Bond Roll Enhancements | Weekly Release 10/2/20

Enhancement#1


[EUR] Enhanced the Color Management tool with the option to color code by country and original series

To give traders more flexibility as to the colors of their original bonds on top of the countries has been added. Traders can set up the color schema to better see the bonds in the live graph and in the bond roll, by leveraging the highlighting function.

To change the colors:

1- Click on “Format”- “Color Management”

2- In the color management, select which “Highlight Bond” option

a. Only Header: The first column will be highlighted, with the ticker description

b. Row Excluding Header: The whole row will be highlighted, except the header

c. Whole Row: the whole row will be highlighted

3- Under “Color Strategy”, select “By Country and Orig”, this will open the entire menu across all the “origs”

4- Finally, select the box to highlight and the color (at the bottom)

In the screenshot above, the color is set by country which will reflect in the live graph, however, to look at the bonds more granularly based on country and orig, apply the color using the “By Country and Orig”, as seen below.



Enhancement#2


Added columns to show the $ Annual ASW YY carry + roll and $ Annual OIS YY carry + roll

Definitions

$Ann C+R = (3M C +R) * $1M DV01 / dirtyPx * 4

$Ann ASW YY C+R = (ASW YY 3M C+R) * $1M DV01 / dirtyPx * 4

$Ann OISprd YY C+R = (OISprd YY 3M C+R) * $1M DV01 / dirtyPx * 4



Enhancement#3


[EUR] Added a Green Bond filter to only include the Green Bonds on the list; also available in the EUR SSA

Enhanced EUR Bond and EUR SSA sheets with Green Bond filter.

By checking the “Green Bond” box, traders have a better overview of available Green Bonds.



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