Enhancement #1
Renamed Expected Return as “MR Return” (Mean Reversion Return), and Total Return as “Expected Return”. These columns now have historical data available in Sprd/Bfly and Fwd Swap Matrix
To improve clarity the naming system of columns and how they function, the “Total Return” and “Expected Return” columns have been renamed.
The former “Expected Return” has been renamed to “MR Return” which is short for Mean Reversion Return. This change is to reflect that the return is based on an expected mean reverting pattern and is calculated the same (which is the current level minus the 3-month historic average).
The former “Total Return” column has been renamed to “Expected Return” and is calculated as the (MR Return) + (3M C+R).
This name change applies to all sheets and windows that had Total and Expected Return columns. The following example shows several spread strategies with their Total Return, MR Return, and 3M C+R.
To add the corresponding columns, click “Table” – “Manage Columns” and search “Return” to highlight all MR and Expected Return columns. Add said columns from “Available Columns” to “Displayed Columns” in the preferred location and click “Save”.
Enhancement #2
Added SSA bonds to the spread and butterfly generators. This expansion of the covered securities in the generator tools allows traders to quickly and easily generate all possible SSA spread and butterfly strategies (within their set parameters) with ease
In this enhancement, traders can now create SSA spread and butterfly strategies using the built-in generators to CCY Sprd/Bfly. This expansion of support allows SSA traders to create strategies using the Bonds Chooser tool, Strategy Creator tool, and now the Spread and Butterfly Generators.
To create SSA strategies using this method, in the Sprd/Bfly window first click “Tools” then either “Spread Generator” or “Butterfly Generator”.
1. In the generator window that pops up, under “Type” select SSA.
2. Then, fill out all other remaining parameters for the strategies that will be created (maturity sector, spread period, coupon, etc.)
a. Of note: traders can enter a ticker in the “Ticker” box to only create spread or butterfly strategies using that specific one.
3. Click “Populate Spreads”.
4. Next, select the preferred strategies to send to Sprd/Bfly or click the “All” button next to “Select” to check all strategies.
5. Finally, select the tab to send them to (or enter the name for a new tab) and click the “Send” button. This example shows SSA spread strategies being created in the generator and sent to their own tab.
In the example below, traders can enter “EIB” in the “Ticker” field to generate EIB spread strategies.
