Bond Roll Enhancement | Weekly Release 12/4/20

Enhanced the “0 Sprd” column to handle the “Par Swap”, “SOFR”, “SOFR YY”, “SOFR ASW Z” for USD and “ESTR”, “ESTR YY”, “ESTR ASW Z” for EUR. In addition, traders can create spread graphs from these columns and send them to the “Sprd/Bfly”


Traders can select either Par Swap/SOFR/SOFR YY/SOFR ASW Z as the underlying metric for the 0 Sprd columns and set a bond as the benchmark to see the spreads of the surrounding bonds to the selected benchmark.

In addition, <double clicking> on the 0 sprd cells, the historical graphs will have the option to send the Strategy to the Sprd/Bfly or the Swap Box.


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