Yield Book: Release Highlights November 2022
/f/s/pdf/highlights/highlights_202211.pdf
YIELD BOOK:
Add 11 SOFR Swaps,
Add Auction Rate Muni keywords.
YIELD BOOK ADD-IN:
Display Live TBA Ask Price,
Add MaxServicerPercent for CMO.
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Release HighlightsThu, 22 Nov 2022 12:00:00 GMTYield Book: Release Highlights September 2022
/f/s/pdf/highlights/highlights_202209.pdf
YIELD BOOK:
Added RFR curve for Turkey
Improved methodology for estimating CMO quartile data
SOFR1C now displayed in 200 OAS paths
YIELD BOOK ADD-IN:
Immediate Forward Shifts added to Scenario Analysis
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Release HighlightsThu, 22 Sep 2022 12:00:00 GMTYield Book: Release Highlights August 2022
/f/s/pdf/highlights/highlights_202208.pdf
YIELD BOOK:
Fit Real Yield Beta for ARG linkers
Added Price Change method in ROR for CFLOAT
Allow Weekly Pay Frequency for MUNIFLT
YIELD BOOK Calculator:
Search by SICC is now enabled
Search by RIC is now enabled
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Release HighlightsThu, 18 Aug 2022 12:00:00 GMTYield Book: Release Highlights July 2022
/f/s/pdf/highlights/highlights_20220720.pdf
YIELD BOOK:
Added TERM SOFR for Swaps and Floaters
Increase the MAX hist from 240 to 480 months in prepay model
YIELD BOOK ADD-IN:
4pm snapshot toggle for USD/CAD TsyModel
Additional OAS Paths for LIBOR and CC 1yr/3yr/5yr, and new OAS weighted keywords
Added AnnualHPA and CumulativeHPA keywords
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Release HighlightsWed, 20 Jul 2022 12:00:00 GMTYield Book: Release Highlights June 2022
/f/s/pdf/highlights/highlights_202206.pdf
YIELD BOOK:
Ignore Model HPA/Unemployment dial
Real curve for AUD, COP, EUR and GRP currencies
BAR1 Index added
YIELD BOOK ADD-IN:
Ignore Model HPA/Unemployment dial
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Release HighlightsThursday, 16 Jun 2022 12:00:00 GMTYield Book: Release Highlights May 2022
/f/s/pdf/highlights/highlights_202205.pdf
YIELD BOOK:
Added CPP prepayment type in Batch
Added RFR option in Return Attribution
YIELD BOOK ADD-IN:
Added make whole flag in indicative data
Added live curve snapshot function
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Release HighlightsFri, 20 May 2022 12:00:00 GMTYield Book: Release Highlights March 2022
/f/s/pdf/highlights/highlights_202203.pdf
YIELD BOOK:
Multi-family Prepayment Enhancements
Add ability to price using spread to RFR curve for CMOs, pools, and ARMs
Add keywords for spread to RFR curve for CMOs, pools, and ARMs
Added real yield beta functionality for DKK linkers
US 20YR bond futures added
Enable keywords "SNPIMPLPD1YR" and "MOODYSIMPLPD1YR" to YB clients
Enhance TE analytics coverage: enable TE calculation of NOK agency bonds
Add additional delinquency resolution disclosures for Pools
YIELD BOOK ADD-IN:
Add CPP prepayment type support for DUS pool
US 20YR bond futures added
Added "LowToModerateIncomeArea" percentage for Pools
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Release HighlightsWed, 16 Mar 2022 12:00:00 GMTYield Book: Release Highlights February 2022
/f/s/pdf/highlights/highlights_202202.pdf
YIELD BOOK:
RFR and OIS curves enabled in Scenario Analysis
Freddie Mac Multi Family Pools available
Qatar Government yield curve added
Made daily reset available for muni floaters
Zero volatility spreads to treasury and swap curve to call for CRT deals implemented
YIELD BOOK ADD-IN:
Add "Static Spread Pct Change" horizon pricing method
Updated prepayment servicers list (LCA)
Add PercentHAMPMod and PercentRegularMod for Modify Collateral
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Release HighlightsWed, 16 Feb 2022 12:00:00 GMTYield Book: Release Highlights January 2022
/f/s/pdf/highlights/highlights_202201.pdf
YIELD BOOK:
SARON and CORRA Floaters
Yield to Sink for Munis
RFR Pricing available for CMBS
Spread Duration for ETF Analytics
Additional Modification Types using
Mod Coll: HAMP and Regular
YIELD BOOK ADD-IN:
SARON and CORRA Floaters
RFR Pricing available for CMBS
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Release HighlightsTue, 25 Jan 2022 12:00:00 GMTYield Book: Release Highlights November 2021
/f/s/pdf/highlights/highlights_202111.pdf
YIELD BOOK:
New WGBI Sector File FRWGBI (Added China and Israel)
Added additional RFR curves
Turn on RFR discounting for Inflation Linked Bonds
New YB Classic Keywords: SAMODDUR, SADURWORST, SADV01, SADV01WRST
Additional fields in Modify Coll
Partial Index Duration Toggle
YIELD BOOK ADD-IN:
Updated WGBI Sector File (Added China and Israel)
New indices to historical data
Prepayment Model Sellers in YBINDIC
Added Annual and Upfront MIP fields for GNMA collateral (LCA)
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Release HighlightsWed, 01 Dec 2021 12:00:00 GMTYield Book: Release Highlights October 2021
/f/s/pdf/highlights/highlights_202110.pdf
YIELD BOOK:
New batch option (for CORPDEFSETTING batch command) to use bond price as bond recovery value if bond is in default
BSBY (both O/N and term) rates are added into Finance section of the Historical Data page
Project Loan and DUS Cashflow improvements
YIELD BOOK ADD-IN:
Collateral Scheduled and Prepaid cash flow in deal cash flow Tab (Structuring Tool)
SATO (spread at origination) in LCA repline computation
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Release HighlightsWed, 03 Nov 2021 12:00:00 GMTYield Book: Release Highlights September 2021
/f/s/pdf/highlights/highlights_202109.pdf
YIELD BOOK:
Live Curve Snapshots
ESG Keywords available in Yield Book Classic
Callable SOFR Structured Notes and Swaps Functionality added
US and Canadian 4 PM Curves
HomeReady/Home Possible % for pools
YIELD BOOK ADD-IN:
Historical Note Rate
Created additional keywords to expose more granular data points
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Release HighlightsMonday, 18 Sep 2021 12:00:00 GMTYield Book: Release Highlights August 2021
/f/s/pdf/highlights/highlights_202108.pdf
YIELD BOOK:
Added 3 SORA Term Rates (SORA1C, SORA3C, and SORA6C) (also available in Add-In)
Added 5YR AUD Futures (also available in Add-In)
YIELD BOOK ADD-IN:
Enhanced connectivity between the LCA to the Yield Book agency models to compute projections, price, and more
Created additional keywords to expose more granular data points
Calculate and expose Ginnie CollateralNetCoupon by proxying serv fee
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Release HighlightsWednesday, 18 Aug 2021 12:00:00 GMTYield Book: Release Highlights July 2021
/f/s/pdf/highlights/highlights_202107.pdf
YIELD BOOK:
Enhancement of book analytics to include principal paydown amortization calculation.
Default settle of agency strips switches to T+3 instead of "mortgage strip settle".
YIELD BOOK ADD-IN:
Add INCLUDE/EXCLUDE feature (LCA).
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Release HighlightsTuesday, 03 Aug 2021 12:00:00 GMTYield Book: Release Highlights May and June 2021
/f/s/pdf/highlights/highlights_202106.pdf
YIELD BOOK:
Adding Deliquency data for DUS.
Changing the default JPY vol model from 2f to LMM.
YIELD BOOK ADD-IN:
Now able to specify user SOFR and user LIBOR swap curves at the same time.
Make Corporate ESG timeseries available in Add-In and API.
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Release HighlightsTuesday, 15 Jun 2021 12:00:00 GMTYield Book: Release Highlights 18 April 2021
/f/s/pdf/highlights/highlights_202104.pdf
YIELD BOOK:
Analytics enhancement for short-term WGBI bills – align day count types and discounting methods of 20 countries with the official conventions.
YIELD BOOK ADD-IN:
Add mortgage servicer description and refresh servicer list in Modify Collateral function.
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Release HighlightsThurs, 30 May 2021 12:00:00 GMTYield Book: Release Highlights 15 March 2021
/f/s/pdf/highlights/highlights_202103.pdf
YIELD BOOK:
Removed Servicers that are not used in the Prepayment Model
YIELD BOOK ADD-IN:
Support additional forbearance inputs in Loss Scenario
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Release HighlightsThurs, 08 Apr 2021 12:00:00 GMTYield Book: Release Highlights 24 January 2021
/f/s/pdf/highlights/highlights_202101.pdf
YIELD BOOK:
Separate SOFR/RFR Curve Scenarios Setup for CMOs and Mortgages
YIELD BOOK ADD-IN:
Populate Loan Age and WAM for CMBS in Indicative Function
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Release HighlightsFri, 05 Feb 2021 12:00:00 GMTYield Book: Release Highlights 23 November 2020
/f/s/pdf/highlights/highlights_202011.pdf
YIELD BOOK:
Enable Swaption Normal Skews
YIELD BOOK ADD-IN:
New Forbearance Keywords are Available
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Release HighlightsMon, 23 Nov 2020 12:00:00 GMTYield Book: Release Highlights 24 September 2020
/f/s/pdf/highlights/highlights_202009.pdf
YIELD BOOK:
Allow Negative Swap Curve Becomes Default
YIELD BOOK ADD-IN:
Negative Swap Curve Becomes Default
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Release HighlightsThurs, 24 Sep 2020 12:00:00 GMTYield Book: Release Highlights 21 August 2020
/f/s/pdf/highlights/highlights_202008.pdf
YIELD BOOK:
SOFR Curved Added to CURVEREPORT Batch Command
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Release HighlightsFriday, 21 Aug 2020 12:00:00 GMTYield Book: Release Highlights 30 July 2020
/f/s/pdf/highlights/highlights_202007.pdf
YIELD BOOK:
SOFR ARMs Supported by Yield Book
YIELD BOOK ADD-IN:
SOFR Discount Curve in Add-In
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Release HighlightsThursday, 30 Jul 2020 12:00:00 GMTYield Book: Release Highlights 22 June 2020
/f/s/pdf/highlights/highlights_202006.pdf
YIELD BOOK:
SOFR and RFR Discounting is Available
YIELD BOOK ADD-IN:
SOFR and RFR Discounting is Available
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Release HighlightsMon, 22 Jun 2020 12:00:00 GMTYield Book: Release Highlights 21 May 2020
/f/s/pdf/highlights/highlights_202005.pdf
YIELD BOOK:
Enhanced SOFR FRN Pricer
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Release HighlightsThurs, 21 May 2020 12:00:00 GMTYield Book: Release Highlights 30 April 2020
/f/s/pdf/highlights/highlights_202004.pdf
YIELD BOOK:
€STR Curve Released
Enhanced Interest Rate Swap Pricer Released
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Release HighlightsThurs, 30 Apr 2020 12:00:00 GMTYield Book: Release Highlights 26 March 2020
/f/s/pdf/highlights/highlights_202003.pdf
YIELD BOOK:
SOFR Curve Released
SOFR Overnight Rate Available in Historic Data
YIELD BOOK ADD-IN:
SOFR Curve Released
SOFR Overnight Rate Available in Historic Data
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Release HighlightsThurs, 26 Mar 2020 12:00:00 GMTYield Book: Release Highlights 02 February 2020
/f/s/pdf/highlights/highlights_202002.pdf
Yield Book:
YIELD BOOK ADD-IN:
Property Valuation Method Keywords Added List
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Release HighlightsSun, 02 Feb 2020 12:00:00 GMTYield Book: Release Highlights 17 November 19
/f/s/pdf/highlights/highlights_201911.pdf
YIELD BOOK:
Partial Duration Wave Method Available for Callable Bonds
YIELD BOOK ADD-IN:
Added Issuer Ratings for Moody, S&P, and Fitch
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Release HighlightsThurs, 27 Nov 2019 12:00:00 GMTYield Book: Release Highlights 29 August 19
/f/s/pdf/highlights/highlights_201908.pdf
YIELD BOOK ADD-IN:
Option Added to Ignore Repo Rate Shock in Futures Partial Duration Calculations
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Release HighlightsThurs, 29 Aug 2019 12:00:00 GMTYield Book: Release Highlights 27 June 19
/f/s/pdf/highlights/highlights_201906.pdf
YIELD BOOK:
LLM Model Available for Canadian Mortgages
YIELD BOOK ADD-IN:
LLM Model Available for Canadian Mortgages
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Release HighlightsThurs, 27 Jun 2019 12:00:00 GMTYield Book: Release Highlights 30 May 19
/f/s/pdf/highlights/highlights_201905.pdf
YIELD BOOK:
ECurveSpread Added for Floaters and Inverse Floaters
YIELD BOOK ADD-IN:
Added Cumulative Wave Method for CMOs and Mortgages
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Release HighlightsThurs, 30 May 2019 12:00:00 GMTYield Book: Release Highlights 25 April 19
/f/s/pdf/highlights/highlights_201904.pdf
YIELD BOOK:
New Partial Duration Method Released for CMOs and Mortgages
YIELD BOOK ADD-IN:
Partial Index Spread Duration Calculations Now Available
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Release HighlightsThurs, 25 Apr 2019 12:00:00 GMTYield Book: Release Highlights 14 March 19
/f/s/pdf/highlights/highlights_201903.pdf
YIELD BOOK:
CPY Prepay Type Added in Batch
YIELD BOOK ADD-IN:
Added GNMA FNMA Spread Durations and GNMA 30 YR (CMM102) Rates in Historical Data
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Release HighlightsThurs, 14 Mar 2019 12:00:00 GMTYield Book: Release Highlights 21 February 19
/f/s/pdf/highlights/highlights_201902.pdf
YIELD BOOK:
ACES, GeMs, and DUS Megas Now Default to CMO Version
YIELD BOOK ADD-IN:
Normal Volatility Now Used As The Default Shock in Vega Calculations
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Release HighlightsThurs, 21 Feb 2019 12:00:00 GMTYield Book: Release Highlights 17 January 19
/f/s/pdf/highlights/highlights_201901.pdf
YIELD BOOK:
Users Can Now Shock Basis Spreads in Pricing Setup
YIELD BOOK ADD-IN:
Introduced Historical Data Table Writer Functionality for Portfolios
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Release HighlightsThurs, 17 Jan 2019 12:00:00 GMTYield Book: Release Highlights 21 November 18
/f/s/pdf/highlights/highlights_201811.pdf
YIELD BOOK:
Introduced New Horizon VPR and CDR Keywords for Scenario ROR
YIELD BOOK ADD-IN:
Modified Duration Keyword Added to Historical Data Function
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Release HighlightsWed, 21 Nov 2018 12:00:00 GMTYield Book: Release Highlights 18 October 18
/f/s/pdf/highlights/highlights_201810.pdf
YIELD BOOK:
V21.4 is now the Default Prepay Model
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Release HighlightsThurs, 18 Oct 2018 12:00:00 GMTYield Book: Release Highlights 20 September 18
/f/s/pdf/highlights/highlights_201809.pdf
YIELD BOOK:
New prepay model (V21.4) is now available in the new model slot
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Release HighlightsThurs, 20 Sep 2018 12:00:00 GMT