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Bond Roll Enhancements | Weekly Release 3/6/20

Enhancement #1

Added a second set of CT Sprd & Implied Lock Px columns for traders to compare the swap box to a secondary CT

There is a new set of Benchmark columns added to the Bond Roll, this will enable traders to compare two separate benchmarks and calculate the implied lock px.

Note: You cannot mark both benchmark spreads at the same time, only one can be active at a time.


Enhancement #2

Added a Central Bank holding column (in Billions)

In addition to Outstanding Size, Free Float, Fed Hold % columns, we also made available the Fed Hold (or Central Bank Hold) column which shows the actual amount.

In USD Bond:

  • Free Float = Outstanding Size – Central Bank Hold - SP Issue Amount

  • Fed Hold % = Central Bank Hold / Outstanding Size

Column names available from Table -> Manage Columns

  • USD Bond: Fed Hold

  • EUR Bond: ECB Hold

  • GBP Bond: BOE Hold

  • CAD Bond: BOC Hold

  • Non-G7 column names can be found as “CB Hold”


Enhancement #3

Introduced an NOK Bond sheet, where traders can monitor Norwegian bonds and leverage the full suite of relative value measures

Traders interested in monitoring the Norway bond market can leverage the full suite of relative value columns in the NOK sheet by leveraging columns such as the OTR Spline, ASW, and the 0 Sprd Column.

In the NOK Bond sheet, we highlight the on-the-run points in green, which are also used as the fitting points for the OTR Spline curve construction. This includes CT3, CT5, CT7, and CT10.


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