Key Features in this Release:
Allow traders to organize the sheet into tabs by ticker: FNMA, FHLB, FHLMC
Enable traders to send strategies directly to the USD Sprd/Bfly, which now supports Agency bonds
Added columns or 3M Repo, along with the complete set of RV columns (current level, daily change, rich/cheap heatmap, and z-score) for both Comparable Sprd and OISprd YY
Added Convexity Adjusted Carry + Rolldown
Enable sending of single outright trades from Bond Roll to the Sprd/Bfly
Enhanced the lower ‘Fwd’ and ‘IMM’ panels to allow traders to create spread, butterfly, and multiple graphs. From graph, traders can send basis &xccy basis swaps to the Fwd Swap Matrix. Additionally, updated the graphs to show the series name and title
Support BRL offshore in the [custom] basis swap monitors
With the current low rate environment, addedFN30 2.0%, FHL30 2.5%, FHL 3.0%, GN30 2.5%, GN30 3.0%, FN15 2.0%, FHL15 2.0% and FHL15 2.5%
Revamped window to include lower panel table and charts to increase readability and add more functionality
Merged USD SSA + Covered and EUR SSA + Covered sheets
Minor Fixes & Enhancements:
USD Trsy 2+ RVS:
Added field next to ‘closing date’ to indicate which date user selected from the dropdown
Added flag to Hide/Show CT20
S, SP, and S+SP: Enable trader to right-click in the ‘Fwd Repo’ column and set global repo for all tickers
Bond Roll & FRN: Replaced Set Alerts with the same layout and configuration settings under “Tools”. The alerting management is now consistent with Sprd/Bfly and Forward Swap Matrix
Trade Blotter: Added configuration to calculate Ted Hedge based on actual payment date with or without true ted spread. Before, we only calculated Ted Hedge based on unadjusted cash flow payment date
EUR TIPS: Enhanced the Floor Premium calculate for domestic Italian inflation bonds against ITCPIUNR, to have floor protection on all principal used to calculate the coupon payment, in addition to the final payment
Historical Viewer: Added Bond-CMT time series for all Eurozone country curves
Previous week's release - Fwd Swap Matrix & Sprd/Bfly and Alert Monitor enhancements