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Future CTD Scenario Analysis Enhancements| Weekly Release 4/12/2024

# 1: Added preference to use the 0 NB Fut Px adjusted by the current lowest net basis when calculating the delivery scenario analysis columns

 

In this week’s release, an option to adjust the “0 net basis” (NB) in the scenario analysis has been added. The scenario analysis assumes that at delivery date, there will be a “0 net basis”, however, this may not be the case, thus the adjustment to the net basis. To enable the adjustment, click on “Preferences” – “Adjust Scen Fut Px By Lowest NB”.

 

In the screenshot below, see the scenario analysis no longer shows the CTD having a “0 net basis”. Scen1 does not have any bump which causes the net basis to be the same as the live net basis. In turn, the rest of the scenario analysis highlight the bonds with the lowest net basis given the scenario.

Note: For more details, please contact Support@riskval.com



#2: Added CTD Matrix

 

In this week’s release, we have added a “CTD Matrix”. This matrix shows which bond in the delivery basket will be the CTD, given the combination of the Parallel bump and Curve bump. The parallel bump corresponding to the parallel yield move. While the curve bump refers the move in the longest instrument in the basket relative to the shortest one. The assumed delivery date will be the one entered on the top right corner of the Future CTD. To open the CTD Matrix, click on “Show CTD Matrix”.

 

To read a cell in the Matrix, see screenshot below. The T 2.375 849 bond will be the cheapest to deliver given there is a 50 basis point move lower in yield, with an 8 basis point flattening of the basket.

Note: For a more detailed document on this Matrix, please contact Support@riskval.com



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