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EUR Bond Roll Enhancements| Weekly Release 1/19/2024


#1 : [EUR] Added the option to switch clearing house for the swap spreads


Traders can now set EUREX as the Clearing House to be used for EUR swap spreads. To do so, click “Preferences” – “Hedge” – “Clearing House” – “EUREX”. Data will be updated accordingly after selecting the clearing house.

 

When populating historical data, users will see “EUREX” in the graph title.


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#2 : [EUR] Added the Ted Hedge using the ESTR (TKY) futures


Traders can now run Ted Hedge using TKY futures in the EUR Bond sheet. To do so, select a bond/bond(s), <right-click>, select “Risk/Hedge”, then “FF/3M ESTR Hedge”.

 

Traders can adjust nationals & DV01 in the hedge table.

Note: To include multiple bonds in the hedge, traders can highlight multiple bonds & then <right-click> & select the hedge.

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