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Future CTD Scenario Analysis Enhancement| Weekly Release 5/3/2024

# 1: Added support for new EU contract, EUF1

 

Due to recent news, European Union Futures are to be likely to be launched in the coming year. To prepare for these new futures RiskVal has added the “EUF1” ticker to represent the front European Union future contract. Traders can enter “EUF1” under futures section to load the delivery basket and hit “Calc Prob” to calculate the cheapest to deliver. The proposed details of the delivery basket contain EUR SSA EU ticker bonds only with a remaining term of 8.5Y-10.5Y and original term no longer than 11Y. The minimum issue amount for bonds in the delivery basket is 5B.

EUF future will have the same delivery date as RX contract.




# 2: Allow traders to select a specific option that will be included in the Total Option Value

 

 RiskVal calculates a value for three of the embedded futures options - the Switch Option (sometimes referred to as the quality option), the Wild Card option, and the End of Month option. In this release, we’ve added a “Incl __ Opt.” column to the left of each of these options that allows traders to include that specific options value into the “Total Opt Value” column.

All three of the options are selected by default, but users can preferentially choose to uncheck those options that they don’t want included in the total option value calculation.  

 

For example, in the screenshot below, all three Option values are checked and are therefore there are summed in the Total option value column.

Note: For more details on the Option Values, reach out to support@riskval.com




# 3: Added Option Adjusted set of columns in the deliverable basket


Traders can find “Opt Adj 32nd” and “Opt Adj NB 32nd” columns under their default view.

These columns work in sympathy with the “Incl. Opt.” functionality discussed above as the values that populate these columns are based on which option values are selected for inclusion into the “Total Option Value”.

 

The “Opt Adj 32nd” column will take the “Total Opt Value” from the futures table, and then multiply this value by the conversion factor for each bond.  This gives traders insight into what the option(s) are worth on a specific security in the futures basket.  The “Opt Adj NB 32nd” column takes the value from the “Opt Adj 32nd” column and subtracts this value from the Net Basis “NB 32nd” column.

Note: The default value of the above mentioned columns is in 32nds, however, trader has the option to change it into ticks

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