Key Features in this Release:
Added SPX options for macro traders interested in equity/vol exposure. Traders can monitor and analyze opportunities in the newly added Option Monitor sheet
Added support for USD SSA FRN bonds
Added support for comparison between MM Bond’s SOFR ASW Z and the Agency FRN’s SOFR ASW Z by adding the "MM Bullet SOSprd Z", "SOSprd Z Diff", "dSOSprd Z Diff", "SOSprd Z Diff Rich-Chp", "SOSprd Z Diff ZS" columns
Added the ability to filter the sheet by Index, such as SOFR
Added the Discount Margin change on day and heatmap, also available in the USD FRN and the IT FRN CCTS
In the RV Analysis, added the ability to save, load, & reset filters
Added support for “DDMMMYY” format in all date columns, such as “20Mar22”
Added the <double click> historical data popup function to “Corr” column under the Swaption tab also <right click> to see the historical data used for the Correlation
In the Swap tab, added the ability to upload customized cashflows from both fixed and floating legs, including the sample CSV file
Minor Fixes & Enhancements:
Bond Roll –TIPS – T-Bill
For New Position Import, added ability to upload UST, TIPS, & T-BILLS all at once
SSA + Covered: Added Issue Date filter
Sprd/Bfly:
Added “3M OISprd dZ” and “3M ASW dZ” columns which show the change between the live and three months prior to the live date
Added support for “EDX1”
Forward Swap Matrix: Added support for FedFund futures, such as “FF1” and “FFN1”
Forward Forward: Added support up to five legs in a strategy; such as “(2/5/10)/((2x1)/(4x1))
Callable Grid:
Added “X” column to the Customized Callable Bond table to allow traders to select which bond to price, and also added “Pricing Status” column
Added 1BD and 2BD to the “Issue Date” dropdown
USD Agency – CCY SSA: Under the “Comp Sprd”, added the flag to enable generic time series for Treasuries
Market View
[WITII] Added the ability to model CAD WI TIPS bond
[Basis Swap] In BRL Offshore tab, live pricing will be turned on by default. When “useBBGLive” is turned off, close prices will be shown in the “Sprd” column
[Basis Swap] Added the “FWD” sub-tabs to the IMM tabs
Table Management: Added ability to add bolder border to differentiate columns