Hints and tips:
...Both of these numbers are vastly different from previous episodes, as the CTD has a much lower price....
...However, the elevated pace of buying does not appear to be sustainable and will likely deplete private sector bond market inventories — implied repo rate of the CTD into JGB futures widened about 5.5%, though...
...One question that has often come up is about the cheapest-to-deliver (CTD) bond into the US sovereign CDS contract....
...This could make them bias their prices in the auction down, so as to compensate for the uncertainty of risking delivery of a “worse-than-expected CTD” bond....
...Only the CTDs into the three govt futures contracts are being marked at negative levels – these maturities out to March expiry: – Dec ’13 Schatz at -15bp mid, Jan’ 17 bund at -20bp mid, and Jan’21 bund...
...Before you mention it, I know there is already a method of paying tax early – the certificate of tax deposit, or CTD, but the interest rate offered is laughably small. Anyway, there’s the idea....
...In addition, the 1.00% 2012 Schatz is the CTD into Mar 2012 Schatz futures contract....
...If we assume that the Treasury issued a one-time 7yr with a November 15th maturity, that issue would be the CTD for the December 10yr contract if it was 18.7bps cheap on a forward basis to the 4.5s of Nov...
...If letters of administration are granted to you, you can tender the CTD in satisfaction of all or part of the IHT due....
...The CTD usually has the lowest net basis....
...This week, the February 2012 10-year note traded “special” - at an extremely low rate - as demand increased, because it is the CTD (cheapest to deliver) for the June futures contract....
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