Future CTD enhancement | Weekly Release 10/21/22

Enhancement #1: NTY ticker has been added to reflect newly proposed TY future specs

In this week’s release RiskVal added support for re-defined TY future that has been proposed by CME Group. Traders can enter “NTY1” & “NTY2” futures & hit “Calc Prob” to load possible deliverable baskets & present the probability distribution.

Due to partial overlapping of the Ultra 10-Year (ranging from 9y5mo to 10 years) & the Classic 10- Year baskets (ranging from 6y6mo to 10 years), CME Group is proposing the longest maturity for NTY future to be 7y9 mo. (Source: CME Group)*

*Discussion Paper: Delivery Baskets for U.S. Treasury Futures Managing interaction of TY and Ultra 10 futures. CME Group. (n.d.). Retrieved October 21, 2022, from https://www.cmegroup.com/articles/files/2022/10-year-ty-delivery-basket-proposal.pdf?utm_source=pardot&utm_medium=email&utm_campaign=ty_basket&utm_kxconfid=vpwpdpbbo

Enhancement 2: Added ability to select/unselect multiple WIs at once

Traders can now select and unselect multiple WI bonds and treasury bonds in the delivery basket to have more flexibility for delivery probability calculation, including the scenario analysis.

To select multiple bonds, traders can hold <ctrl> and click on the desired bonds under the header column to select the bond group, then <right click> on the “X” column and select “Check/Uncheck Highlighted Rows”. Unselected bonds will be moved to the bottom of the table. Traders can then click on “Calc Basis” and “Calc Prob” buttons to recalculate the delivery probability and basis.

Note: Traders need to have “Include WI” checked to include WI bonds in the delivery basket.