Future CTD Scenario Analysis Enhancement | Weekly Release 6/17/22


Added ability to manually enter standard deviations for PCA Slope & PCA Parallel

The scenario functions in Future CTD give traders the ability to model curve shifts and see their effects on the deliverable basket and what the CTD would be. Shifts are modeled in two ways: PCA parallel shocks to the curve and PCA slope weighted shocks.

In this release, traders can now manually enter the number of standard deviations for “PCA Slope Std” & “PCA Parallel Std”. Traders can use the table at the bottom of the sheet to see how many basis points equates to a one standard deviation change.

The “Slope HBasis” and “Parallel HBasis” columns reflect changes made in the “PCA Slope Std” & “PCA Parallel Std” boxes. The “PCA HBasis” column automatically combines the effects of the PCA slope and PCA parallel scenarios. The yellow highlighted “zero” boxes equate to a net basis of zero at the delivery date and are the expected CTD. Traders can see how far the other bonds are from being the CTD in basis points. The closer the bond’s net basis is to zero the more likely it is to switch with the current predicted CTD to become the new CTD. Additionally, there is a calculated Future price based off the “0 Net Basis” method.

Note: Traders can add the “Parallel Shifts” & “Slope Shifts” columns to their view from “Table” – “Manage Columns” to see the total parallel & slope bps moves, respectively.