Bond Roll - CCY SSA Enhancements | Weekly Release 6/4/21


Enhancement#1:

[EUR] Enhanced exporting “Comp Sprd” strategies to Swap Box sheet so RiskVal sends four legged strategies instead of only two


To select two bonds in the “Comp Sprd” column, hold the <Ctrl> key and select the desired bonds. <Right click> and choose “Sprd Graph” to generate a spread graph for these bonds. In bottom right of the spread graph window, traders can then click “To SwapBox” to send all four legs of the strategy to the Swap Box sheet. The strategy can also be sent to the Sprd/Bfly sheet by clicking “To Sprd/Bfly”.

Note: After selecting the bonds in the “Comp Sprd” columns, traders can <right click> and send all four legs of the strategy directly to Swap Box or Sprd/bfly without generating a spread graph first by choosing “To Swap Box” or “To Sprd/Bfly” from the dropdown menu.



Enhancement#2:

Added option to hide bonds that are maturing in the upcoming months


In Bond and SSA + Covered sheets, traders can filter the sheet to exclude bonds that are maturing within one month, two months, or three months. To do this, click “Preferences” – “Skip Bonds Maturing” and select “None”, “1M”, “2M”, “3M”. The sheet will automatically be filtered based on the selection. For example, if traders select “3M” all bonds maturing within the next three months will be filtered out from the sheet.



Enhancement#3:

Added option to skip calculating the Carry and Roll for bonds maturing in the upcoming months


In Bond and SSA + Covered Sheets, traders can now skip calculating the Carry & Roll for bonds maturing within the next three months, four months, five months, or six months. To do this, click “Preferences” – “Skip C/R Maturing” and select “3M”, “4M”, “5M”, or “6M”. The sheet will automatically be filtered based on the selection. For example, if traders select “3M” the Carry & Roll for all bonds maturing within the next three months will not be calculated.