Questions tagged [treasuries]
The treasuries tag has no usage guidance.
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How to backtest with fixed-income instruments
I'm running a backtest with the 5-yr and the 30-yr treasury bills going back to 1990, both with a weighting of 25%. How do I use their daily yields to adjust the portfolio through time?
I've thought ...
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1answer
91 views
Day-Count-Conventions T-bills, T-notes and T-bonds
I have a question regarding the day count conventions for T-bills, T-notes and T-bonds. So far I haven't found an official page that clearly states which method is used and I don't own bloomberg etc. ...
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44 views
Nominal bond yields vs. TIPS yields?
I am struggling with understanding the difference in yields between nominal bonds and inflation-adjusted bonds.
With inflation adjusted bond like TIPS, every coupon payment in addition to the face ...
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0answers
40 views
TNote Futures contract YTM vs yield on bought notes? [duplicate]
I understand how to calculate the yield on a 10 yr TNote based on face, price & coupon.
I don’t understand why the yield (and price) on a futures contract about to expire is so different than the ...
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1answer
112 views
Making Sense of Treasury Operations
I'm looking to analyze recent Fed treasury purchases for an analysis and found a slew of spreadsheets with the full details.
My problem is that I'm not sure how to interpret the data. Here are my ...
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0answers
26 views
Cross-checking Treasury's Major Foreign Holders Report
I was looking for bad things waiting to happen on the Ides of March, and the next Major Foreign Holders of Treasury Securities report came up as a candidate. It is due on March 15th, 2021. The report ...
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1answer
73 views
Banks' use of repo to finance operations
"Dealers typically use repo to fund both their cash Treasury positions and their lending to clients through Treasury reverse repos. Thus, the ability and willingness to engage in repo, which ...
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2answers
91 views
Best way to lock in margin rate via hedging
I'm currently paying a 1.25% margin rate. This rate is based on the Fed Funds rate plus a margin. I would like to hedge against the possibility of this margin rate increasing. What is the best/...
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1answer
46 views
Swap Spread Positions with Duration Bias
In practice, how are swap spread positions actually sized and constructed between the two legs? I would suppose the two legs are simply matched in notional terms.
However, in practice, do traders ever ...
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4answers
155 views
US Treasury - IEF vs ZN Cumulated Return Comparison
I have been trying to explore the possibility of replacing my IEF (10 years treasury ETF) positions with ZN (10 years treasury futures) for better leverage.
Reading the posts here, I understand that ...
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1answer
86 views
Swap Spread Arbitrage & Rates/STIRT Vol
Concerning the classic swap spread arbitrage trade where you (as far as I understand it):
Buy a treasury and borrow in GC repo, paying repo rate and funding the haircut in short term unsecured ...
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1answer
93 views
Negative Carry when Yield Curve is Downward Sloping
I am currently reading "The Treasury Bond Basis", and have a question regarding negative carry. The book states that the carry of a vanilla treasury bond will be negative when the yield ...
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1answer
362 views
Impact on DV01 of cbot bond futures by changing coupon from 6% to 4%
CBOT has been asking customers lately what their thoughts would be on coupon change from 6% to 4% on all bond futures. I believe the last time this was done was in 2000 where the coupon was changed ...
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1answer
61 views
T- bond cash flows [closed]
a) without a frequency and T note start date how do I find the coupon dates and cash flows?
b) is that calculated semi- annually?
c) how do I find the number of days for the current period?
Thanks
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2answers
124 views
Calculating excess returns with 3M T-Bill
I have to calculate weekly log excess returns using the 3-month T-bill. However I am not really sure if I am doing this correctly. This is what I did:
first I calculated the returns with ln(price/...
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0answers
45 views
Use of Macaulay Duration to calculate the Funds Transfer Pricing Cost of an Amortizing Mortgage
I am asked to comment on the Funds Transfer Pricing methodology used by our Treasury to assign a Cost of Funds to a Loan. This is the current methodology:
Let us say there is a 2 year loan with an ...
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0answers
48 views
Market pricing of forward US Treasury rates
What instrument(s) are used for forward pricing of US Treasuries? I know that Eurodollar futures are used for the market pricing of Libor in the future, but treasury futures only have contracts 3 ...
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0answers
109 views
Why are negative option prices possible for callable US treasury bonds?
I am not familiar enough with the theories of option pricing to understand how negative option prices are possible. I found two research papers indicating that negative option prices are indeed ...
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1answer
827 views
Implied repo rate calculation from Fabozzi
I'm looking at the chapter Implied repo rate in Fabozzi's Fixed Income Handbook.
There it is defined as the return received by going long the basis, i.e. buying the cash bond (financing it with the ...
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0answers
204 views
Bloomberg Treasuries PX_Last and daily returns
I tried to search for this specific question, although I didn’t found a conclusive answer.
I have a dataset containing the yields of several T-Bills and T-Notes that were downloaded from a Bloomberg ...
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0answers
56 views
Inflation TIPS - What does it mean - 10Y breakeven shorts with 0.8 beta?
"10Y breakeven shorts with 0.8 beta"
"10Y breakeven shorts with long 80% nominal to eliminate long duration bias"
Are the above two the same, what do they mean?
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0answers
51 views
How do Treasury bill/coupon settlements affect reserves?
Back in September when the repo market exploded, causes were attributed to corporate tax payments and T-bill settlements. Was hoping someone could help elaborate further on the mechanism as to how T-...
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4answers
376 views
T-bond of what maturity to use as risk-free rate when calculating excess return?
I am comparing different asset classes in order to estimate the expected return and the risk of a portfolio. I have historical data (adjusted close price) for my asset classes for the last 5 years ...
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1answer
51 views
Spot Rates on Treasuries
I am trying to find the spot rates for 1mo, 3mo, and 6mo tbills. This would just be their yields as listed on the treasury website, correct or am I missing something?
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1answer
52 views
How currency swap works for big companies bond and cash management
Suppose a big company A holds 10 Million USD at T+0, and A knows that it will pay 9.9 Million CHF to buy a bond at T+1, why would company A be willing to enter a currency swap to buy CHF and sell USD ...
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2answers
214 views
Why do big financial groups use fx swaps to manage cash?
Can someone help me with the logic that big companies' treasury department uses fx swap to manage their cash? An example would be much appreciated!
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1answer
138 views
Computing T-Bill Yield across leap year boundary
Consider this T-Bill (912796TE9) that was purchased on 2019-10-30 and matures on 2020-02-06:
I'm trying to work through some of the basics of the yield calculation.
The days until maturity is 99. (<...
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2answers
92 views
How do the following aspects lead to U.S. Repo shortfalls
A major theme in the markets this past week has been the repo rate hikes and the sudden disappearance of liquidity. Although most are confused as to the main reason, there seems to be a consensus on ...
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0answers
39 views
Finding 3month TBill given daily rates
I am working on updating a database and one of the sections that requires updating is the 3 month T-bill rates for each month of the past ten years. I have the past nine years' data from before, and ...
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2answers
1k views
Treasury futures cost of carry and P&L
I'm looking to understand the P&L implications of holding 2YR treasury futures. Assuming no movement in interest rates through to maturity (i.e., no capital gains or losses due to interest rate ...
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3answers
164 views
What's the logic behind 3-10 UST yield inversion predicting recession?
Is there causality, behavioral or logical explanation behind this indicator or is it just purely an observation based on correlation? My guess is that there are existing derivatives with clauses that ...
0
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1answer
55 views
Question regarding coupons for government bonds
I was looking at government bonds/treasuries and I wondered if my line of thinking is correct:
1) In general, how is the coupon set? I found out that usually they are auctioned for (a bit) less than ...
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3answers
2k views
Why 10-year versus 2-year spread?
I occasionally see the 10y-2y spread referenced as a recession predictor. See, e.g., https://seekingalpha.com/article/4201787-current-slope-yield-curve-tell-us
Why 10y minus 2y? Specifically, why use ...
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2answers
221 views
Calculating excess returns
I would like to know if I am calculating these excess returns correctly. I have here an R dataframe with weekly 3-month treasury bill rates, and the arithmetic ...
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1answer
408 views
Why do Treasury Futures settle at maturity with higher yield-to-maturity than the corresponding spot rate? [duplicate]
Absolute beginner on bonds, trying to understand why spot rates seen for US-T don't seem to line up with CME futures for ZT/ZB/etc at their maturity.
For instance, ZB-U8 seemed to settle at 140-27 on ...
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3answers
243 views
YTM of “very-seasoned” bond issues
There is a liquidity premium between on-the-run treasury issues and off-the-run issues with similar characteristics. This is why when building a yield curve, typically on-the-run issues are used to ...
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1answer
79 views
Why is LIBOR rate smoother than the US treasury rate?
Compare the daily rate graphs of LIBOR and US Treasury bill, the former is a lot smoother than the latter. Is there any reason for this?
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1answer
60 views
Where can I find data on US bank interest rates or 4-week T-bill rates dating back to 1970s or earlier?
Where can I find data showing 4-week T-bill rates or U.S. savings accounts' interest rates from 1960s to present, or 1970s to present?
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1answer
99 views
Where can I download 10 year Treasury prices in OHLC format?
I'm looking for treasury prices (not yield) in OHLC format. On websites like this you can see it has intraday data, so we could drive an OHLC from it? But I can't find a website that lets me download ...
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1answer
501 views
Why is the 1 month OIS rate so stable?
I was just playing around with bills prices data from CRSP.
It is well known that short term bills rates tend to be lower than corresponding maturity OIS rates this is often attributed to some ...
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2answers
103 views
Basic question re: Fed interest rate tightening and rising interest rates
February 2/8/2018 - context in case the question is still around beyond today: the stock market has been falling for almost a couple of weeks in the midst of fears of overheating of the economy (...
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2answers
5k views
Determine the carry of a treasury bond futures contract?
Hi fellow financial market enthusiasts. I'm trying to understand my options as a retail investor. I want to leverage a cash bond portfolio but my broker does not allow that, so I want to use futures ...
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1answer
1k views
Roll down Treasury curve (Coupon effects)
I'm currently working on roll down calculations for the Treasury curve (3-month roll, 6-month roll, etc..). One of the senior guys (I just started out of college) asked me to adjust for the coupon ...
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1answer
46 views
US Treasury foreign buying/selling data
Would anyone recommend any Index or data that I can avail to understand the trend in buying/selling of US treasuries by China? I have access to Reuters feed.
Thanks,
Sumit
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1answer
2k views
Modified duration of treasury futures tracking CTD?
If I know TYU7 contract's CTD is T 2.500 05/15/2024 with modified duration of 6.37. I know futures DV01 is calculated by taking the CTD's DV01 divided by conversion factor as shown here. What is the ...
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1answer
185 views
Curve to curve hedging for treasury
Please correct my conceptual understanding if needed, but I'm trying to calculate the mod duration of treasury curve pieces when the curves are DV01 hedged.
For example:
DV01 of 10 Year Note is 896....
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2answers
58 views
Where to find risk report/models for treasury spreads trading?
I trade a lot of treasury curves, so say I have a portfolio of treasury cash and futures products (longs and shorts). How do I find the portfolio DV01 risk and curve risk? I couldn't find anything ...
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2answers
7k views
how to calculate daily risk free rate using 13 week treasury bill
I want to calculate excess return for AAPL plus the S&P 500. I have computed monthly and daily logarithmic returns for every stock and for the market, I now need to calculate the risk free ...
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1answer
2k views
Repo Settlement v. Collateral Settlement
I'm a bit confused about repo settlement conventions, and let's say repos on US Treasuries (USTs).
USTs settle $T+1$ where $T$ is the trade date. So if today is Wed 3/8/17 and I execute a trade with ...
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2answers
12k views
Best method for interpolating yield curve? [Multiple questions]
I'm building a spot curve for US Treasuries. My original selection of cash treasury include all the on-the-run bills, notes, bonds from 6 months to 30 years, as well as some selected off-the-run ...
