Bond Roll Enhancements | Weekly Release 4/8/22


Enhancement #1:


[USD] Added “FSSprd Z vs SSprd dZ to “Graph” dropdown


In the USD Bond sheet, traders can now graph the Forward SOFR spread Z live graph next to the SOFR Sprd change on day. These graphs will move as the markets move throughout the day. This way traders can visualize the outliers and further explore the opportunities.

Note: Can select the live graph from the “Graph” dropdown



Enhancement #2:


[EUR] Added “FEsprd Z Gap” & “ESprd Z 3M R” columns


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


Traders can also view ESprd Z Gap under “Analysis” – “Gap Analysis”.

In the EUR Gap Analysis window, select “ESTR Spread Z” from the Measure dropdown & click “Generate”.