Bond Roll Enhancements | Weekly Release 3/19/21

Enhancement #1

Enhanced the curve analysis with the ability to plot the change on day of the OIS Spread and EONIA Spread

In Curve Analysis:

· In the USD Bond Roll sheet, added support for “OISprd dZ” as a data type

· In the EUR Bond Roll sheet, added support for “EONIA Sprd dZ” as a data type

To find the curve analysis, click on “Analysis” - “Curve Analysis”.

In the Curve Analysis, select the bonds series to plot, then select data type, finally hit “Plot” to show the data in the graph.

Enhancement #2

[EUR] Added Green Bond filter to the Curve Analysis

In the EUR Bond Sheet under Curve Analysis, a Green Bond filter has been added.

To find Curve Analysis, click on “Analysis” - “Curve Analysis”.

Traders can click the dropdown and choose “All” (All bonds), Yes” (Only green bonds), or “No” (Exclude green bonds) to filter the bonds. After choosing, click “Plot”.