Enhancement #1
Further enhanced the roll adjustment flags to simplify the meaning and location for traders to conveniently toggle their roll adjustment settings directly in historical graphs. In future releases, we will make this feature available across all columns in Sprd/Bfly and other sheets in RiskVal
Map to Generic: Equivalent to checking the “Generic” box in historical graphs.
This maps the specific issue to its generic benchmark by stringing together history with no alterations to the data for extended history.
Roll Adjust for Generic: Equivalent to checking “Roll Adj” box in historical graphs.
Only with “Map to Generic” or “Generic” checked, traders can apply the “Roll Adjustment”
Switch the “Roll Adjust Method” to adjust the history with or without decay from the “Preferences” – “Graph” menu.
Additionally, when viewing generic security or strategies containing generic securities, the label in the parenthesis will indicate the specific issue security that those generic ones represent.
Please refer to the examples below. We hope this feature will make it easier for you to analyze and share historical graphs with colleagues and clients.
Example #1: Using the current OTR 30-year (2.375 Nov 49), and checking “Generic” connects history beyond the issue date of the bond by mapping to the generic OTR 30-year. There is NO roll adjustment when “Roll Adjust” is unchecked.
The generic issue that is being tied to is in parenthesis in the title of the graph so traders can easily identify it.
Example #2: The example below uses the current on-the-run 7 year/10 year spread strategy (1.625 Oct 26/1.75 Nov 29).
Checking both “Generic” + “Roll Adj” ties the specific issue securities to their generic CTs and also factors in WI roll adjustment when connecting historical data.
Example #3: No roll adjusted series for both the generic CT2, “2” and issue-specific 2-year bond, “1.5 O21”
With “Generic” unchecked, looking a generic strategy, such as “2” will match the issue-specific 2-year history.
Enhancement #2
Enhanced the Seasonality tool for EGB traders
In the Seasonality function, traders can now select EGB Auctions as an economic calendar event (Eco Event) to base the analysis off. Once “EGB Auctions” has been selected for the Eco Event traders are then able to select the country and which original issue auction to view. This gives Euro traders enhanced value in the seasonality function and allows users to look at auctions that are more relevant to Euro securities.
Additionally, the default Eco Event has now been changed from the UST 2-year auction to default to the country and term based on the first leg of the strategy.
Enhancement #3
[EUR only] Added the data under “Sprd Rt Chart” for generic EUR CTs
The live intraday chart in EUR Sprd/Bfly now supports generic EUR CTs. Previously, only generic US CTs and Futures would show real-time data, this has now been extended to EUR. Traders can set the value displayed in the intraday chart as well as how many days are displayed under the “Preferences” menu. Traders can also double click within the “Sprd Rt Chart” column to see the chart in detail.
