CCY Bond Enhancements | Weekly Release 4/23/21

Enhancement #1


Enhanced “Graph” dropdown with Carry, Rolldown, and sum of Carry and Rolldown for the ASW YY, OIS, OISprd YY, SOFR/ESTR, SOFR/ESTR Sprd YY sets of columns


Traders can now see the Carry, Roll, and the sum of the two’s live graphs for ASW YY, OIS, OISprd YY, SOFR/ESTR, and SOFR/ESTR Sprd YY.

Enhancement #2


Added “XCCY 3M C”, “XCCY 3M R”, and “XCCY 3M C+R” columns for XCCY ASW columns


To further enhance the cross-currency analysis, the XCCY 3M carry, XCCY 3M roll, and XCCY 3M carry + roll columns have been added. To add these columns to your view, please click on “Table” - “Manage Columns”.

Note: To populate the XCCY Carry, Roll and C+R columns, click on “Calculation” – “Calc XCCY ASW…” Then, select the curve and hit “calculate.”


XCCY Carry: The difference of forward xccy spread and spot xccy spread


XCCY Roll: the difference of xccy spread of the bond and xccy spread of the bond which 3m month shorter, if the bond doesn't exist, we will use interpolation.