Sprd/Bfly Enhancements | Weekly Release 7/3/20

Enhancement #1

Added Enhanced weighting column and options by adding a “Notional Neutral Weighted” method

Notional Neutral Weight applies to spread & butterfly strategies. Calculated by the DV01 ratios. For the spread, normalizing the weight2 to 1; for the butterfly, normalizing the belly to 2.

Bond1/Bond2: Weight1 = -1 * bond1 dv01 / bond2 dv01

Weight2 = 1

Bond1/Bond2/Bond3:

Weight1 = -1 * bond1 spot DV01 / bond2 spot DV01

Weight2 = 2

Weight3 = -1 * bond3 spot DV01 / bond2 spot DV01

Example: 2/3/5

$100,000,000 CT2 Spot DV01 = 19903

$100,000,000 CT3 Spot DV01 = 29489

$100,000,000 CT5 Spot DV01 = 49485

Weight1 = -1 * 19903 / 29489 = -0.6749

Weight2 = 2

Weight3 = -1 * 49485 / 29489 = -1.6781

Bond1/Bond Future1:

bond2 = CTD of BondFuture1

BondFuture1 spot dv01 = bond2 spot dv01 / Conversion Factor

Weight1 = -1 * bond1 spot dv01 / BondFuture1 spot dv01

Weight2 = 1

To calculate the “Notional Neutral Weight <right click> under the “weight” column and select the “Change to Notional Neutral Weight


Enhancement #2

Added an “IVSP SOFR YY” column

To help short end trader see the Futures’ Invoice spread to the Matched Maturity SOFR, the “IVSP SOFR YY” has been added. When the strategy contains a Future-Bond basis trade, the flag “Preferences” – “Sprd of Inv Sprd” – “Repo to the furthest date/Respective Delivery Date


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