Sprd/Bfly Enhancements | Weekly Release 7/24/20

Enhancement #1


Updated the “Px Ratio Sign” preferences to have three options: Sprd, Bfly, and Rest (also in Swap Box)

With this enhancement, the Price Ratio Sign preference has been split into three options based on the strategy type. The split is for spread strategies, butterfly strategies, and all other types of strategies. Previously, this option was unconfigurable and traders could only set one price ratio preference for all strategy types. Now, traders can choose to either keep the price ratio consistent with the weighting of the strategy or keep the first leg of the strategy positive.

To set the preferred price ratio signs in the Sprd/Bfly monitor, first click the local “Preferences” drop-down menu. The hover over “Px Ratio Sign”, followed by either spread, butterfly, or rest (for all other strategy types) depending on the strategy. Finally, select either “Consistent With Wgt” or “Keep 1st Leg Positive”.

Enhancement #2


Added new weighting method “Modified Duration Sync Fwd”

The new weighting method uses the Synthetic Forward Yield weighting method but with modified duration as the risk instead of DV01. A key advantage of this weighting method is that it allows traders to weight strategies with bond futures based on modified duration. The existing Modified Duration weighting method could only be applied to strategies with exclusively bonds as legs. The new Synthetic Forward Yield weighting method supports both bonds and bond futures. Traders can set their weighting preferences by right clicking in the cell for the strategy of interest under the “Weight” column and choosing “Change to Sync Fwd ModifiedDuration Weight”.

The equation for the weighting method generically is: [(Modified duration of further maturity bond * yield – modified duration of shorter maturity bond * yield)]/(modified duration of leg 2 – modified duration of leg 1). The equation for bond and bond future spread and butterfly strategies are shown below.

Bond1/Bond2:

Weight1 = -1 * bond1 modified duration / (bond2 modified duration – bond1 modified duration)

Weight2 = bond2 modified duration / (bond2 modified duration – bond1 modified duration)

Bond1/Bond2/Bond3:

Base = 2 * bond2 modified duration – bond1 modified duration – bond3 modified duration

Weight1 = -1 * bond1 modified duration / Base

Weight2 = 2 * bond2 modified duration / Base

Weight3 = -1 * bond3 modified duration / Base

Bond1/Bond Future1:

bond2 = CTD of BondFuture1

Weight1 = -1 * bond1 modified duration / (bond2 modified duration – bond1 modified duration)

Weight2 = bond2 modified duration / (bond2 modified duration – bond1 modified duration)

Enhancement #3


[EUR] Added the high & low coupon color preference option as an extension to the EUR Bond color management

Traders now have the ability to set color preferences split between high and low coupon bonds in the EUR Sprd/Bfly monitor as they can in the EUR Bond sheet. Like in the EUR Bond sheet, the color preferences can be found under the “Format” drop-down then by selecting “Color Management”. The color management window in EUR Sprd/Bfly will be familiar to traders who have used it in EUR Bond as it has the same layout and function.

Additionally, traders who have already set color preferences in the EUR Bond will have those preferences preserved in the EUR Sprd/Bfly color management. The following example shows the existing color preferences from EUR Bond being applied to the Sprd/Bfly window as well. It shows the German bond universe being split into low coupon bonds (below 4%) colored red, and high coupon bonds (4% or greater) colored blue.

Of note: in instances in which there are multiple bonds of different coupon levels the priority first goes to the positively weighted leg and then the further maturity bond if there are multiple positively weighted legs. In practice, this means for spread strategies in which one leg is a low coupon bond and the other leg is a high coupon bond, the color priority will go to the leg with the positive weight.

This is different for butterfly and condor strategies which often have multiple positively weighted legs. In these instances, the leg with the furthest maturity will be prioritized in setting the color. The example below shows two spread strategies where the positive leg controls the coloring of the header.

Enhancement #4


[EUR] Added the generic 20yr French bond (also in CT window)

This enhancement allows traders to plot the generic 20-year French bond in the EUR Sprd/Bfly window. Traders will have the ability to enable roll adjustment and set the preferred method under the Preferences – Graph – Roll Adj Method or in a historical graph.

The OTR 20 year French bond can also be found under Market View – CT – EUR – FRF. In this tab users can find all French OTR bonds up to the third old generic bond, as well as other countries OTR bonds.


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