Trading in Yield

Trading in Yield

Yield configuration options

The following table shows the custom configuration options available when trading in yield on TT.

Field Description
Name Use-defined name of the yield configuration
Contract Opens the market explorer to search and find a fixed income instrument.
Yield Type Shows required fields for the selected yield type. Valid values:
  • FUT: Futures yield configuration
  • BOND: Bond yield configuration

Coupon Rate (%)

The annual coupon rate as a whole number (e.g, 8.5).

Conversion Factor

The product used for the Futures conversion factor calculation by the exchange.

Note: Currently, yield can only be configured for US Treasury Bonds products.

Maturity Date

The redemption date of the bond. This value must be less than the futures delivery date.

Settlement Type

The type of settlement date. Valid values: Absolute.

Settlement Date

The date when the security is traded to the buyer. This value must be less than delivery date.

Contract Date

The bond futures contract date. This value must be less than the maturity date.

Delivery Date

The date to deliver the contract/termination date. This value must be greater than the settlement date and less than the maturity date.

Optional Fields

Basis Type

Select one of the following:

  • Target IRP (Implied Repo Rate)
  • Gross Basis

Basis Value

 The value of either the Target IRP or the Gross Basis as set by the Basis Type. This value must be a decimal between 0 and 1 (e.g., 0.0001). Calculated as follows:
  • Target IRP: ((Sales Proceeds-Initial Investment)/Initial Investment)/Days Held*360, where
    • Initial Investment = Purchase Price of Bond (Including Accrued Interest)
    • Sales Proceeds = Futures Price * Conversion Factor + Accrued Interest of Bond on Futures Delivery Date + Coupon Income from Bond
    • Days Held = Number of Days from Settlement Date to Futures Delivery Date
  • Gross Basis (Decimal): Price of CTD Bond – (Futures Price*Conversion Factor)/32

Coupon Frequency

The bond payment frequency. Set frequency equal to either Annual, SemiAnnual, Quarterly, or Monthly.

Day Count

Sets the number of days in the ‘year’ for the contract. This field provides the following values:

  • 30/360
  • 30/365
  • 30E/360
  • Actual/360
  • Actual/365
  • Actual/Actual