Bond Roll Enhancements | Weekly Release 1/29/21

Enhancement #1


Allow the trader to override the “Yld Stdev_d” using their own vol assumption to recalculate the “3M convexity return” and the “3M convexity adjusted carry and roll” which will also propagate to the Sprd/Bfly


Traders can override the Yld Stdev_d or volatility to recalculate the 3-month convexity return and 3-month convexity adjusted carry and roll. This way, if traders have a different Vol assumption on the strategy, they can see what the 3-month convexity looks like.

Enhancement #2


Added “Actives” tab for USD/EUR/JPY which includes the On-the-Runs, front and back CTDs


Traders can easily create a tab with all the most actively traded treasury bonds including the On-The-Runs, the front, and back Future’s CTDs.

Enhancement #3


Added the ability to allow the user to pop-out sub tabs as a separate floating window


Now that the trader has a separate tab for the Actives, to monitor them, the tab can be popped out to have as a floating window. To pop the tab out, <right click> on the tab and select “Pop out tab”.


Traders can dock the popped-out tab with the Sprd/Bfly as an additional monitor.

To pop the tabs back in, <right click> on the tab and choose “delete tab”.

Enhancement #4


[AUD] Added support for JPY under XCCY ASW


The AUD Bond sheet has been enhanced to calculate the XCCY ASW column using the JPY curves. To show calculate the column click on "Calculation" -> "Calc XCCY ASW...". In the Pop-up select the ASW Sprd/CCY/Index, then press on the "Calculate" button. The column will then be calculated.


As a reminder here is the definition of XCCY ASW: ASW YY/T level adjusted by the XCCY basis swap curve.