MBRM - MB Risk Management
29 Throgmorton Street
London EC2N 2AT
United Kingdom

Email: sales@mbrm.com
Phone: +44 20-7628 2007
Fax: +44 20-7628 2008

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.

Why not consider MBRM Comprehensive Combined Package : An inclusive package of our main software packages (This would be a massive saving on the individual selling price of these packages)

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Click the thumbnails below for screenshots of our sample spreadsheets:

Basis - CTD Analysis