CCY Sprd/Bfly Enhancements | Weekly Release 1/24/20

Enhancement #1


Seasonality: incorporated the “supply” dates into the EGB Auction for Germany

Traders can now conduct seasonality analysis for bonds including “supply” dates when using a German auction as the Economic Calendar Event for the anchor. This will allow traders to have a fuller picture of the performance of strategies around all German auctions rather than just the new issue auctions. Traders can see when these supply dates are for any given German bond using the CACS function in Bloomberg, e.g. CTDEM10Y CACS Govt for the 10year Tap reopening schedule.

To enable the “supply” dates when looking at Seasonality based on German auctions check the box labeled “Include Supply”. The screenshot below shows the performance of the spread strategy DE2/DE5 around the German 10yr auctions with supply dates:

Enhancement #2


Hist Graphs: Option to show the mean and +/- one Std Dev grid


Traders can now view the historical mean and plus or minus one standard deviation for the selected time frame of the security or strategy. Previously this function was exclusive to the butterfly strategies in the Bfly columns in the CCY Bond sheets, it has now been extended to all historical data graphs across all CCY Sprd/Bfly windows.

To enable the mean and standard deviation lines, open a historical graph and check the corresponding boxes. The mean will be the larger green line in the center and the standard deviation lines will be smaller and above or below the mean line. The example below shows the mean and standard deviation of the CMT RVS for the USD 2/10 spread strategy over 6 months:

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