Key Features in this Release:
USD Bond & Sprd/Bfly: Support the 20-year bond such that traders can calculate the implied lock px using CT20, leverage the OTR Summary, and enter ‘20’ for the CT20 in the Sprd/Bfly
USD Trsy 2+RVS: Include CT20 as one of the key benchmarks
Market View – WI: create the WI using the CT20 as the benchmark
Future CTD & Future Net Basis Forecast: Analyze the delivery probability of USM0, which now includes the new 20-year
Added Key Risk (cashflow) weighting as an option under the Weight column for butterfly strategies containing a combination of bond and bond future strategies
Added support for EONIA, SONIA, and ccy GC repo rates
Added the ability to create spread, butterfly, and multi-graphs in the lower panel tables
Added support for IMM dated CAD OIS vs USD FF XCCY basis swap
Added support for Brazil offshore basis (as BSOFFSHORE-#)
Added additional columns for asset swap and invoice spread for YY, T, and Z and removed need to set in Global Preferences
Minor Fixes & Enhancements:
USD Bond: Added OTR and SP options to the “Standard Tabs”
CCY Bond: Updated logic for spread graphs such that it will be calculated as Fwd – Spot when selecting a combination of the two time series
Future Calendar Roll:
Added back the Cal Roll for CAD & JPY
Added the ability to hide the lower panel graph from the “Preferences” dropdown
Previous week's release - Sprd/Bfly, Future Calendar Roll, Market View - WI and Forward Swap Matrix enhancements