USD Sprd/Bfly Enhancements | Weekly Release 10/29/21

Enhancements:

o Added SSprd YY real time chart (“SSprd YY Chart”)

o Added “IVSPS YY” & “IVSPS Z” heatmap & z-score columns

o Added “IVSPS 2BD/3BD/5BD/10BD/1M dYY” columns


To further transition from OIS to SOFR, a few more columns were added to the USD Sprd/Bfly.

Enhancement: Added historical data for IVSPS YY column when "Preferences" - "Sprd of Inv Sprd" set to "Respective Delivery Date"


In the Sprd/Bfly when the setting the “Sprd of Inv Sprd” to the “Respective Delivery Date”, spreads such as the 2year spread to the TU1 future, will show historical data in the columns such as “IVSPS YY”. This historical graph will show the spread of the two-year SOFR spread to the SOFR Invoice Spread of the TU1 future.