USD Agency FRN Enhancement | Weekly Release 6/11/21


Enhancement #1


Added support for comparison between MM Bond’s SOFR ASW Z and the Agency FRN’s SOFR ASW Z by adding the "MM Bullet SOSprd Z", "SOSprd Z Diff", "dSOSprd Z Diff", "SOSprd Z Diff Rich-Chp", "SOSprd Z Diff ZS" columns


Traders can see the MM Bullet SOFR Z Spread as a separate column, in addition see the Agency FRN SOFR Z and the MM Bullet SOFR Z along with its daily change, rich-cheap heatmap, and Z-score.


These columns are available in the default view.

Should the trader be on a customized view, to add these columns, click “Table” – “Manage Columns” and search for “SOSprd”. They will highlight yellow in “Available Columns”. Move them to “Displayed Columns” and click “Save As” to create a new user view, or “Save” to add these columns to the current view.

Enhancement #2


Added the ability to filter the sheet by Index, such as SOFR


Added an “Index” button where traders can choose to display FEDFUND, LIB1M, LIB3M, or SOFR indexed FRNs. After selecting the desired index or indices, click “Apply”. The sheet will automatically be filtered to show bonds of the selected index or indices.

Enhancement #3


Added the Discount Margin change on day and heatmap, also available in the USD FRN and the IT FRN CCTS


Added the “DM Rich-Chp” and “DM ZS” columns to show the where the live value is with the last three months and how many standard deviations it is to the 3m mean.To add these columns, click “Table” – “Manage Columns” menu.