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Forward Swap Matrix Enhancements | Weekly Release 8/14/20

Enhancement #1

Added historical data to Expected Return and Mean Reversion Return fields in RV Analysis (also in Basis Swap Monitor)

In this enhancement, historical data graphs have been added for the Expected Return and MR (mean reversion) Return columns in the RV Analysis windows.

To view the historical charts for the Expected Return and MR Return columns in this window, first click “Analysis” from the sheets’ menu bar then “RV Analysis”. In the popup window, select either the “Spread” or “Butterfly” tab for the preferred strategy type. Then set the desired parameters pertaining to trade type, forward/tail range, spread distance, and weighting. Lastly, click the “Generate Strategies” button and the table will populate. Traders can then double click on any cell in the Expected Return or MR Return columns to view the historical data.


Enhancement #2

Enhanced RV Analysis to generate top performing strategies with positive carry and rolldown flag

This newly added flag allows traders to set a preference such that all strategies will maintain a positive 3-month carry and roll down. This is done by rearranging the legs of the curve such that the strategy has a positive carry and rolldown. The default weighting is maintained so that traders don’t have to keep track of those changes and instead can focus on the strategy curves. The default weightings are: -1/1 for spread flatteners, 1/-1 for spread steepeners, -1/2/-1 for long belly butterflies, and 1/-2/1 for short belly butterflies.

Traders can enable this preference in the RV Analysis of the Forward Swap Matrix. This window can be opened in the same manner as mentioned in the first enhancement; select “RV Analysis” from the “Analysis” drop-down to open the window with more advanced settings though. In the pop-up window under the “Method Settings” section there is a box that can be checked labeled “Same Direction C+R”. Check this box on to re-arrange strategy legs to for a positive carry and rolldown value or uncheck it to leave the default strategies unchanged.


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