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Sprd/Bfly Enhancements | Weekly Release 10/25/19

Enhancement #1

[EUR only] Added support for Italy FRN CCTS bonds and allow users to send spread and butterfly strategies from historical graphs in the Italy FRN sheet

In the IT FRN CCTS sheet, traders can create historical graphs of spread and butterfly strategies to send them to the EUR Sprd/Bfly monitor. The graphs with this option can be created from the price, discount margin, yield, ASW Z, ASW T, and ASW YY columns. The screenshot below shows how this is done using the discount margin column.

The format for manually typing in IT FRN securities is “T EUR6M+Fixed Coupon MYY” [e.g. “T EUR6M+110 O24” or “T EUR6M+55 622”].

Of note: the value in the “Sprd” column is the Discount Margin


Enhancement #2

[JPY only] Enhanced formatting flexibility by accepting ticker + series inputs [e.g. “JB356” = “0.1 929” = “JB-356 0.1 929”]

Traders can now enter a wider range of text formats to enter the same security. There are now three accepted formats for JPY bonds:

  • “Original Issue-Series”

  • “Coupon MYY”

  • “Original Issue-Series Coupon MYY”

In the example below, JL-58/JS-134, 1.9 922/01. D22, and JL-58 1.9 922/JS-134 0.1 D22 are all accepted formats for the same strategy. This will allow traders to more easily identify and input bonds based on the original issue.


Enhancement #3

Enhanced formatting flexibility by accepting condensed type formats using parenthesis, also applicable in the curve field [e.g. “CMT(2/10)” as an alternative shortcut to “CMT2/CMT10”]

Traders now have the ability to reduce repetitiveness in formating by shifting strategies that use the same prefixes to having the prefixes outside with the specifics legs in parenthesis. This shorthand works for all generic input options in Sprd/Bfly and applies to all currencies.

In addition to spreads, this formating style works for butterflies, condors, and other multi-leg strategies as well. Changes to the weighting column apply the same manner which they would if the strategy was formatted in the traditional style with no parenthesis. The screenshot below shows examples in the USD, EUR, and GBP Sprd/Bfly monitors.


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