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Future CTD Scenario Analysis Enhancement | Weekly Release 10/22/21

Added three more futures with different delivery baskets

Traders looking at potential 20-year futures, now have option to enter three more contracts. RiskVal added support for “NTB[H/M/U/Z] [1/2], “NTC[H/M/U/Z][1/2]” and “NTU[H/M/U/Z][1/2]” formats.

Once the future is entered in the Future CTD, the deliverables will load in the middle section of the sheet. Click on “Use 0 NetBasis Px” to back out the future price, setting the potential CTD’s net basis to “Zero”.

Once the Future Price is available, the “Yld drop”, “Gross Basis”, “Implied Repo Rate” and “Net Basis” will be available for the bonds in the basket.

Finally, if there is a bond missing from the delivery basket, traders have the option to add the bond in from the “Edit” - “Add Bond” menu.


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