Bond Roll – RV Analysis Enhancements | Weekly Release 8/6/21


Enhancement #1


Added Mean Reversion Frequency, “MR Freq”, column to show how many times the data crossed the 3-month mean


This new “MR Freq” (Mean Reversion Frequency) column will show how many times the data has crossed the 3-month mean in the past 3-month period.

If we take a look at the flattening 2.75 723/1.25 824, we could see the trade has a “MR Freq” of 5. This means the data has reverted and crossed the mean 5 times in the past 3 months, as seen in the historical graph below.

Enhancement #2


Added “Exp Ret-CT MR” & “CTSprd MR Ret” columns, also available in “Sort By” dropdown


Exp Ret-CT MR” and “CTSprd MR Ret” columns, already available in the Sprd/Bfly sheet, have been added to RV Analysis.

These columns were also added to the "Sort By" dropdown. After selecting "CT Sprd MR Ret" from the dropdown, for example, hit "Generate Strategies". The results will be filtered from greatest CT Sprd MR Ret to lowest CT Sprd MR Ret.

Enhancement #3


Max tolerance has been extended from 12 months to 10 years


The maximum tolerance that can be selected from the “Tolerance” dropdown has been extended up to 10 years.


When trying to match up bonds given a set length of time between the maturities, the Spreads or Butterflies may not generate the optimal strategies. Tolerance will allow the length of time between the maturities of the bonds to be more flexible.


In the sample below, we can see the top Steepening trade, in which the two legs have maturities 6 years apart, was included in the results since the Tolerance was set to 10 years.