SCR Calculator User Manual

Version 1.13.2.0 Last modified 2024-3-21

Bond Futures

Bond Futures are futures contracts with a bond as an underlying. In the SCR Calculator, bond futures are implemented for five bond types: government bonds, regional government bonds, corporate bonds, covered bonds and infrastructure debt.

For any of these asset classes, the user simply needs to select a "future delivery" date (red box 1), and the bond will become a bond future - its cashflows are delayed until after that delivery date (red box 2); and sensitivities and SCRs calculated accordingly.

The user needs to take care enter a reduced market value of the bond to account for the skipped coupon (red box 3).

Bond futures are equivalent to interest rate futures if high quality government bonds are used as the underlying.