Added 3M C+R columns and enhanced rolldown methodology, such that traders can specify the coupon differential to estimate the rolldown
For all SSA, Agency, and Provincial bond sheets the 3 month carry, rolldown, and carry + rolldown have been added as available columns. The 3 month carry is calculated using the GC repo and the 3 month rolldown is calculated using the yield roll.
The 3 month rolldown calculation methodology is as follows; first find the same ticker with a similar coupon that is as close to 3 months shorter maturity as possible. Then, calculate the yield difference and finally scale the yield difference to 3 months. The default coupon differential is up to 0.25% by default. Traders can change the coupon differential to a custom level under Preferences – Rolldown Coupon Diff