Cheapest-to-deliver (CTD)
Exchanges vie for EGB futures market
Rivals eye Eurex’s dominance in EGB futures, but dealers are split on the likelihood of challengers succeeding
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