Cheapest-to-deliver (CTD)
Why the search for cheapest-to-deliver bonds just got harder
Interest rates uncertainty triggers bargain hunt among futures traders
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