CCY Bond Enhancements | Weekly Release 9/4/20

Enhancement #1


[EUR] Added the ESTR YY and EST ASW Z set of columns

With the addition of the ESTR curve, the spread of each bond to said curve has been added as a set of columns. These columns include ESRT YY and ESTR ASW Z with their change of day.

Enhancements #2-4


Enhancement #2: RVAnalysis – Added a column for Convexity Adjusted Expected Return to show the Exp Return + Conv Return

Enhancement #3: RVAnalysis- Allows users to sort the strategies by the Mean Reversion Return, Total Return, Carry + Roll Thresholds.

Enhancement #4: RVAnalysis- Added separate tabs for the Spreads and Butterfly strategies

The RVAnalysis has been reworked to improve the workflow and streamline the analysis. The menus have been moved to the top and re-organized, as well as

  1. Added the option to sort the strategies by the Mean Reversion, Total Return, or Carry and Roll.

  2. The table with the results has been separated into two tabs to show the Spreads in one tab and the Butterflies in another.

  3. Finally, a column to show the Expected Return + Convexity Return was added for an additional reference.


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