Schatz/Bund basis point value?

[traceyjc]

Hey out there

In need of an answer asap...

If you have a Schatz/Bund spread on with a ratio of 9 Schatz to 2 Bunds

What is the value amount that the spread will change if the spread moves 1 basis point?

I've calculated €90 but am not sure. It's urgent so any replies would be much appreciated!

Cheers

JT

 

[Martinghoul]

I see these weights as slightly mismatched, i.e. you have some outright directional exposure. However, I see this worth EUR181 or EUR187, depending on how you wanna look at your outright risk (this is spot duration).

 

[traceyjc]

Thanks for the reply, would you see the ratio more as 5:1? That's what I was told but bloomberg is giving a ratio of 1:4.364 so I went with 9:2. I'd rather be exposed to higher bund price though.

Could I ask how you calculated this?

 

[Martinghoul]

Thanks for the reply, would you see the ratio more as 5:1? That's what I was told but bloomberg is giving a ratio of 1:4.364 so I went with 9:2. I'd rather be exposed to higher bund price though.

Could I ask how you calculated this?

I used BBG (which gives the same ratio you see), but I also look at the CTD duration implied by the contract px/conversion factor at the maturity of the contract. It's a trivial calculation.