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Future CTD Analysis Enhancements | Weekly Release 4/28/2023

Enhancement #1: [EUR] Updated the delivery basket to accommodate the minimum day rule

Future contracts as of December 2022, have a new rule: For a Bond to qualify as a CTD, with the qualifying term and issuance volume, it must now also be issued before the first day of the month of the previous cycle’s Future Expiry. This rule applies to EUR Future Contracts in Germany, Italy, France, and Spain.

Example: DUM3, has a delivery date of June 12th, 2023.

The previous future cycle was DUH3, with the delivery of March 10th, 2023.

In this case, for a bond to qualify to be a CTD, given the qualifying term and issuance volume, must also be issued before March 1st, 2023, which is the 1st day of the delivery month of the previous cycle’s Future Contract

Enhancement #2: Automatically lock the “Fut Px” with the scenario price for further analysis

In this week’s release, the Future Price (“Fut Px”) will automatically lock to the simulation price, when traders set the scenario analysis as the live by clicking the “Apply” button on the bottom of the scenario column.

To remove the “Fut Px” column override, please click the “Reset” button located under the “Yld Factor” column.


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