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Autospreader

How to Submit a Yield Spread

The following procedure explains how to configure X_TRADER and Autospreader to submit a Yield Spread.

To submit a Yield Spread:

  1. Open an MD Trader window.
  2. Right-click and select Properties from the context menu.
  3. In the MD Properties window, select Advanced.
  4. Under the User-Defined Price section, verify that the Enable User-Defined Price Column checkbox is enabled. This allows MD Trader to correctly display yield prices.
  5. Click Apply to save the configuration. Select OK to exit the MD Properties window.
  6. Open the Autospreader window.
  7. Select Yield in the Based On dropdown.
  8. Configure the parameters for each leg of the yield spread. This includes selecting the Contract, Customer Account, Spread Ratio, and, Spread Multiplier.
  9. In the Yield section, select the Yield Type.
  10. Select the Config button in the Custom Config section to enter the custom values for each leg of the spread. For a description of the various options, refer to Custom Configuration Options.

Custom Configuration Options

X_TRADER 7.17.30 and higher contain new options for setting yield conversions in Autospreader. The table below provides an explaination of the available options.

Note: The available configurations differ by yield type.

Custom Config Options for Yield Spreads

Variable

Description

Dates

Contract Date

The bond futures contract date. This value must be less than the maturity date.

Delivery Date

The date to deliver the contract/termination date. This value must be greater than the settlement date and less than the maturity date.

First Coupon Date

The real first coupon payment date after bond issue date. This value must be greater than the issue date and less than maturity date.

Issue Date

The bond issue date. Must be less than the futures delivery date.

Maturity Date

The redemption date of the bond. This value must be less than the futures delivery date.

Settlement Date

The date when the security is traded to the buyer. This value must be less than delivery date.

Settlement Date Type

Either:

  • Rolling
  • Absolute

Prices

Futures Price

The price of the futures contract.

Price

The bond or contract price.

Spot Price

The contract price.

Rate and Basis Values

Coupon

The annual coupon rate as a whole number (e.g, 8.5).

Repo Rate

The reinvest/financing rate. This value must equal a decimal value between -1 and 1.

IRP

Implied Repo Rate

Basis Type

Either:

  • Target IRP
  • Gross Basis (Decimal)

Basis Value

The value of either the Target IRP or the Gross Basis as set by the Basis Type. This value must be a decimal between 0 and 1 (e.g., 0.0001).

Additional Fields

Day Count Basis

Sets the number of days in the ‘year’ for the contract. This field provides the following values:

  • US/PSA 30/360
  • Actual/Actual
  • Actual/360
  • Actual/365
  • Europe 30/360

Frequency

The bond payment frequency. Set frequency equal to either Annual, SemiAnnual, or, Quarterly.

Futures Conversion Factor

Contract type used for futures conversion factor’s calculation.

Is Ultra Bond

Set whether the bond is a German Ultrabond. X_TRADER uses this information to calculate the notional yield.