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Sprd/Bfly Enhancements | Weekly Release 9/27/19

Enhancement #1

Added support for Supra Sovereign Agency bonds (SSAs)

Traders can now create strategies with SSAs of all supported currencies in the Sprd/Bfly monitor. Traders can enter SSAs by either using the “Bonds Chooser” tool or by manually entering the tickers.

Method 1: To use the Bonds Chooser, right-click in the “Sprd/Bfly” column then click “Bonds Chooser”. In the pop-up window select the desired securities for the strategy then click “Show Bonds”.

Method 2: To manually enter SSAs, use the following format: ticker coupon DDMYY (e.g. OBND 3.5 19O26 and BKTSM 1.0 05225). This allows traders to create both cross-country and multiple security type strategies.


Enhancement #2

Added carry and rolldown information for swap spread strategies

Traders can enter swap strategies in the Sprd/Bfly monitor by typing in s# (where s# is the swap rate for the set #). The carry and rolldown columns available are 3M Carry, OTR 3M Roll, 3M Carry + Roll, and Carry + Roll / Stdev. The added support for swaps allows trades to conduct carry and rolldown analysis. Additionally, traders can now gain perspective into carry and rolldown performance of swaps against other security types.

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