Financing of Futures CTDs
Secured financing - ring fenced basket
The most efficient manner to finance Cheapest to Deliver (CTD) for fixed income futures is now available via Eurex Repo. Eurex Repo’s GC Pooling service offers a new ring-fenced basket targeting futures deliverables as a standardized basket. It removes the need for clearing members to warehouse the CTDs and finance them through their internal treasury.
The CTD Basket contains German and French Government Bonds as deliverables for the next three futures expiries and is automatically updated in case of an inclusion or exclusion of a deliverable security.
Financing the CTDs via a GC Pooling CTD Basket repo trade and an enhanced delivery process with an optimized account setup, dramatically reduces the risk of late delivery penalties and enables continuous trading till the last trading day.
CTD Basket at a glance
- Applicable futures products
Bund, Bobl, Schatz, Buxl, OAT. - Basket scope of futures deliverables
Automatically updated in case of an inclusion or exclusion of a deliverable security enabling continuous trading until delivery day. - Ring-fenced basket
Collateral is ring-fenced in the GC Pooling environment. - Re-use not allowed
Re-use of the received collateral will not be allowed. The collateral giver/cash taker will be able to substitute collateral - Early settlement at 07:00 a.m.
All trades in this basket will settle early on the Front leg and the Term leg and will be nettable on the basket level ensuring in-time delivery - Attractive repo rates
Rates for cash providers are likely to be more attractive
Optimized Trading Types
Account set-up at a glance
The account setup remains unchanged for collateral takers.
Collateral providers are advised to optimize their setup by creating a dedicated delivery account. This ensures an automated, efficient process with a single instruction and avoids potential pilferage as the securities are dedicated.
Optimized Account Setup
Contact
FIC Derivatives & Repo Sales
Eurex Repo
Eurex Repo Sales & Relationship Management
Frankfurt/London/Paris/Zug
