Enhancement #1
Added support for CMT rates derived from the Italian CMT curve inclusive of all BTPS bonds
Traders can now enter CMT rates derived from the IT All CMT curve that creates curve based on all Italian bonds without dividing between high and low coupon.
Traders can use the format CMTITALL# following the same formatting for the existing IT CMT High and Low curves. Additionally, traders can enter CMT rates from both the All and Hi/Low curves regardless of the one set as the default in CMT Curve Preferences.
Enhancement #2
Enhanced the seasonality tool for USD inflation traders to analyze strategy performance using TIPS auction dates as an anchor point with the option to include reopenings
The Seasonality tool in Sprd/Bfly sheets has been enhanced to allow traders to set TIPs auction dates as the Eco Calendar Event anchor. To set TIPs auctions as the anchor follow the existing workflow for setting a regular treasury auction date as the anchor, then in the drop-down menu select “CCY TIPs Auctions” and in the following drop-down menu select which TIP auction to set. The example below shows US 5 yr vs 10 yr TIP spread strategy with seasonal analysis against the US 10 yr TIP auction for the past one year.
Enhancement #3
Improved STIR analysis with added support for G7 FRA strategies
Traders can now enter strategies or individual spot and forward started FRA swaps in the Sprd/Bfly window just as they can be entered in Forward Swap Matrix. Support for cross-currency FRA swaps has also been added, such that traders can enter any country’s FRA swap strategy in any other country’s Sprd/Bfly window. The example below shows the USD FRA0x3 and FRA1x4 strategies in both the USD Sprd/Bfly window and the EUR Sprd/Bfly window.
