Imported from previous forum
[ original email was from Dean Kauffman - dean.kauffman@tradeweb.com ]
There are two “spread” price types currently in the spec and we need a third for rolling futures contracts – “price spread”. TBA/MBSs are an example in fixed income. The industry calls them all “spread”. An outright priced “spread” is [yield] spread to benchmark. A swap of two issued securities is usually priced yield spread even if the securities are the same with different maturity dates. A swap of a futures contract with the same commodity having a different contract settlement month is a price spread.
I propose collapsing these into a common enumeration value – “Spread” - there is no ambiguity.
[ original email was from Kevin Houstoun - kevin.houstoun@ssmb.com ]
This issue has been assigned ID PC20030411_19 and will be discussed by the Global Technical Committee
> There are two “spread” price types currently in the spec and we need a third for rolling futures contracts – “price spread”. TBA/MBSs are an example in fixed income. The industry calls them all “spread”. An outright priced “spread” is [yield] spread to benchmark. A swap of two issued securities is usually priced yield spread even if the securities are the same with different maturity dates. A swap of a futures contract with the same commodity having a different contract settlement month is a price spread.
>
> I propose collapsing these into a common enumeration value – “Spread” - there is no ambiguity.
>