Enhancement #1
Enhanced the CIX string generator for cross-market strategies with the flexibility to include or exclude the FX adjustment. Also available in the Swap Box
With this enhancement, traders now can control whether the FX adjustment in cross-currency strategies are included or not when generating a CIX string. This makes it easier to seamlessly switch between including and excluding the FX legs in XCCY strategies without having to create new line items of the same strategies without the FX legs. Traders can find this option under the local “Preferences” menu titled “Include FX for CIX String”. Check or uncheck this option to turn it on or off.
The following example utilizes the TU1/DU1 USD-EUR Future-Future spread strategy in the USD Sprd/Bfly monitor.
The first CIX string is for the mid-price spread [Copy CIX PxSprd(mid) option] with the FX for CIX String option enabled.
(BIDPRC[TUU0 Comdty] + ASKPRC[TUU0 Comdty]) / 2 -0.8298 * (BIDPRC[DUU0 Comdty] + ASKPRC[DUU0 Comdty]) / 2
The second CIX string is also for the mid-price spread for the same strategy but with the FX for CIS String option disabled.
(BIDPRC[TUU0 Comdty] + ASKPRC[TUU0 Comdty]) / 2 -0.9777 * (BIDPRC[DUU0 Comdty] + ASKPRC[DUU0 Comdty]) / 2
Enhancement #2
[AUD] Enhanced the “Sprd” column for strategies containing AUD Bond Futures which will use the Invoice Yield instead of the CTD Yld. Additionally, bond/bond future strategies will use the spot yield such that “Inv Yld” = (Future Yld - Bond Yld) *100
This enhancement focuses on increased usability of the spread and invoice yield columns for strategies containing AUD Bond futures in the Sprd/Bfly sheet. Due to AUD using synthetic 6.0 coupon CTDs for their futures, there can be a disconnect between the levels of the futures and the levels of the CTD. For analysis containing futures, it is more relevant to use the yield of the future rather than the yield of the CTD.
This means that when traders enter an AUD future as a single line item, the value in the “Sprd” column will be the yield of the future and the value in the “Inv Yld” column (invoice yield) will be the same. Additionally, the spread level for spread strategies containing one bond and one future will be calculated as [(Spot Fut Yld – Spot Bond Yld)*100]. This calculation is the same in the invoice yield column as well. Traders can see the matching values between the “Sprd” and “Inv Yld” columns in AUD Sprd/Bfly.
Enhancement #3
Added a new function to remove unsupported strategies, such as expired strategies or strategies with incorrect formatting
This new function allows traders to easily remove all unsupported strategies from the Sprd/Bfly monitor without having to delete individual line items. This includes strategies that were entered in incorrectly and strategies where one or more of the legs are securities that have expired. Keep this in mind when utilizing this tool and delete strategies with caution in case it is preferred to keep some expired strategies for historical analysis. Traders can access this function by clicking the “Tools” menu then selecting “Remove Unsupported”.
Once selected traders will be prompted with a pop-up window that shows all the unsupported strategies divided by the tab they’re in. The “Tab” column shows the tab the strategy is in and the “Strategy” column shows the strategy itself. The red securities in the strategy are the expired or unsupported ones and the black text ones are supported. Traders can choose which strategies to remove by checking them in the “X” column or clicking the “Select All” button at the bottom of the window. Once the preferred strategies have been checked, click the “Remove Selected” button to delete them.
