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CCY Sprd/Bfly Enhancements | Weekly Release 1/17/20

Enhancement #1

Added Non-Farm Payroll dates as Economic Calendar Events in the Seasonality tool for traders to see how strategies perform going into and immediately following the monthly NFP announcement by the BLS

To set NFP dates as the seasonality measure, first click the “Seasonality” button in a historical graph. Once in the Seasonality graph section, set the Anchor as “Eco Event”. Then click the adjacent drop-down menu and select “NFP” and click “Apply”.

Ex below shows the performance of the generic UST 2/10 spread over the past year.


Enhancement #2

Enhanced cross-country support in all Sprd/Bfly windows by accepting swaps and OIS swaps for any G7 + AUD country

Traders can now enter universal inputs for swaps and OIS swaps across the G7+AUD Sprd/Bfly windows. To do this, enter the two-letter currency code as a prefix to the swap [US, EU, GB, CA, AU, JP]. For example, traders can enter EUS1x5 for the EUR one year forward five-year swap or EUOIS1x5 for the OIS swap in the USD Sprd/Bfly window as shown below.

Additionally, to simplify the use of multiple currency Sprd/Bfly windows, traders can enter the currency prefix for a swap even if the trader is already in that currency’s Sprd/Bfly window. For example, in the USD Sprd/Bfly window traders can enter S10 for the 10-year swap or USS10 as shown in the screenshot below.


Enhancement #3

[USD] Support STIR indices which include upper and lower target bands of the FF range, Fed Discount Rate, and RRP

Traders can now monitor several STIR indices against strategies or on their own in the Sprd/Bfly monitor. The Fed Funds upper target rate is FDTR while the lower target rate is FDTRFTRL. The US Treasury RPR (repo and rever) index is TOMOTCSO and the Federal Reserve discount rate is DISCPRIM.


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