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”
