Bond Roll Enhancements | Weekly Release 11/19/21

Enhancement #1


Added Cusip search function


For traders who would search for a bond using the Cusip, ISIN, or part of the identifier, can leverage the newly added search function at the top of the sheet. Simply enter the part of the ISIN in the “Like” box, press <enter>, and the bonds matching that code will be shown.

Enhancement #2


Added OISprd T set of columns (SSprd T for USD, ESprd T for EUR)


Traders can take a look at the Par/Par asset swap spread to the OIS/SOFR/ESTR curves, the OISprd T, SSprd T, and the ESprd T set of columns have been added.

Note: These columns can be added from the “Table” – “Manage Columns” Menu

Enhancement #3


[AUD] Added ability to use bond future for BM-CT on default


Traders can now choose to use the futures as the benchmarks to price the bonds by setting the spread between the bond and future. This will allow the trader to price the bond off the future.


To set the futures as the benchmarks, click on “Preferences” – “Use Bond Future for BM-CT”.

Check on “Save User Input CT Spread” to keep the overwritten benchmarks.


Take the 2.75 N29 bond, in the screenshot below, has the “XM1” bond future as the benchmark. The set spread is -10. Which sets the yield of the bond -10 basis points to the XMZ1future, 1.792 + (-.10) = 1.692, as the yield of the bond.