I am running a regression analysis on a
day panel to explain the variation in repo rates. The dependent variable is the weighted average rate of all repo transactions which are conducted on a specific
day and which are collateralized with a specific
bond. All considered (collateral) bonds are Eurozone government bonds. In this analysis, I want to control for cheapest-to-deliver (CTD) bonds.
To this end, I want to construct an indicator variable which identifies whether a bond in my sample is the CTD on a certain day. I am struggling to query this data from Bloomberg.
Euro-BTP(IT) all future contracts I should consider for my sample of bonds?
- From the BB-Excel Add-In, how can I obtain a daily series that indicates for a specific future contract which bond is the CTD? I know that in the Terminal I can, for example, type
CTD, and look out for the bond with the highest
Implied Repo %value.