CCY Bond Enhancements | Weekly Release 12/17/21


[USD] Added forward 2+ RVS column with the live graph and included it in the Curve Analysis

Added Forward 2+ RVS, “F2+ RVS”, & Forward 2+ RVS Carry, “F2+ RVS Carry”, columns to the USD Bond Roll sheet.

To populate the forward columns, a forward date must be entered in the “Fwd Dt:” box at the top of the sheet.

Traders can also plot “F2+RVS” in the lower graph using the “Graph” dropdown in the top right of the sheet as well as in the Curve Analysis tool under “Analysis”.

Enhancement #2

Added “Years to Maturity” column

Years to Maturity” column has been added to all bond roll analysis sheets.

Note: Traders can add and customize columns by clicking on “Table” – “Manage Columns”.

Enhancement #3

Added Forward CMT RVS Spread and Forward CMT Yld to “Graph” dropdown and to the Curve Analysis. In addition, added the Forward SOFR/ESTR to the USD/EUR bond

Forward CMT RVS Spread, “FCMT RVS”, and Forward CMT Yield, “FCMT Yld”, are added to the “Graph” dropdown. First, traders can enter a forward date, “Fwd DT”, above the sheet. Then, on the upper right corner above the bond roll sheet, traders can click the arrow next to “Graph” dropdown to expand the list of available graphs.

A graph will pop up on the bottom of the window after the trader has selected the desired metric from the dropdown list.

This applies to curve analysis as well. Traders can click on “Analysis” in the tab menu and select “Curve Analysis...”. Forward CMT RVS Spread, “FCMT RVS” and Forward CMT Yield, “FCMT Yld”, are added to “Data Type” on the right of the pop-up window.

Additionally, Forward SOFR, “FSSprd YY”, and Forward ESTR, “FESprd YY”, sets of columns have been added to USD Bond and EUR Bond respectively.