UBS Fixed Income-Global Rates Strategy _JuneSep Treasury Futures Rolls_ Cloh...-108232748

报告摘要

Global Research and Evidence Lab June/Sep Treasury Futures Rolls Significant switch potential in US and WN, uncertainty in TY

核心要点

7.1% increase in DV01.

报告信息

文件全名: 《UBS Fixed Income-Global Rates Strategy _JuneSep Treasury Futures Rolls_ Cloh...-108232748.pdf》
适合读者: 战略规划行业研究员
核心数据: about 5.5%. A 25bp selloff would shift the September CTD from the Feb 40s to the Feb
41s (a 3.7% jump in DV01). Where it gets very interesting is on a 33bp selloff the
CTD switches to the Nov 42s, causing a 14.4% increase in DV01. That duration shift
the Nov 53s to the Aug 49s. That would push the DV01 of the contract up 7.4%. The
7.1% increase in DV01.
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《UBS Fixed Income-Global Rates Strategy _JuneSep Treasury Futures Rolls_ Cloh...-108232748》主要包含哪些内容?

Global Research and Evidence Lab June/Sep Treasury Futures Rolls Significant switch potential in US and WN, uncertainty in TY核心数据:about 5.5%. A 25bp selloff would shift the September CTD from the Feb 40s to the Feb;41s (a 3.7% jump in DV01). Where it gets very interesting is on a 33bp selloff the;CTD switches to the Nov 42s, causing a 14.4% increase in DV01. That duration shift。

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