Key Features in this Release:
Added hedge columns for SOFR YY, OIS YY, and ASW YY to calculate the swap hedge ratio using Matched Maturity Swap structure
Added “Blotter Manager” function to allow traders to summarize all line items across all tabs
Adjusted the default weight to be -1/2/-1 (consistent with Fwd swap matrix)
Added rolldown (K) column which is calculated by multiplying the rolldown bps * swap dv01
Enable traders to configure the rolldown period. Previously, we defaulted to roll to expiry/spot
Updated weight column which increases cross-sheet usability between the Conditional Curve Monitor and the Conditional Trade Sheet by making it easier to send strategies over
Enhanced weighting column and options by adding a “Notional Neutral Weighted” method
Added an “IVSP SOFR YY” column
Minor Fixes & Enhancements:
Market View - Repo:
Renamed “Display Percentage” to “Display Absolute Level”
Added sort function to sort by maturity and country in special repo
CCY TIPS: Added historical data for RYld and Carry Adj RYld for non-USD currencies (also available in Sprd/Bfly)
Historical Viewer: Added USD 20y bond as option under Bond - OTR
AUD Bond: Fixed the labeling for 6s ASW Z in the graph dropdown