Key Features in this Release:
In further preparation of the SOFR transition, traders can price SOFR swaps using LCH clearinghouse which will default to use OIS discounting, or CME clearinghouse which will default to use SOFR discounting
Enhanced Future and Listed Option trade types to support the 3-year future contract used for the “Future Equivalent” field
Added the SOFR YY and change on day columns in both the USD Sprd/Bfly and the USD Bond sheets
Added IVSP SOFR YY for the front and back contract, as well as the difference between the two in the Future Calendar Roll window
Added the “IRR OIS” column with the ability to set alerts which can help traders track the spread between the Implied Repo Rate and OIS rate
Added a column to show the Modified Duration (“M Dur”) column
[EUR] Enhanced the Comp Trsy field with the option to apply the country selection across the whole tab
Minor Fixes & Enhancements:
USD Agency: Added support for TAP agency bonds, and readjusted the issue size from 2 billion to 1 billion
EUR Bond & EUR Sprd/Bfly: Added CMT RVS against the Greece CMT for GR government bonds
Forward Swap Matrix:
Support the OIS IMM in the new format as IMMOIS[HMUZ]#x#
Added historical graph to the Residual column
TIPS: Added ASW YY to the Graph dropdown & Curve Analysis
G7 Sprd Table: Added historical data for the ASW P for 10Y TIPS bond