CCY SSA Enhancements | Weekly Release 9/27/19

Enhancement #1

Added the ability to send spread and butterfly graphs from the SSA sheet to Swap Box

In the CCY SSA sheet, when you select either two or three bonds, you have the ability to <right click> and select “spread graph” or “butterfly graph”. From the graph that is drawn up, the trader can now send the strategy to swap box with the ease of a button.

The “to SwapBox” will create the strategy in the swap box tab.

Enhancement #2

Enhanced lower panel graphs by adding support for ASW YY, ASW T, ASW Z, OISSprd YY, and OISSprd Z as well as a “Diff” drop-down menu option

To give traders a view of how the SSA bonds are moving relative to each other, we have the live graph. In the live graph all SSA bonds are plotted in terms of yield, and in this release, added the ASW YY, ASW T, ASW Z, OISSprd YY, and OISSprd Z as well as a “Diff”.

Select the Live graph from the top right.

Select the Change of day range from the “Diff” dropdown.

Enhancement #3

Added historical data for “OISSprd YY” with a rich-cheap heatmap and Z-score column and added the Carry, Roll, and Carry and Roll columns

Traders can now see the SSA bonds spread to the OIS curve in terms of yield, see the Z-score of the spread, and the carry and roll.