Historical Viewer Enhancements | Weekly Release 6/19/20

Enhancement #1


Added FEDL01, SOFR, EONIA, SONIA rates, and GC Repo for USD and EUR


Traders can now see the historical data for the FEDL01, SOFR, EONIA, SONIA rates, and GC Repo for USD and EUR to do further analysis and even regression analysis.


Enhancement #2


Added actual repo rate for bond futures

Traders can now do more in depth analysis on the Future’s actual Repo. In the example below the Actual Repo is plotted with the Implied Repo Rate to show the trends of each and how they compare.


Enhancement #3


Enhanced support for EUR OTR bond list by adding all OTRs that are supported in EUR Sprd/Bfly


To make the Historical Viewer more consistent with the Spread Butterfly, we have expanded the Bond -OTR section of the “Data Series Chooser” to include all the supported EUR countries.