Key Features in this Release:
Created a new sheet containing USD Agency Floating Rate Notes and “FFCB”, “FHLB”, “FHLMC”, “FNMA” tickers
Added support for Federal Farm Credit Bank “FFCB” ticker
Added SOFR spread YY/Z set of columns as well as the “OISprd Z Rich Cheap Heatmap” and “OISprd Z ZS” columns, also available in the USD SSA and covered
Added "Pricing Time" and "Pricing Curve" columns to indicate the calculation timestamp and curve used for pricing the bonds
Add support for "SOFR vs BSBY3M" basis
Added support for the SOFR vs BSBY3M basis including IMM basis in the Fwd Swap matrix, as “BSSOFRBSBY3S-#” and “IMMBSSOFRBSBY3S-#” respectively
Bond Roll – CCY SSA – AUD Semi
Under the RV Analysis, added coupon difference filter to allow traders to set the coupon difference between each leg in the top strategies
Added support for USD SSA tab
Added SOFR to “Sprd method” dropdown, to allow traders to mark the SOFR spread
Added the "FPar Rate" column to show Par Swap, OIS or SOFR according to spread method selection
Minor Fixes & Enhancements:
USD SSA + Covered: Added support for “ASW Z Rich Cheap Heatmap” and “ASW Z ZS” Columns
USD SSA + Covered – USD Agcy FRN: Added SOFR, SOFR Sprd YY, and SOFR Sprd Z level, daily change, heatmap, and Z-score set of columns
Market View
Curves: [CAD] Removed 6M and 12M points from the Libor tab, as they stopped trading on May 17th 2021
Basis:In the RV Analysis under the “IMM” tab, system sets curve to be “Basis IMM” on default
Forward Swap Matrix:
Added support for "NV2MX10", "NV4MX10", "NV5MX10", "NV7MX10", etc.
Added support for "DDMMMYY" format such as "15Sep21", "15Aug21", etc. besides current MMDDYYYY format
Added support for SOFRRATE
Sprd/Bfly:
Enhanced Spread and Butterfly generator with “Coupon Diff” filter to allow traders to set a coupon difference in the same strategy
Added support for Copper “HG1”
[USD] Added longer “SA IOTA” history for TII5, TII10 and TII30
Added support for “OIS1X1M” and “GBOIS1x1M”; supported in the Fwd Swap matrix as well
Allow users to view the historical data as either weekly change or daily change for a single time series
Historical Viewer:
Added support for Copper under the "Broad Market - Commodity Futures”
Added preference to configure thickness of User Event lines in the “Events Toggler” menu
Previous week's release - Emerging Markets, Sprd/Bfly, USD Agency and Forward Curve Analysis enhancements