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Sprd/Bfly Enhancement| Weekly Release 1/12/2024

[Seasonality] Added JPY auction dates, quarter end, & year end as anchor choices

 

To access Seasonality Analysis, traders can <double-click> cells with historical data & click the “Seasonality” button.

 

Here, traders can “Anchor” one of the many economic calendar events, including government auctions. In this week’s release, support has been added to set JPY auction dates as the anchor. To do so, select “Eco Event” – “GOVT Auctions” – “JPY”. 2Y, 5Y, 10Y, & 30Y auctions dates can be set as the anchor for analysis.

 

In the screenshot below, we can see how the 2/5 simple yield spread performed leading into & following JPY 2Y auction dates (including reopenings).



Support has also been added to set quarter end & year end as the anchor for analysis. To do so, select “Eco Event” – “Misc” – “End of Quarter” or “End of Year”.

Note: To extend historical data for the analysis, use the date dropdown at the bottom of the sheet.


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