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New Global IVSP Enhancement | Weekly Release 7/9/21

Extended "Future Carry + Roll based on CTD” flag to cover the CCY IVSP and the New Global IVSP sheets

In the Global IVSP, there is a “IVSP YY C”column which shows the carry as the IVSP YY – the Spot CTD ASW YY. For traders who treat the Future Carry as a cashflow, know there is no carry for the futures. To remedy this, the “Future Carry +Roll based on CTD” flag has been extended to include the “IVSPC” from the New Global IVSP and the CCY IVSP windows. This way, the carry will show as “Zero”.

The “Future Carry +Roll based on CTD” flag, when checked, will use the CTD to calculate the carry for the future.


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