Sprd/Bfly Enhancements | Weekly Release 1/21/22


Enhancement #1:


Added ability to set alerts on spot/forward SOFR/ESTR spread metrics, also available in Swap Box


Traders can now set alerts on SOFR Spread Yield to Yield, SOFR Z-Spread, Invoice SOFR Spread Yield to Yield, Invoice SOFR Spread Z-Spread, ESTR Spread Yield to Yield, ESTR Z-Spread, Invoice ESTR Spread Yield to Yield, Invoice ESTR Spread Z-Spread (SSprd YY/Z, IVSPS YY/Z, ESprdYY/Z, IVSPE YY/Z). Daily change set of columns are also available.


Traders can click on “Tools” – “Set alerts”. In the popup window, check the bond and column and enter desired values. When the live value meets the alert criteria, “Alert Monitor” will flash and the relevant row will be highlighted in red.



Enhancement #2:


Added “ESprd 3M dZ” & “IVSPE 3M dZ” columns


Traders can add 3-month ESTR Z-spread change on day and 3-month Invoice spread ESTR Z-spread change on day from “Table” – “Manage Columns”.



Enhancement #3:


Added “SSprd Z/SSprd Z Stdev_d” & “ASW Z/ASW Z Stdev_d” columns


Traders can add ESTR/SOFR Z spread divided by its daily vol and Asset Swap Z spread divided by its daily vol from “Table” – “Manage Columns”.