Bond Roll Enhancements | Weekly Release 2/12/21

Enhancement#1


Enhanced the Emerging Markets sheets for ZAR, MXN, INR, CNY with the XCCY ASW calculation vs USD/EUR


The emerging markets sheets of ZAR, MXN, INR, and CNY now have the XCCY ASW column with the ability to calculate against the USD/EUR curves.


Definition, for reference

XCCY ASW: ASW YY/T level adjusted by the XCCY basis swap curve.


To calculate the XCCY, click on “Calculation” – “Calc XCCY ASW..”. In the pop-up select the curve to which calculate against

To add the column,

- click on “Table” – “Manage column

- Search for “XCCY”, add the column to your view and save it.

- The column will appear in your view.

Enhancement #2


Added the SOFR/ESTR rate’s 3M Carry and Rolldown columns


Added “SOFR/ESTR 3M C”, “SOFR/ESTR 3M R Crv”, “SOFR/ESTR 3M C+R” and “SOFR/ESTR Sprd 3M C+R” columns to USD/EUR Bond Roll sheets.


To add newly added columns, traders can hit “Table” – “Manage Columns”; search for “SOFR/ESTR 3M” and the columns will highlight yellow. Traders can move them to the right-hand side. Then click “Save As” to create a new user view, or just “Save” to add it to the current view.


Traders can <double click> on any of the four columns to open historical data. In addition, traders can <right click> and select a different rolldown, such as 1M and 2M.

Note: This is the SOFR/ESTR rate’s carry and roll, not the spread to the bond.

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