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Bond Roll Enhancement | Weekly Release 11/11/22

Added columns to allow traders to enter spread to GC repo for the 3M Repo used for carry, “3M GC Repo” & “3M GC Repo Sprd” columns

Traders can now add “3M GC Repo” & “3M GC Repo Sprd” columns from “Table” – “Manage Columns”.

Traders can edit the “3M GC Repo Sprd” columns to make changes in “3M Repo”.

Additionally, traders can edit the Spread values through “Market View” – “Repo”.

The repo values correspond to the “Carry and Roll” terms, which can be changed by <right-click> “3M Repo” or “3M GC Repo” columns. Selecting “Carry and Roll”, then the Repo term (1M/2M/3M). The bonds will be added to the “Market View” – “Repo” tab and the spreads synchronized.

Notes to keep in mind regarding Repo:

1--To keep the entered repo, remember to click on the “Save Repo” button under the “Market View” – “Repo” tab.

2--When entering the GC Repo spread, then changing the Repo term, the “GC Repo Sprd” will keep the spread originally entered, however the repo applied may be interpolated and not the spread shown.


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