A question on Bbg PV01 risk for Swedish Govt Bond Futures.
These have a 1-1 conversion to the (single) deliverable bond at expiry, so I would have thought that PV01 should be based on the forward risk of the deliverable bond - this is the sort of method Bbg typically uses for Bund futures etc (of course they have a conversion factor <> 1 that also needs to be factored in).
However, Swedish Govt Bond Futures are yield-quoted (eg instead of the price, you quote the yield, and use a price/yield on the 6%/n-year base contract bond to get the price). And Bbg shows PV01 based on this price/yield conversion rather than looking at the deliverable bond.
The difference can be substantial. Eg if it's a 2-year future and the deliverable bond is 1.5 years long, then PV01 on a normal bund-like calculation will be something like 75% of the PV01 on the method Bbg is using here. Also the use of a 6% coupon in the Bbg PV01 calculation instead of the actual deliverable bond's coupon causes discrepancies for the longer-dated futures.
I am pursuing Bbg on this, but based on previous experience I am not hopeful of their providing a sensible explanation. Any ideas why the Bbg approach might actually make sense here? Or are they just being lame? I'm trying to keep an open mind, but I can't see why they'd be doing this.