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CCY Bond Roll Enhancements| Weekly Release 1/26/2024


#1 : [JPY] Added “CT Sprd Simple” column


The newly added “CT Sprd Simple” column will show the (“Simple Yld” – “BM CT Yld”) *100. It will use the existing “BM CT” column as the benchmark. Traders can use this column to set a bond’s simple yield spread to the benchmark bond’s simple yield.

 

Note: (1) Traders can change the “BM CT” column by <right clicking> & selecting the desired benchmark. (2) The overwritten benchmarks can be saved by selecting the “Preferences” – “BM CT” - “Save User Input CT Spread Simple


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#2 : Added ability to import forward repo levels

 

Traders can find the sample import file under “Help” – “Sample Import File” – “Sample Fwd Repo Import (.csv)”. In the import doc, traders can enter ISINS/CUSIPS along with corresponding forward repo levels.

 

To import levels, click “Tools” – “Import Fwd Repo”, select the file & click “OK”. In the import window:

 

  • Replace” The repo levels in the file will override any repo levels in the Bond sheet- “Fwd Repo” column, if there is no repo level for the bond, then the “Fwd Repo” will go back to default (GC repo)

  • Append” will keep current levels & only update changed levels.


Note: To save these levels on restart, click “Preferences” – “Keep” & check “Keep Forward Date” & “Keep Forward Repo”.


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#3 : Added ability to import live prices for specific bonds

 

Traders can find the sample import file under “Help” – “Sample Import File” – “Sample Live Price Import (.csv)”. In the import doc, traders can enter ISINS/CUSIPS along with corresponding prices.

 

To import prices, click “Tools” – “Import Live Price”, select the file & click “OK”.

Note: To save these prices on restart, click “Preferences” – “Keep” & check “Keep Live Price”.


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