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Bond Roll Enhancement | Weekly Release 11/29/19

Added a Cost of Carry & Bond Borrow tool for traders to compare the Fwd Repo and Breakeven Repo for a given forward date, and estimate the Net P&L (Cost of Carry P&L)

Traders can right-click from any of the cells to access the Cost of Carry & Bond Borrow function.

In the Cost of Carry section, traders can mark the “Fwd Repo”, and compare to the Breakeven Repo (“B/E Repo”) which is the repo rate that sets the Cost of Carry = 0. The “Sprd Repo” is the bps spread between the Fwd Repo and B/E Repo.

In the table above, using T 2.750 15-Sep-2021 as an example, see the Cost of Carry section using a Forward Date of 3-months (3/2/2020), along with the Net P&L (Cost of Carry P&L) assuming a Fwd Repo using GC =1.658 and special = 1.600.

In the Bond Borrow section, “Sprd Repo” = 0 by default. Mark the “Sprd Repo”, which is the Sprd that gets added to the B/E Repo to calculate the Fwd Repo rate for the defined forward date.

Key definitions below:


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