Enhancement #1
Added “Apply” function for scenarios to bump yields accordingly
For traders who would like to price the future based off the scenario analysis, they can apply the parallel shift set to each bond in the delivery basket. Once that is set, click on the “calc basis” to price the net basis. Finally, click on “use 0 Net Basis” to price the future off the new CTD based on the scenario. See details below:
For the Scenario Analysis section in Future CTD, an “Apply” function has been added for each scenario (“Scen1”, “Scen2”, & “Scen3”).
Click “Apply”. This will bump the “Yld” column of each bond in the delivery basket by the curve bump set in the corresponding scenario. Traders can override these scenario curve bump columns. The prices of the delivery basket will be recalculated based on recalculated yields. (See below for Scenario Analysis notes).
Click “Calc Basis” to calculate the net basis of the delivery basket. The basket will be re-ordered based on lowest net basis.
Click “Calc Prob” to calculate CTD probability.
The “Dlv Scen Std” column shows the number of standard deviations the curve would have to shift (if parallel change) or change in slope (if steepening or flattening) for there to be a change in CTD. Traders can see how many basis points equates to a one standard deviation change in the table at the bottom of the sheet.
Notes on Scenario Analysis:
The columns ("Scen1 HBasis", "Scen2 HBasis", & "Scen3 HBasis") are the net basis scenario analysis, which are mapped to the "Scen1", "Scen2", and "Scen3" columns in the upper left table. Traders can use these columns to analyze how the net basis changes when applying a parallel shock to the yield curve.
The scenario inputs (in the "Scen1", "Scen2", and "Scen3" columns) indicate market sell offs (positive number) or rallies (negative number) in bp. In other words, parallel shocks to the curve that are set to -50 (50bp rally), -25 (25bp rally), & 50 (50bp sell off) by default. Traders can override these cells.
For each scenario, "Scen1 HBasis", "Scen2 HBasis", & "Scen3 HBasis" columns will be updated accordingly. The expected CTD is highlighted in yellow with a NB of 0.
We show the NB at the dlv date for every other bond, so you can see how the NB changes as the yld curve shifts. The closer a bond is to zero the more likely it is to switch the current predicted CTD to become the new CTD.
Enhancement #2
Added ability to override “Yld” column
Traders can now override the “Yld” column. “Px” column will be recalculated automatically.
Note: Pink cells indicate the cell has been overridden
Enhancement #3
Added the ability to pop out the tabs
To pop out a tab, <right-click> on the tab name & choose “Pop Out Tab”. The tab will open as a new tab in trader’s floating window.
Note: To pop this tab back into the Future CTD sheet in the main window, right click on the tab & click “Close Tab”.