Sprd/Bfly Matrix Enhancements | Weekly Release 5/22/20

Enhancement #1

Added Key Risk (cashflow) weighting as an option under the Weight column for butterfly strategies containing a combination of bond and bond future strategies

Key Risk (cashflow) weighting option is done by using the DV01 weight calculated by the key rates of the middle security (B) on the first security (A) with the third security (C) as fitting points for butterfly strategy “A/B/C”. The breakdown for how the weight is calculated using this method is shown below.

Product 1/Product 2/Product 3:

Calculate the key risk of product 2 with the product 1 and product 3 as the key risk buckets.

For bond product, key risk bucket is bond’s maturity

For bond future product, key risk bucket is the CTD’s maturity

Risk 1 = Key risk of product 2 at bucket of product 1

Risk 2 = Key risk of product 2 at bucket of product 2

Weight1 = -1 * Risk1 / (Risk1 + Risk 2)

Weight2 = 1

Weight3 = -1 * Risk2 / (Risk1 + Risk 2)

Enhancement #2

Added support for EONIA, SONIA, and ccy GC repo rates

To help STIR traders view the repo rates of different countries on one page, such as the EONIA and SONIA, they have been added to the Sprd/Bfly.

In the screenshot below, see how in the EUR Sprd Bfly, supports the USD rates and the USD Sprd/Bfly supports EUR, GBP, CAD. JPY is also supported.