Sprd/Bfly Enhancements | Weekly Release 5/1/20

Enhancement #1


Added a “Beta dSprd” column to estimate what the expected change of day of the strategy would be based on its correlation to the benchmark

The new “Beta dSrpd” column is calculated by multiplying the strategy’s Beta against the dSprd of the benchmark. This allows traders to see what the expected change of day of the strategy would be based on its correlation to the benchmark.

The following example is for the TU1/UXY1 spread strategy with the benchmark curve set to 2/10. The live 2/10 Beta for the TU1/UXY1 strategy is 1.10 and the daily change of spread of the 2/10 strategy is -1.9. 1.10 multiplied by -1.9 rounded to one decimal place is -2.1, which is shown in the “2/10 Beta dSprd” column.

Enhancement #2


Added support for new indices: LBUSTRUU, LBEATREU, DCPB090Y to see the levels of the aggregated total return value unhedged for USD and EUR, and the Dealer Commercial Paper index.


Traders can now enter the indexes: LBUSTRUU, LBEATREU, DCPB090Y directly in the “Sprd Bfly” column.

This allows traders to easily see the levels of the aggregated total return value unhedged for USD and EUR, and the Dealer Commercial Paper index. These are aggregated bond indexes based on benchmark bonds (including USD & EUR treasuries, MBS, and commercial paper).

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