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Bond Roll Enhancements | Weekly Release 3/27/20

Enhancement #1

Enhanced Implied Lock Px and Benchmark CT column to now use the CTD implied lock price when setting a bond Future as the benchmark

The methodology for calculating the implied lock price for future benchmarks has been updated to use the CTD implied lock price. Traders can set the BM CT (or Future CTD) by right-clicking in the “BM CT” column, hovering over “CT Sprd Benchmark” and selecting the generic future contract. This allows traders to easily see the spread between the entire universe of bonds and the bond future CTDs.

The example below shows the first O7 bond (1.125 Feb 27) with the BM CT set as the TY1 Future contract (TYM0). The CTD for TY1 is the 2.25 Feb 27, so the Implied Lock Px for the 1.125 Feb 27 is derived from the spread between the two bonds, which can be seen in the CT Sprd column.

The following screenshot shows how the CT Sprd column ties out with the spread between the bond being analyzed and the bond (in this case Future CTD) set as the BM CT.


Enhancement #2

Updated the “Sector” drop-down menu set by including an option for only OTR bonds

In the Sector drop-down menu (labeled “Sctr”) traders can now choose “OTR” to view only the on-the run bonds. This will allow traders to quickly focus in on the most liquid points on the curve without having to create new tabs or load up the OTR summary floating window.


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