Bond Roll Enhancements | Weekly Release 2/14/20

Enhancement #1


[EUR] Allow traders to specify the Comp Trsy for each individual country


Traders can now set the comparative treasury country for each individual country in the EUR Bondsheet, similar to the CAD Provincial sheet where comparative provinces can be set on a province by province basis. To set each individual countries comparative treasury country click the local “Tools” menu then “Set Comp Trsy Country”. In the pop-up window select the comparative treasury in the “Select” column to be matched with the base country in the “Category” column. For all countries not set to have a specific match select the “Default” to apply to the rest. Then click “Apply” for the changes to propagate to the sheet.


The example below shows the matched comparative treasury column countries based on the settings show in in the screenshot above.

Enhancement #2


[USD] Added the OTR Summary table


An OTR Summary table has been added to the USD Bond sheet like the one that already exists in the EUR Bond sheet. This floating window within USD Bond shows only the current on-the-run bonds to allow traders to focus on and conduct analysis on the most liquid points in the US treasury universe.


To open this window click the local “Analysis” menu option then select “OTR Summary”.

The screenshot below shows the OTR Summary window using the system default column layout with the 2+ RVS lower panel graph.

Enhancement #3


Updated ASW column names with the index (6s or 3s) where the calculation uses the non-default swap curve. Applies to EUR, GBP, AUD (as well as EUR & GBP SSA sheets)


The naming of asset swap columns that use the non-default index to the country has now been updated to accurately reflect the index being used. The former name prefixes have been changed from 3m and 6m to 3s and 6s. This change applies to the EUR, GBP, and AUD Bond sheets and EUR & GBP SSA sheets.


The example below shows the AUD Bond sheet in which the 3 month and 6 month LIBOR index curves are both used.

The screenshot below shows the EUR SSA sheet with the updated 3-month LIBOR ASW columns now reading as 3s instead of 3m.


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