Bond Roll Enhancements | Weekly Release 1/8/21

Enhancement #1

[EUR/GBP] Renamed "OISprd YY/Z" to "EONIA/SONIA Sprd YY/Z", which applies to the level, change on day, heatmap, and z-score columns

The OIS columns in the EUR and GBP Bond sheets have been updated to show EONIA and SONIA respectively. This will better represent the column. Note: There are columns that still show “OIS”, which are also calculated using the respective EONIA/SONIA curves.

Enhancement #2

Added new columns to estimate rolldown which include: “OISprd Z 3M R”, and “SOFR/ESTR Sprd Z 3M R” for USD/EUR Bond sheets

Traders can add the OIS Z 3M rolldown column using the Table – Manage Columns menu.

OISprd Z 3M R: OISprd Z-spread rolldown to the matched bond

Enhancement #3

[EUR] In RV Analysis, added flag to see strategies using the same country

Traders who like to leverage the RV Analysis to find strategies can now have it create strategies with bonds in the same country and avoid mixed country strategies. Traders can run the analysis over several countries and see the top strategies from the selected countries in one analysis.