SOFR - 2YR

Discussion in 'Fixed Income' started by killATwill, Apr 20, 2023.

  1. killATwill

    killATwill

    Anyone know about how to balance a SOFR 2YR spread? How many 2Yrs per SOFR contract?

    Thx
     
    #1     Apr 20, 2023
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  2. MrMuppet

    MrMuppet

    Depends. How do you want to structure the trade? DV01 adjusted?
     
    #2     Apr 20, 2023
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  3. killATwill

    killATwill

    Thx for responding. Looking at the March 2024 contract for SOFR. Just balancing based on size of contracts.
     
    #3     Apr 20, 2023
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  4. Repoguy

    Repoguy

    Cash 2yr 3 7/8 3/25 = 7 SFRH24
    or with TUM3 its 8 SFRH24 vs 5 TUM3
    rough estimates DO NOT USE with out checking first !!!
     
    #4     Apr 20, 2023
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  5. Repoguy

    Repoguy

    Normally when I trade 2yr's vs sofr I use 2yr SOFR bundles at 1X1 much cleaner
     
    #5     Apr 20, 2023
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  6. killATwill

    killATwill

    Thx so in your example 1 ZT is worth 8/5 SQ?
     
    #6     Apr 20, 2023
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  7. Repoguy

    Repoguy

    Yes, But slippage will happen your looking at H24 spot on the curve vs 2yr's and of course trading ratio in whole # of contracts.
     
    #7     Apr 20, 2023
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