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CCY Bond Roll Enhancements | Weekly Release 09/29/2023

Enhancement #1: [INR/IDR] Added “XCCY ASW” set of columns and functionality

Traders can now add the “XCCY ASW” set of columns (“XCCY ASW YY”, “XCCY Fixed Yld”, “XCCY 3M C”, “XCCY 3M R”, & “XCCY 3M C+R”) in INR/IDR Bond Roll Analysis windows to view the cross-currency asset swap analysis. To add and arrange these columns, traders can go to the “Table” – “Manage Columns” menu and save the view.

When the columns are added to the table, traders can click the “Calculation” – “Calc XCCY ASW” menu to bring up the pop-up window and choose the preferred currency and index. Once the setting is completed, click the “Calculate” button.

Note: When the setting is finished, the column names will change according to the setting (ex. “SOFR ASW YY”, “ESTR ASW T”, etc.).

Enhancement #2: [AUD] Added support to plot “3s/6s ASW YY (T/Z)” in Curve Analysis

In this week’s release, traders can now see the “3s/6s ASW YY (T/Z)” graphs on the “Curve Analysis” pop-up window in the “AUD Bond”. Traders can click the “Analysis” in the tab menu and select the “Curve Analysis” menu to open the window. The measures are added in the “Data Type” section located on the right of the pop-up window.

Enhancement #3: [AUD] Added ability to plot NZD Treasuries alongside the AUD bonds in Curve Analysis

In this week’s release, traders can also include NZD treasuries in the “Curve Analysis” pop-up window in the “AUD Bond”. To load the functionality, traders need to open the “NZD Bond” window before opening the “Curve Analysis” pop-up window.

Once the “Curve Analysis” pop-up window is open, click the “Config” – “Load NZD GOVT” menu to load the “NZD Orig Year” table. Then, traders can select the treasuries needed in the table and hit the “Plot” button to view the curve.


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