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Bond Roll Enhancements| Weekly Release 5/17/2024

# 1: Added a new 0 Forward Spread column


In this week’s release a second “0 FSprd” column has been added. This column shows the yield or spread of spread between the bond and the anchor bond. With two columns, traders have the option to choose two separate anchors and two separate spread types.


To populate the forward spread columns, please either enter the forward date, “Fwd Dt”, or the future, “Fut”, at the top of the Bond Roll. Then, to change which metric to show for the bond spread, click on “Preferences” – “Zero Spread” – “Zero Spread Fwd Type(2)” – <select your spread type>.


In the screenshot below, the original “0 FSprd FYld” column is showing the forward yield spread of each bond to the front contract’s CTD forward yield. This anchor was set by entering “0” for that CTD bond. While the “0 FSprd 2 FSSprd YY” is showing the forward matched maturity SOFR spread of each bond to the forward matched maturity SOFR spread of the anchor bond, which is the CTD of the back contract.


# 2: Moved the flag to share the original color preferences for the live graph and the curve analysis


In a previous release, the option to use the “Orig” colors from the “Live graphs” into the Curve Analysis was added. In this week’s release the flag to turn on the setting has been moved. In addition to keeping the preference in the Curve Analysis.


The flag is now under the “Preferences” – “Graph” – “Lower Graph & Curve Analysis” – “Use Default Orig Color


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