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Overview

Sellers of Bond Future Contracts have an option to deliver the cheapest bond to cover the short Future Contract position, typically referred to as ‘cheapest to deliver’. For every Future Contract there is a set of possible candidates that have similar attributes. Based on these attributes, one will be the cheapest to deliver. This can change daily or intraday based on interest rate fluctuations.

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Storing Deliverable Bonds

Create individual securities for each of the deliverable bonds. Since these are actual bonds, these are probably set up in client database.

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