CCY Sprd/Bfly Enhancements | Weekly Release 4/8/22


Enhancement #1:


Added a column to show the swap spread carry and roll divided by the daily volatility of said swap spread, including the Libor ASW, OIS, and SOFR/ESTR spreads. This is also available in the Bond sheets


The following columns were added:


Enhancement #1: Added a column to show the swap spread carry and roll divided by the daily volatility of said swap spread, including the Libor ASW, OIS, and SOFR/ESTR spreads. This is also available in the Bond sheets


The following columns were added:

Note: Traders can add these columns to their view from “Table” – “Manage Columns



Enhancement #2:


[USD/EUR] Added SOFR/ESTR spread Z RVS set of columns



Traders can now view the “SSprd/ESprd Z RVS” level, change on day, 3-month heatmap, & 3-month z-score in the USD & EUR Sprd/Bfly sheets.


The following columns were added:

Note: Traders can add these columns, which are also available in USD/EUR Bond sheets, from “Table” – “Manage Columns”. Traders can also view the SSprd/ESprd Z Spline curves under “Market View” – “Curves”.