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CCY Bond Roll Enhancements | Weekly Release 9/27/19

Enhancement #1

Enhanced heatmap functionality by adding background rich-cheap heatmap for “ASW dT”

To enable the background heatmap, click the sheets local “Preference” menu. In the preference menu hover over “dChg Background Color” and check “ASW dT”.

This new heatmap allows traders to visualize where the current level is relative to its own 3-month historical range. The color-coded background heatmap ranges from dark green to indicate that an asset swap is cheap with respect to the swaps own 3-month historical level or dark red for rich to its own historical performance.


Enhancement #2

Added the ability to “Edit PCS” (also available in the CCY SSA)

The new addition of the “Edit PCS” menu option in Bond Roll and SSA sheets allow users to set custom pricing sources for individual sheets. Users can set up to three pricing sources in order of preference when available. To do this, click the sheets local “Preference” menu. In the preference menu click “Edit PCS”.

In the pop-up window enter up to three pricing sources then click “Save”, the prices and derived values (carry, relative value measures, etc) will then be recalculated.


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