Korean bond future cheapest to deliver

The term cheapest to deliver (CTD) refers to the cheapest security that can be delivered in a futures contract to a long position to satisfy the contract specifications. It is relevant only for contracts that allow a variety of slightly different securities to be delivered. Therefore, the market assumes that any contract seller will always deliver this “cheapest to deliver” bond in the event of delivery. Bond futures therefore trade in line with this underlying cheapest to deliver bond. For reference, the CME provide a calculator here, Eurex here and LIFFE here. KRX 10-Year Korea Treasury Bond futures trade on the Korea Exchange (KRX). They were launched on February 25, 2008. KRX 10-Year KTB futures Exchange Korea Exchange: Settlement Cash settled Contract Size KRW 50 million Pricing Unit KRW 500,000 (1 point) Tick Value Stay on top of current and historical data relating to South Korea 10-Year Bond Yield. The yield on a Treasury bill represents the return an investor will receive by holding the bond to maturity.

In finance, a futures contract (more colloquially, futures) is a standardized legal agreement to The specified time in the future—which is when delivery and payment This is typical for stock index futures, treasury bond futures, and futures on Arbitrage arguments ("rational pricing") apply when the deliverable asset exists 

Stay on top of current and historical data relating to South Korea 10-Year Bond Yield. The yield on a Treasury bill represents the return an investor will receive by holding the bond to maturity. KRX 3-Year Korea Treasury Bond futures trade on the Korea Exchange (KRX). They were launched on September 29, 1999. Get free historical data for South Korea 10-Year Bond Yield. You'll find the closing yield, open, high, low, change and %change for the selected range of dates. Bond Futures and Their Options: More than the Cheapest to Deliver; Margining and Quality Option The Journal of Fixed Income, Vol. 16, No. 2, pp. 62-75, September 2006 Posted: 01 Jul 2009 At the same time, since the conversion factors are fixed the delivery price of the 4.75s of November 15, 2008, stays the same relative to those of other bonds. Therefore, while all bonds are equally attractive to deliver at a yield of 6%, as yield decreases the 4.75s of November 15, 2008, become CTD. For these limited purposes, all you really need to know is that the cheapest-to-deliver bond against the Treasury futures contract is, and has been for a while, the 11.25% coupon bond due Feb. 15

C$100,000 nominal value of a Government of Canada bond with a 6% notional coupon. Expiry cycle. March, June, September and December. Price quotation. Per C$100 nominal value. Minimum price fluctuation. 0.01 = C$10 per contract. Contract type. Physically-delivered: delivery of eligible Government of Canada bonds. Last trading day

In finance, a futures contract (more colloquially, futures) is a standardized legal agreement to The specified time in the future—which is when delivery and payment This is typical for stock index futures, treasury bond futures, and futures on Arbitrage arguments ("rational pricing") apply when the deliverable asset exists  18 Apr 2013 BPV* of a bond futures is BPV* CTD/CF ctd which is currently for the The current cheapest to deliver ('CTD') DBR 4.00% July 2039 for the June KOSPI and KOSPI 200 are registered trademarks of Korea Exchange Inc. To date, the pricing method of government bond futures relative to their underlying in Australia has not been examined in academic literature. Efficiency in the  bond futures with physical delivery (e.g. Germany, US): Conversion factors for all bonds in a basket can be calculated which leads (with some more inputs) to a cheapest-to-deliver and the futures price corresponds more or less to the forward price of the cheapest-to-deliver (taking into account the conversion factor).