Cheapest-to-deliver
BoE analysis sparks debate over reuse of repo collateral
Central bank policy analyst contends reuse of collateral may amplify volatility in repo rates
Bund volatility sparks uncertainty around futures delivery
Changing cheapest-to-deliver status catches some traders off guard despite Finanzagentur intervention
CME asks clients about changing implied UST futures coupon
Falling yields prompt review of 6% conversion factor for delivery-eligible bonds
Isda chair on twin threats facing OTC market
Capital a “sword of Damocles”, says Litvack; cleaner CSAs will fix valuation woes
Collateral option valuation made easy
Vladimir Sankovich and Qinghua Zhu develop a method to value cheapest-to-deliver option embedded in CSAs