Power Point for Trading Packs Vs bond futures

1. Market Making Euribor Packs and Bundles
Price size
Offer 0.04 100 A Bank Lifts your 0.04 offer for 100 lots
Bid 0.02 100 B Bank Gives your 0.02 Bid for 100 lots
A We hedge by buying 200 5yr bobl futures AKA 'TED' sprd B We hedge by selling 200 5yr bobl futures AKA The 'TED' spread
Actual Hedges Actual hedges
,-100 Mar08 long Sell Mar07-Mar08 100 Mar08 Selling Buy Mar07-Mar08
,-100 jun08 versus 200 5yr bobl Buy mar08-Mar09 100 Jun08 versus 200 5yr Bobl Sell Mar08-Mar09
,-100 sep08 Buy Bobl-Bund 100 Sep08 Sell Bobl- bund
,-100 dec08 Sell Shatz-Bobl 100 Dec08 Buy Shatz-Bobl
synthetic Fundamental Risks When you want this Trade synthetic Fundamental Risks When you want this trade
Roll In an aggressive Flattening cycle Roll In an aggressive steepening cycle.
20 Curve Risk strong economic data -20 Curve Risk Weak economic Date
20 Legging Risk When Whites -reds is steepning -20 Legging Risk When Whites-Reds are Steepening
20 Credit Spread -20 Credit Spread Extremely severe Political crisis
20 Stub Risk -20 Stub Risk EG Hurrican Katrina
-80 Maturity Mismatch Overall Desciption - Flattener 80 Maturity Mismatch Overall Desciption- Steepener
-80 CTD Change 80 CTD Change
-80 80
-80 Curve Exposures 80 Curve Exposures
20 Reds-Blues Steepening -20 Reds-Blues Flattening
20 Bobl- Bund Steepening -20 Bobl-Bund Flattening
20 Whites-Reds Flattening -20 Whites-Reds Steepening
20 Shatz-Bobl flattening -20 Shatz-Bobl Steepening
20 -20
20 -20
20 -20 `
20 -20
20 -20
20 -20
20 -20
20 RED PACK vs -20
BOBL

2. Price size
Offer 0.04 100 A Bank Lifts your 0.04 offer for 100 lots
Bid 0.02 100 B Bank Gives your 0.02 Bid for 100 lots
A We hedge by buying 200 5yr bobl futures AKA 'TED' sprd B We hedge by selling 200 5yr bobl futures AKA The 'TED' spread
Actual methods of locking in profit Actual methods of locking in profit
,-100 Mar09 long Sell sep08-sep09 100 Mar09 Selling Buy sep08-sep09
,-100 jun09 versus 200 5yr bobl Sell Bobl- bund 100 Jun09 versus 200 5yr Bobl buy bobl-bund
,-100 sep09 100 Sep09
,-100 dec09 Or hedge up 100 Dec09 Or hedge up
synthetic Fundamental Risks When you want this Trade synthetic Fundamental Risks When you want this trade
Roll When the curve is Steepening Roll
20 Curve Risk Times of Crisis IE Hurrican Katrina -20 Curve Risk
20 Legging Risk International Tensions -20 Legging Risk
20 Credit Spread -20 Credit Spread
20 Stub Risk -20 Stub Risk
20 Maturity Mismatch Overall Desciption- Steepener -20 Maturity Mismatch Overall Description- Flattener
20 CTD Change -20 CTD Change
20 -20
20 Curve Exposures -20 Curve Exposures
-80 Reds-Blues Flattening 80 Reds-Blues Steepens
-80 Bobl-Bund Flattening 80 Bobl-Bund Steepens
-80 80
-80 80
20 -20
20 -20
20 -20 `
20 -20
20 -20
20 -20
20
20 GREEN PACK vs -20
-20
BOBL

3. Market Making Euribor Packs and Bundles
Price size
Offer 0.04 100 A Bank Lifts your 0.04 offer for 100 lots
Bid 0.02 100 B Bank Gives your 0.02 Bid for 100 lots
A We hedge by buying 200 5yr bobl futures AKA 'TED' sprd B We hedge by selling 200 5yr bobl futures AKA The 'TED' spread
Actual methods of locking in profit Actual methods of locking in profit
,-100 Mar09 long Sell Mar08-Mar10 100 Mar09 Selling buy Mar08-Mar10
,-100 jun09 versus 200 5yr bobl Sell Bobl- bund 100 Jun09 versus 200 5yr Bobl buy bobl-bund
,-100 sep09 sell Shatz-Bund 100 Sep09 buy Shatz-bund
,-100 dec09 Or hedge up 100 Dec09 Or hedge up
synthetic Fundamental Risks When you want this Trade synthetic Fundamental Risks When you want this trade
Roll When the curve is Steepening Roll When the curve is Steepening
20 Curve Risk Times of Crisis IE Hurrican Katrina -20 Curve Risk
20 Legging Risk International Tensions -20 Legging Risk
20 Credit Spread -20 Credit Spread
20 Stub Risk -20 Stub Risk
20 Maturity Mismatch Overall Desciption- Steepener -20 Maturity Mismatch Overall Description- Flattener
20 CTD Change -20 CTD Change
20 -20
20 Curve Exposures -20 Curve Exposures
20 Reds-Blues Flattening -20 Reds-Blues Steepens
20 Bobl-Bund Flattening -20 Bobl-Bund Steepens
20 Shatz-Bund flattening -20 Shatz-Bund steepens
20 -20
-80 80
-80 80
-80 80 `
-80 80
20 -20
20 BLUE PACK vs -20
20 -20
20 BOBL -20

4. Market maker Euribor Packs Vs 2-year Shatz
Price Size
Offer 0.04 100 A Bank Lifts your 0.04 offer for 100 lots
Bid 0.02 100 B Bank Gives your 0.02 Bid for 100 lots
Actual Hedges Actual Hedges
-100 long Sell m7-m8 100 short Buy m7-m8
-100 versus 500 shatz Sell Shatz-Bobl 100 versus 500 shatz Buy Shatz- Bobl
-100 Buy some outright z7 100 sell some outright z7
-100 100
synthetic we hedge by buying 500 2 yr Shatz futures AKA 'TED' sprd synthetic we hedge by selling 500 2 yr shatz futures AKA 'TED' sprd
50 Risks when you want this trade -50 Risks When you want this trade
50 Roll In a bear Market -50 Roll In a bull Market
50 Curve Risk -50 Curve Risk
50 Legging Risk -50 Legging Risk
-50 Credit Spread 50 Credit Spread
-50 Stub Risk 50 Stub Risk
-50 Maturity Mismatch
Market Bearish
50 Maturity Mismatch
Market Bullish
-50 CTD Change 50 CTD Change
Curve Exposure Curve Exposure
Whites-Reds Flattening Whites Red-Steepening
Shatz-Bobl Flattening
Upward moving market
RED PACK vs Shatz-Bobl Steepening
Downward moving Market
Reds Blues Steepens
SHATZ Reds Blues flattening

5. WHITE PACK vs
SHATZ
Market maker Euribor Packs Vs 2-year Shatz
Price Size
Offer 0.04 100 A Bank Lifts your 0.04 offer for 100 lots
Bid 0.02 100 B Bank Gives your 0.02 Bid for 100 lots
Actual Hedges Actual Hedges
-100 long Buy m7-m8 100 short Sell m7-m8
-100 versus 500 shatz Buy Shatz- Bobl 100 versus 500 shatz Sell Shatz-Bobl
-100 sell some outright z7 100 Buy some outright z7
-100 100
synthetic we hedge by buying 500 2 yr Shatz futures AKA 'TED' sprd synthetic we hedge by selling 500 2 yr shatz futures AKA 'TED' sprd
-50 Risks when you want this trade 50 Risks When you want this trade
-50 Roll In a Bull Market 50 Roll In a Bear Market
-50 Curve Risk 50 Curve Risk
-50 Legging Risk 50 Legging Risk
50 Credit Spread -50 Credit Spread
50 Stub Risk -50 Stub Risk
50 Maturity Mismatch
Market Bullish
-50 Maturity Mismatch
Market Bearish
50 CTD Change -50 CTD Change
Curve Exposure Curve Exposure
Whites Red-Steepening Whites-Reds Flattening
Shatz-Bobl Steepening Shatz-Bobl Steepening
Downward moving Market Upward Moving Market
Reds Blues flattening Reds-Blues Steepening