Future CTD Scenario Analysis Enhancement | Weekly Release 7/8/22

Enhancement


Updated delivery basket for Italian futures


According to EUREX, there will be a change in the Italian Futures’ basket. See notes below, derived from the EUREX site.


BTS Future: BTPS bonds with a term of 2 to 3.25 years and an original term of no longer than 11 years (for expiration months until and including December 2022: no longer than 16 years) for Short-Term Euro BTP Futures (FBTS).


In the example below, see the BTSZ2 future’s delivery basket falls within 12/2024 and 3/2026 which is a duration between 2 and 3.5 years.


IK Future: with a term of 8.5 to 11 years and an original term of no longer than 17 years (for expiration months until and including December 2022: no longer than 16 years) for Euro BTP Futures (FBTP)


In this example, see the IKZ2 future’s delivery basket falls within 6/2031 and 7/2033 which is a duration between 8.5 and 11 years.