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CCY Bond Enhancements | Weekly Release 07/21/2023

Enhancement #1: Added “EFP Box Z” column as an addition to already existing EFP columns

Enhancement #2: Added option to change multiple EFP BM at once

EFP Box Z” column has been added. This column will show the difference between the ASW Z of the bond in the row & the ASW Z of the benchmarked alias bond. To select the curve used for this, navigate to “Preferences” – “EFP” – “Curve Settings”. Default will be SOFR for USD, ESTR for EUR, & SONIA for GBP.

Traders can also now set multiple “EFP BM” cells at once. To do so, highlight the cells to be set, <right-click>, select “Set EFP BM”, & enter the benchmark alias.


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