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Sprd/Bfly Enhancements | Weekly Release 6/19/20

Enhancement #1

Reintroduced the real-time intraday charts for yield (or yield spread), asset swap, invoice spread, price spread, and 2+ RVS

Traders can now dynamically set which, if any, real time charts they would like to enable in the Sprd/Bfly window. This allows traders the flexibility to reduce their overall data usage and increase performance based on their needs.

To enable (or disable) the preferred real-time charts:

  1. click “Preferences” – “Intraday Chart” and check or uncheck preferred measure

  2. Next, in the “Preferences” menu again, hover over “Intraday Chart Duration” and select the date range up to five days.

  3. Finally, add the corresponding columns by clicking “Table” – “Manage Columns” and search “Chart” to highlight all intra-day chart columns.

  4. Add said columns from “Available Columns” to “Displayed Columns” in the preferred location and click “Save”.


Enhancement #2

[EUR] Enhanced Seasonality tool by adding Tap Reopening Supply auctions as Eco Events for all eurozone countries where available

This enhancement allows traders to conduct seasonality analysis based on all EGB auctions including TAP reopening auctions for countries that have them. Previously, the ability to run seasonality analysis with supply auctions included was limited to only Germany, this is now expanded to all EUR countries with reopening’s. This allows for more detailed analysis by including a greater sample size of auctions and accurately reflecting how strategies have performed against all of them.

To enable TAP auctions in the Seasonality analysis, set the Anchor as Eco Event, EGB Auctions. Then choose the country and original issue series to run the strategy against. Lastly, check the “Include Supply” and click Apply.


Enhancement #3

Added historical data for “3M Cnvx adj C+R” and added a “3M Cnvx Return” column

Traders can now double click for history in the existing “3M Cnvx Adj C+R” column with the newly added 3-month convexity historical data for each bond. This allows traders to better track the convexity carry and rolldown of each security. The “3M Cnvx Adj C+R” is calculated as the carry and rolldown including the 3-month convexity adjustment.

To compliment this new data and ability to view in a historical graph, a “3M Cnvx Return” column has been added as well. This column is calculated as the convexity adjustment P&L in basis points using 3-months historical data.


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