Bond Roll Enhancement | Weekly Release 5/13/22

Enhancement #1

Added ability to include/exclude specific future rows

Traders can click “Preferences” & in the dropdown select “Filter Future Rows”. The “Future Chooser” pop up box will appear. Here, traders can check which futures rows to be shown in in the sheet. After making selections, click “Apply”.

Enhancement #2

[EUR] Reassigned bonds’ “Orig”. This will be used to calculate “ESprd Z 3M Roll” column.

Reassigned European bonds to the following original issue list:

3m, 6m, 12m, 2y, 3y, 5y, 7y, 10y, 15y, 20y, 30y, 50y, 70y, 100y

The “ESprd Z 3M Roll” column will now calculate the rolldown by matching the 3-month shorter maturity bond in the same series. If no exact match is present, will match with a 6-month shorter maturity in the same series and interpolation will be used.

For example, in the screenshot below, the “ESprd Z 3M R” of DBR 2.0 15-Aug-2023 of 11. 8 is calculated as follows:

DBR 2.0 15-Aug-2023 “ESprd Z” = 34.3

DBR 1.5 15-May-2023 “ESprd Z” = 22.5 (3m shorter maturity same original issue series)

34.3 – 22.5 = 11.8

Note: If “ESprd Z 3M R” cell is white, a 3-month shorter maturity bond in the same original issues series was found & used to calculate rolldown. If it is yellow, interpolation was used.