Configuring MD Trader to show the yield of US Treasury futures.

1.
Trading In Yield
Setup Guide
02 Introduction
03 Net Change
04 Display Price As Yield
05 Display Yield To Maturity

2.
Introduction
This document is intended to describe how to configure MD Trader® to show fixed income and interest
rate products on a yield basis.
Yield Price
Yield displays to the left of the standard price column and can be set to show the Net Change, Price As
Yield, or Yield to Maturity for a given contract. To display yield in MD Trader, users must enable the User
Defined Price (UDP) column in MD Properties.
Net Change
Display Price
To display yield in MD Trader,
As Yield
1. Display the MD Properties |
MD Advanced tab.
Yield to 2. Select Enable user Defined
Maturity Price Column.
3. Set desired parameters.
4. Click OK.
The remainder of this document describes how to set each of these yield properties.
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3.
Net Change
Select Net Change to display the contract minus the settlement price. Three format options are
available: Decimal, Native or Ticks. You may also set a tick offset.
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4.
Display Price As Yield
Select Display Price As Yield to display price as a percentage representing rate of return. Click the Yield
type drop down to select the desired option.
Converts 360 day
calculation to 365
days.
Yield Type Description
No Conv Displays the instrument price in yield. Conversion is not
necessary.
(100‐Price) Calculates yield by subtracting the instrument price from
100.
Note: This calculation is used for LIFFE Euribor (I).
((100000‐Price)/100 Calculates yield by subtracting the instrument price from
1,000 and divides the result by 100.
Note: This calculation is used for CME Eurodollars (GE).
(((10000‐(Price + Strip Base))/100 Calculates Eurodollar Strip yield by adding a base
(settlement) price to the instrument price before the
Eurodollar conversion.
Note: This calculation is used for Strips, Packs, or Bundles
and uses the Strip Base field. Strip Base is the average
settlement price of the contracts in an exchange‐listed
Strip, Pack, or Bundle. This value is added to the instrument
price before conversion.
((100000‐Price)/1000) Calculates yield by subtracting the instrument price from
100,000 and divides the result by 1,000.
Note: This calculation is used for 30 Day Fed Fund futures.
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5.
Display Yield To Maturity
Select Display Yield To Maturity to display the yield promised by the bondholder on the assumption that
the bond is held to maturity.
Enter the parameters of a deliverable
security versus the futures contract.
This security is usually the cheapest
to deliver (CTD).
Three sources available to discover Cheapest to Deliver (CTD) include…
• Bloomberg terminals
• The CMEGroup web page, http://www.cmegroup.com/trading/interest‐
rates/treasury‐conversion‐factors.html includes a dated Treasury
Conversion Factors link to an Excel table with detailed information on all
deliverable US Treasuries.
• The Eurex web page,
http://www.eurexchange.com/trading/products/INT/FIX/FGBM_en.html?mo
de=deliverable_bonds provides a link to deliverable Euro‐Bobl futures.
Note: Since Euribor is cash settled, there is no deliverable security.
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6.
Display Yield To Maturity
(continued)
The following is a sample conversion table from the CMEGroup web page as well as the Display Yield to
Maturity settings in the MD Trading | MD Advance tab.
Conversion Table
MD Trader Display
Yield to Maturity
settings
To configure Display Yield To Maturity,
• Complete the Coupon Rate, Maturity Date, and Conversion Factor fields.
• Select the Settlement Date of the futures contract in the Settlement Date field.
• Select the convention used for counting the days between dates in the Day Count Type drop‐
down.
• Select the number of coupons per year (Semi Annual, Annual, Monthly, or Quarterly) in the
Coupon Frequency drop‐down.
These settings add precision to your calculation:
• Use End of Month Conversion to indicate that coupon payments are always made on the last
day of the month.
• Use Optional Settings to adjust the calculation for the First Coupon Date and Dated Date. First
Coupon Date is the first real coupon date. It must be a valid coupon date and less than the
maturity date. Dated Date is the date upon which the interest accrual begins and must be less
than the first coupon date.
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