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I am running a regression analysis on a bondxday 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.

  1. Are Euro-Bund (DE), Euro-BONO (ES), Euro-OAT (FR), Euro-BTP (IT) all future contracts I should consider for my sample of bonds?
  2. 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 RXA Comdty and CTD, and look out for the bond with the highest Implied Repo % value.

Thanks

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  • $\begingroup$ Did you ask Help Help (F1 F1)? $\endgroup$
    – AKdemy
    Jul 12 at 11:09
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Best to ask the Help Desk in my opinion.

=BDH("RX1 COMB Comdty","FUT_CTD_CUSIP","20150101"," ") in excel for example (works also with active or whatever future in the chain)

Edit

Yes, on the terminal it is HCTD - that formula pulls the same info. You cannot do all contracts in a chain at once (that I know of). The generics are always "chaining" them together. =BDH("RX1 Comdty","FUT_CUR_GEN_TICKER","20150101"," ") shows the contracts associated with the generic at the specific date.

If you need all, there are a few ways. RXA Comdty DES shows (or also CT page) shows you that there is only H, M, U, and Z for quarters and the associated year. RXH, RXM, with RXM19, RXM12 for June 2012. Should be easy to loop through if needed. =BDS("RX1 Comdty","FUT_CHAIN", "CHAIN_DATE=20180713" gives you the entire chain at a given date. Depends what you feel works better I suppose.

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  • $\begingroup$ Just for the record: in terminal, you can load the specific future contract, e.g. RXZ19 Comdty, then look for HCTD (Historical CTD) and extract this to an Excel spreadsheet. $\endgroup$
    – Jhonny
    Jul 13 at 8:40
  • $\begingroup$ This works, thanks. I did contact the help desk and they claimed I needed to go via the Terminal, but I verified your procedure. However, it seems that I have to query the time series for a specific future contract, e.g. RXZ17 Comdty, but not for all contracts in a chain at once. Is this correct? $\endgroup$
    – Jhonny
    Jul 13 at 8:43
  • $\begingroup$ @Edit: As a newcomer to Bloomberg, I took a more manual approach with the Terminal to collect all future contracts relevant to my project and eventually queried CTD through Excel. Thanks for the explanations, though, I am sure I will need it in the future. $\endgroup$
    – Jhonny
    Jul 14 at 7:24

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