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CCY Bond Enhancements | Weekly Release 09/01/2023

Enhancement #1: Allow traders to remove specific futures as benchmarks

From “Preferences” – “Filter Future Symbols”, traders can now remove specific futures rows in the blotter and remove them as benchmarks. For example, if the trader unchecks “Load Row” for TWE future, TWE front contract and back contract rows will not be loaded in the blotter anymore; if the trader unchecks “Use Dlv” for TWE future, this future will not be used as benchmarks anymore and will be replaced by US future as these bonds also fall into the US future’s delivery basket.

Enhancement #2: Added support for the SSprd/ESprd/SONIA YY/Z under the Butterfly columns

Traders can leverage the butterfly functionality and have RiskVal create the butterflies right on the CCY Bond sheet with the following additional metrics.

From “Preferences” – “Custom Bfly Settings”, traders can now set SSprd (USD)/ESprd (EUR)/ SONIA (GBP) YY and Z-spread for custom butterfly columns. Hit the “Apply” button after setting the preference, and the sheet will update.

These columns can be added from the “Table” - “Manage Columns” menu.

Note: Traders can send these butterflies to the Swap Box and Sprd/Bfly sheet for further analysis.


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