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Future CTD Analysis Enhancements | Weekly Release 11/10/2023

#1 Added set of columns to calculate weighted number of future contracts using cheapest to deliver “Wght DV01”

In this week’s release, Riskval added the “HG Bond Notional MM” & “HG Fut Wgt K” columns in the “Future CTD Scenario Analysis” window. Traders can enter the bond notional amount in the “HG Bond Notional MM” column and view the weighted amount of future contracts based on the bond notional, forward DV01, Contract Size, and Weighted DV01. The calculation method for the “HG Fut Wgt K” is as follows:

HG Fut Wgt K = HG Bond Notional MM * 1000000 * FDV01 / Contract Size /Wgt DV01

#2 Added option to change lookback period for the PCA analysis

Traders can now adjust the PCA Analysis lookback period in “Preferences” – “PCA Lookback Period” menu. Traders can choose from “3M”, “6M”, “9M”, and “1Y”.

Note: The bottom table will be updated with the new size in bps for each maturity year.


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