DV01s for Eurex / Liffe IR Products?

J

jonny1lot

Does anyone know where to find the DV01s for the Eurex/Liffe interest rate products? I'd like to look at spreading 2/5/10 year Treasury notes against Schatz/Bobl/Bund or US NOB vs Bund/Buxl or TUT vs Schatz/Bund?

Thanks in advance for your help!
 
jonny1lot said:
Does anyone know where to find the DV01s for the Eurex/Liffe interest rate products? I'd like to look at spreading 2/5/10 year Treasury notes against Schatz/Bobl/Bund or US NOB vs Bund/Buxl or TUT vs Schatz/Bund?

Thanks in advance for your help!
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Although you can get complicated about this, the most straightforward to get DV01 for a fixed income futures contract is the following:

DV01_futures = DV01_ctd / conversion_factor

So, you need to know the current cheapest-to-deliver issue for the contract. Find the DV01 of that note/bond. then take that and multiply it by the conversion factor of the note/bond for that contract. When I had a bloomberg all this information was readily available, but I'm not sure if it is available otherwise.

The other thing you can do is regress daily 10-year yields against daily changes in futures prices. The beta from the regression will give you your futures DV01.
 
jonny1lot said:
Does anyone know where to find the DV01s for the Eurex/Liffe interest rate products? I'd like to look at spreading 2/5/10 year Treasury notes against Schatz/Bobl/Bund or US NOB vs Bund/Buxl or TUT vs Schatz/Bund?

Thanks in advance for your help!
More...


These may be wrong now, but here.

As of July 2015:
EUROS. You must Convert to dollars
Schatz: 21.70
Bobl: 57.65
Bund: 122.97
Buxl: 246.072
 
Thanks everyone for the feedback. I was able to find the conversion factors for each product, but not the CTD DV01s. That might be something only available on a Bloomberg terminal.

I'm also wondering if I can find the clearing / margins for the spread products and work backward from there.
 
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