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CCY Bond Enhancements | Weekly Release 2/25/22

Enhancement #1:

Added “SSprd/ESprd/OISprd YY Carry” columns

SOFR/ESTR/OIS Spread Yield to Yield Carry columns (“SSprd/ESprd/OISprd YY Carry”) have been added to bond roll sheets for USD, EUR, and all currencies, respectively. The yield to yield carry is calculated as forward yield to yield spread minus spot yield to yield spread.

Note: Enter the forward date at the top of the sheet, in the “Fwd dt” or the “Fut” box

Enhancement #2:

[KRW] Added ASW onshore & offshore sets of columns

Onshore and offshore ASW sets of columns are added to KRW bond roll.

Enhancement #3:

[CNY] Added “Alias Name” column

Alias Name” column is now added to CNY bond roll.

Note: Trades can add and customize columns from “Table”“Manage Columns”.


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