Enhancement #1: Added “Reg(weeklyChg) Weight” & “Reg(weeklyChq) Weight using 2 Sprd” weight options
The weight menu has been updated to add two more weighting methods.
1- Reg(weeklyChg) Weight:
Same method as Regression (Level) while using the weekly change of yield instead. Regression weighting uses regression beta. Uses the previous 3M historical data and runs linear regression on the weekly changes of each leg.
2- Reg(weeklyChg) Weight using 2 Sprd:
Same method as Regression (Level) using 2 Sprd while using the weekly change of yield instead.
To apply these weighting methods, <right-click> on the cell under the “Weight” column and choose “Change Weight To” – “Reg Weight” - “Reg(weeklyChg) Weight”/ “Reg(weeklyChq) Weight using 2 Sprd”.
Note 1: “Reg(weeklyChg) Weight” method is available for every type of strategy, while the “Reg(weeklyChg) Weight using 2 Sprd” option is available for butterfly strategies only.
Note 2: Detailed definitions of the Regression Level will be provided upon request.
Enhancement #2: [Seasonality Analysis] Added ability to include reopening(s) for USD 20Y auctions
In this week’s release, traders can now choose the “Include Reopenings” option for USD 20Y auctions, already available for the USD 10Y and 30Y auctions.
When traders check the “Include Reopenings” checkbox and hit “Apply,” the reopenings appear on the graph as colored, dotted lines, so they can easily be distinguished from the auction.
