Why the search for cheapest-to-deliver bonds just got harder

Searching-for-cheapest-to-deliver-bonds — Risk.net montage

Ben St. Clair
22 Nov 2022

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This year, interest rate futures traders have had to contend with a situation unprecedented in many of their careers: significant uncertainty over cheapest-to-deliver (CTD) bonds.

According to Bloomberg data, the cheapest German government bonds for delivery on the four main Bunds futures in December have changed 11 times in total. This compares with eight changes for futures that expired in September and an average of two switches for the 10 previous contracts.

In sterling markets, there has

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