EUR Bond Roll Enhancements | Weekly Release 1/17/20

Enhancement #1

Added USD as an option for the “Comp Trsy” column for relative value analysis on EGBs spreads against USTs

Traders can now compare EUR bonds against USD bonds in the Comp treasury column set in EUR Bond as well as in EUR Sprd/Bfly. Traders can set USD as the comp treasury by highlighting the preferred EUR bonds to compare to, right-clicking in the Comp Trsy column and select Set Comp Trsy Country.

In the pop-up window check “United States” and click the Apply button. This setting will be propagated to the EUR Sprd/Bfly when looking at strategies with the same securities.

The example below shows the Portuguese bond universe compared to its respective USD treasury bonds.

Enhancement #2

Added option to sort by country and maturity

Traders can now choose from two types of security sorting: by maturity and by Country then maturity. When sorting by “Sort Maturity” (either ascending or descending), securities from all selected countries will be listed together in chronological order of maturity. When sorting by “Sort Country – Maturity” (either ascending or descending), the securities will first be grouped by country (listed in alphabetical order), then listed within each country’s section in chronological order of maturity. To set the preferred sorting method click “Sort” then select the preferred option.

The example below shows the entire universe of bonds for Austria, Belgium, the Netherlands, and Luxembourg sorted by maturity ascending. Note how all securities for all four countries are together and only ordered by maturity date.

Compare the previous example to a set with the same countries but sorted by Country – Maturity Asc instead. Note how the bonds are grouped by country and the countries are in turn listed in alphabetical order with their respective bonds sorted by maturity in their groups.