Sprd/Bfly Enhancements | Weekly Release 7/10/20

Enhancement #1

Enhanced historical graphs with an added flag for traders to see roll adjusted historical data with or without decay

When analyzing specific bonds, the historical data could be short term depending on how long the bond has been active. In the historical graph, the trader has the option to switch the historical data to generic and whether to apply the roll adjustment.

To complete the customization, the option whether to decay the roll adjustment has been added. This way the trader can see the trend of the historical data without the possible distortion of the roll adjustment decay.

Enhancement #2

Added new option to set price ratio method (also available in Swap Box)

Traders have the option to set the price ratio method under “Preferences” – “PX Ratio Method” – “Spot/Respective Delivery Date/Furthest date”. These settings will affect the Px Ratio column. Given the “Px Ratio Method” options (Spot; Respective Delivery Date; Furthest Date), the instrument DV01 definitions are listed below:


Bond

  • Spot/Respective Delivery Date: DV01 settled at spot date

  • Furthest Date: FDV01 settled at the furthest settle date across all legs

Bond Future

  • Spot: DV01 settled at spot date

  • Respective Delivery Date: FDV01 settled at the bond future delivery date

  • Furthest Date: FDV01 settled at the furthest settle date across all legs

Bond Future/Bond example

Taking TY1/CT10 as the example.

1000 contract TY1 has Spot DV01 89283 and FDV01 86294

100MM notional CT10 has Spot DV01 95521 and FDV01 93404

For Spot Method, the Px Ratio is -1/(89283/95521) = -1/0.9347


For Respective Delivery Date Method, the Px Ratio is -1/(86294/95521) = -1/0.9034

For Furthest Date Method, the Px Ratio is -1/(86294/93404) = -1/0.9239

Enhancement #3

Updated CIX string generator to be based on the price ratio method (also updated in Swap Box)

The CIX string generator will be tied to the Px Ratio. This way traders have the option to generate the appropriate string.


Enhancement #4

Enhanced alert options by adding support for invoice yield, invoice spread, OIS spread, ASW spread, and CMT RVS change on day measures

To help traders monitor big movements in the market in the Invoice Spreads, alerts have been added. This way RiskVal will notify the trader of large movements opposed to having the watch the table.


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