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Bond Roll Enhancement | Weekly Release 10/30/20

Added a “0 Fly Yld” column to allow traders to select two bonds to create butterflies by using the bonds in between as the belly for each line

Using the “0 Fly Yld” column, traders can enter two zeros and calculate/plot butterfly strategies. Two fixed bonds will be wings, and belly will be one of the strategies with maturity in between wings.

In the example below, trader can enter “0” for 2.0 May-24 and 2.25 Oct-24 (two wings), and RVFI will automatically create butterfly strategies. Belly of the butterfly strategy will be bond with maturity between previously selected two wings (2% May-24 and 2.25% Oct-24).

To plot a butterfly graph, traders can double click on the belly and RVFI will automatically create a popup graph. From there, traders can send their strategy to the Swap Box or Sprd/Bfly sheets using options in the lower right corner.

  1. When traders select two wings by entering “0”, two fields will turn pink to indicate that they are selected wings, see screenshot below

  2. Traders can choose to build the Bfly off Yld/ASW/CMT/etc., from the “Preferences” - “Zero Bfly” – “Zero Butterfly 1 Type” - <metric>

  3. Bfly weight can be customized under “Preferences” - “Zero Bfly” – “Default Butterfly Weight” - <selected weight>


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