Future CTD Scenario Analysis Enhancement | Weekly Release 10/15/21


Given talks of CME releasing a future tied to the 20-year bond series, two 20 -year future prototypes were modeled up for traders to analyze


Traders interested in taking a look at the potential 20 year future, can enter either “NTT[H/M/U/Z][1/2]” or “NTA[H/M/U/Z][1/2]”. This will bring up the prototype futures with the specifications below:


Once the future is entered in the Future CTD, the deliverables will load in the middle section of the sheet. Click on “Use 0 NetBasis Px” to back out the future price, setting the potential CTD’s net basis to “Zero”.

Once the Future Price is available, the “Yld drop”, “Gross Basis”, “Implied Repo Rate” and “Net Basis” will be available for the bonds in the basket.

In addition, to the mentioned above, traders can leverage the “Scenario Analysis” set of columns to bump the curve and see the impact on the Net Basis of the bonds would be. This will show if there will be any CTD switch at any point.

Finally, if there is a bond missing from the delivery basket, traders have the option to add the bond in from the “Edit” - “Add Bond” menu.