RV Analysis
Added the OISprd Z heatmap and Z-score
Enhanced color management for imported “Positions”, so traders can plot them in the lower panel graph, also available for the Bond Roll, TBill, and TIPs sheets
Added option to plot forward and tail terms with 1-year increment in between
Minor Fixes & Enhancements:
Bond Roll:
Added “Mid Px Yld” column to show the Mid-Price (Yld) between the Bid and Ask Price
[JPY] Added support for AUD, GBP, and CAD under the “XCCY ASW”
TIPS: Added preference to calculate the BEI Carry as TIPS Carry - Treasury Carry, independently from checking/unchecking "BEI = NYld - R Yld *100" box
Market View
WI: change the WI P bond ticker for WIT20 from UWI SP to UWI SPX, if the underlying benchmark is SPX. Traders can find it also under the USD S+SP sheet
WI SSA: Added “WI FASW YY” column to allow traders to back out the “Yld”; also added “Spread Method” column
Forward Swap Matrix: Added "3M C+R", "3M C", "3M R" historical data for swap spread strategies (SS#); also added “3M C+R ZS” and “3M C+R “Rich/Cheap” columns
Sprd/Bfly:
Added “Multi Graph” option to “GB1”, “GB2”, “GB3” and “GB4” columns
Added support for the USD Urban CPI level “CPURNSA”
Swap Monitor: Added option to plot multi cross-currency graphs across the same row
Basis Swap:
Added support for “IMM Basis” under the RV Analysis; also available in the Custom Basis sheet, and under the Market View
Added the SOFR vs BSBY3M curve
Previous week's release - Trade Blotter, Sprd/Bfly, TBill, and User Experience enhancements