MBRM Bond Futures "Cheapest To Deliver" (CTD) Analyser
This module calculates conversion factors and then analyses the deliverable bonds, including calculating the gross and net basis for every deliverable, break-even REPO rates, implied price duration of the future and deliverables, hedge ratios, fair values and identifying the "cheapest to deliver" (CTD) bond. Sample spreadsheet provided: MBRMCTD.XLS
This is an optional module for users of UNIVYLD - Universal Yield Add-in.
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Click the thumbnails below for screenshots of our sample spreadsheets:
|Basis - CTD Analysis|