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Sprd/Bfly Enhancements | Weekly Release 4/2/21

Enhancement #1

Added regression weights based on daily change OISprd Z, OISprd Z-score, and OISprd Z standard deviation

Enhanced RiskVal’s Sprd/bfly sheet, with OIS Spread Z weighing methods.

Traders can <right-click> on the "Weight" column and select "Change Weight To" - "Regression (dChangeOISprdZ) Weight", ""Regression (OISprdZZS) Weight", and "Regression (OISprdZStdev) Weight" options.


Enhancement #2

Added columns to calculate the CT spread mean reversion return “CTSprd MR Ret" and the difference of expected return and CT mean reversion return “Exp Ret – CT MR"

When bond yields move directionally, many bonds may show "artificially" large simple mean reversion return in Sprd/Bfly. Now traders can easily view the mean reversion return of any bond in excess of the move in that bond's benchmark OTR to better understand their trading strategy's potential return.

From "Table" - "Manage Columns", traders can add "CTSprd MR Return" and "Exp Ret-CT MR" columns to their view.


Enhancement #2

Added “ASW dP”, “ASW P rich/cheap heatmap”, and “ASW P ZS”, “ASW P Diff” and “ASW P Diff ZS” columns for TIPS bonds

Under the “default-TIPS” view, traders can find “ASW dP”, “ASW P rich/cheap heatmap”, and “ASW P ZS” columns.

To add “ASW P Diff” and “ASW P Diff ZS” columns to their views, traders click on “Table” – “Manage Columns” and search for “ASW P Diff” before adding columns to their view.


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