Bond Roll Enhancements | Weekly Release 1/10/20

Enhancement #1


Added US Treasury Trading Volume

To open the UST trading volume window, click “Analysis” – “Daily Trading Volume”, where traders can see the US Treasury Trading Volume for the past 24 months.

The trading volume is broken down into Bills, FRNs, TIPs, 0-2 yr sector, 2-3 yr sector, 3-5 yr sector, 5-7 yr sector, 7-10 yr sector, 10-30 yr sector, and total volume.

Enhancement #2


Added XCCY ASW YY to analyze the Yield-Yield ASW level of each bond in one currency-adjusted by the XCCY basis swap curve of another currency

Traders can add the new column by clicking Table – Manage Columns, then adding “XCCY ASW YY” to the Displayed Columns section and clicking Save. Now that the column is in view, click Calculation – Calc XCCY ASW. In the pop-up window choose the preferred currency and index, then click Calculate.

This is calculated as:

XCCY ASW YY = ASW YY – matched maturity XCCY breakeven rate (on the same currency)

The following example uses the USD 1.625 11/30/2026 bond with GBP LIBOR 3M as the XCCY asset swap currency and index.

To verify the calculation, create a cross-currency basis swap in the Trade Blotter sheet. Set the XCCY ASW currency and index as “Receive” and the local currency and index as “Pay”. Then double click in the “B/E Sprd” column (in this case directly on 6.06). In the pop-up window click the “Solver” button. Select “Pay” as the Solve For option and click the “Solve” button to get the XCCY BreakEven rate.

XCCY ASW YY = ASW YY – matched maturity XCCY BreakEven rate

12.62 = 6.57 – (-6.05)

Enhancement #3


Gap Analysis: Added “Total Return” = Expected return + Gap Return

The “return” on a spread or butterfly strategy in Gap Analysis has now been broken down into three components: Expected Return, Gap Return, and Total Return.

Expected Return remains the same as in previous versions, the difference of the current level and the 3-month historical mean. Gap Return replaces the previous Return column and is the curve gap spread (dependent on whether the strategy is a spread or butterfly and if it’s a long or short strategy). Total Return is the Expected Return + Gap Return.

The example below uses the long spread strategy 1.875 722/1.5 123

Expected Return = Current Level – 3-month Historical Mean1.70 = 1.29 – (-0.411)

Gap Return = Curve Gap of long leg – Curve Gap of short leg

1.56 = 0.811 – (-0.742)

Total Return = Gap Return + Expected Return

3.26 = 1.56 + 1.70

Enhancement #4


Curve Analysis: Added option to let traders configure the Diff when plotting any combination of two series

Previously, traders could only view the default difference line between the curves, which was the spread that resulted in the most positive values. Now traders have the option to flip the equation order and choose which curve to subtract from the other.

To do this, in the Curve Analysis window select 2 original issue years for single country Bond sheets or 2 countries for EUR Bond. Then click “Config” and check “Show Diff” and “Flip Diff” to switch the spread order.

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