Key Features in this Release:
Reintroduced the real-time intraday charts for yield (or yield spread), asset swap, invoice spread, price spread, and 2+ RVS
[EUR] Enhanced Seasonality tool by adding Tap Reopening Supply auctions as Eco Events for all eurozone countries where available
Added historical data for “3M Cnvx adj C+R” and added a “3M Cnvx Return” column
Added the ability to create spread, butterfly, and multi-graphs in the “Fwd BEI/RYld Matrix” in the Analysis window
Enhanced the lower panel graph such that inflation traders can visualize spot and fwd performance side-by-side for both seasonally adjusted breakeven inflation, as well as seasonally adjusted real-yield
Enhanced Key Rate Risk (Cashflow) calculation by supporting USD 3-month TBill and allowing for swap rates to be set as fitting points
Added support for MXN in the Historical VaR simulation [also in Swap Box]
Enhanced Swap-CMT and CPI matrices by adding “Plot Tail Gap” and “Plot Fwd Gap” functions
Enhanced lower IMM matrices by adding Fwd IMM, Hist_Fwd IMM, and dFwd IMM
[AUD] Added 4Y, 15Y, 20Y expiry points and 20Y, 25Y, and 30Y tail points
Added FEDL01, SOFR, EONIA, SONIA rates, and GC Repo for USD and EUR
Added actual repo rate for bond futures
Enhanced support for EUR OTR bond list by adding all OTRs that are supported in EUR Sprd/Bfly
Minor Fixes & Enhancements:
Historical Viewer: Renamed “GCFRTSY” to “DTCC GCF Repo” and moved to Broad Market – STIR Indices section
Trade Blotter: Renamed “Upload to Server” to “Export URL” and the “Upload” button to “Export”
Future CTD:
Honor the same bond header format setting used in the corresponding CCY Bond Roll sheet
Added tooltips to Scenario and HBasis columns and when hovering over a cell to see value in basis points
Corp Bond RV: Set default pricing model as “Normal”
USD Bond: Added dOIS column to show daily change in OIS rate