Bond Roll Enhancements | Weekly Release 12/18/20

Enhancement #1

[USD] Added an option to show the bond price in decimal instead of tick format; also available in the Swap Box sheet

Enhanced live price format to support the decimal format. This enhancement is available in the USD Bond Roll and Swap Box sheets.

To switch live price format, navigate to “Preferences” and select “Show Decimal Format”. RiskVal uses tick format as default.

Enhancement #2

Enhanced Gap Analysis to include “ESTR/SOFR ASW Z” and “ESTR/SOFR YY” as measures to the EUR and USD Bond sheets respectively

Enhanced USD and EUR Gap Analysis with “SOFR YY”, “SOFR ASW Z”, “ESTR YY” and “ESTR ASW Z” filters respectively.

From the “Analysis” dropdown menu, traders can select “Gap Analysis” and change the “Measure” filter. Hit “Generate” to apply the selection.

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