Questions tagged [treasuries]

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How to compute Bloomberg T-Bill yield in BXT? [duplicate]

could any kind soul explain how are the Discount and Yield computed? Also, do they refer to “Discount Yield (daycount Act/360)” and “Yield (daycount Act/365)” respectively? Thank you!
Cinnamonball's user avatar
1 vote
0 answers
72 views

What is the Price Elasticity of the 10 year Treasury Market? [closed]

At the near culmination (allegedly) of the fastest prolonged Fed Funds Rate hike episode in US history, we find two unusual things: the overall yield curve between 3-month and 10 year Treasuries has ...
Kiers's user avatar
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1 answer
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How is the price of US T-Bill's calculated here on CNBC?

https://www.cnbc.com/quotes/US6M Here, the price is given (as of the time of asking) as 5.285, and it is not clear to me how the yield and price here are exactly related. It is clear for me however, ...
Pesky Smurf's user avatar
0 votes
1 answer
102 views

QuantLib Yield Curve Bootstrapping Fails with Bracketing Error

I'm trying to build the yield curve simply using Treasury yields one would get by querying the FRED API, but as my code below will show, I'm told on the 1st iteration that there was failure at the 4th ...
pmse234's user avatar
  • 15
2 votes
1 answer
95 views

Daily quotes TIPS (treasury inflation protected securities) data

I am looking for historical quotes for US TIPS (treasury inflation protection security). What is a reliable source of data to get this information? Here's what I have tried: I have looked into this ...
phdstudent's user avatar
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0 answers
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Are stablecoins stable if the merchant processor uses fiat currencies or insurance without fiduciary indemnity like stocks?

This NBER working paper on cryptocurrency says stablecoins are such that if they use fiat currencies bills, notes, and bond good will over both the treasury currency stock and public lands of each ...
Nick Carducci for Carface Bank's user avatar
1 vote
0 answers
54 views

Intuitive way to think about Bond Futures in a long only cash portfolio

I think this is the intuitive way to think about specialness in bond futures, at least to my mind; therefore, I am wondering if my logic is correct: Cash Bonds have a forward price that is totally ...
Wadstk's user avatar
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1 answer
104 views

US Treasury: Calculating Price from Yield [closed]

I'm trying to get the basics of bonds by going from yield to price (and vice-versa hopefully). What I want to do is from publicly available source go from the treasury bond yield to the price. So for ...
rate_newbie's user avatar
1 vote
0 answers
36 views

How is implied volatility on future treasuries used to expect Forex volatility? [closed]

I was listening to some traders talk amongst themselves. One emphasized the importance treasury implied Vol as a useful indicator for forex vol/trading. I don't totally see the connection. I have a ...
MeditationOrBust's user avatar
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0 answers
70 views

How to correctly trade/price a x-mkt "Yield Curve "Box" " Trade? From Risk Weight onward

I see a lot of discussion/commentary of 2s10s box trades? Typically a US-CDA 2s10s trade. I understand that the fundamental concept is a flattener in 1 jurisdiction and a steepener in another. Meaning,...
Nicholasislearningthings's user avatar
1 vote
1 answer
1k views

What is the difference between Discount Yield and Yield on US Treasury Bills

I would like to understand the fundamental difference between yield and discount yield, specifically relating it to zero coupon treasury bills. Please see image below: For those who are terminal ...
pirloe's user avatar
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1 vote
0 answers
98 views

Stripped treasury bond prices

I saw this paragraph in the SHV prospectus The Underlying Index is market valueweighted based on amounts outstanding of issuances consisting of publicly issued U.S. Treasury securities that have a ...
CuriousMind's user avatar
3 votes
1 answer
770 views

Is repo-ing out a bond the same as shorting the bond?

In fixed income, or in any other products for that matter, borrowing an asset is essentially shorting the asset. As a result, you would see hard-to-borrow names where the borrow rates are much higher ...
Byng's user avatar
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2 votes
1 answer
233 views

Calculating Risk Free Interest Rates for VIX formula

This question pertains to a whitepaper published by the CBOE that explains how the VIX index is calculated. Near the bottom of page 5 of the whitepaper, it explains that two risk-free interest rates ...
weaver's user avatar
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2 answers
388 views

"The five year swap has the same dv01 as a par five year treasury bond" Why?

Am reading a book (The Complete Practitioner's Guide to the Bond Market by Steven Dym, 2009) where the author gives an example of someone buying a 5 year par 4.65% treasury and someone else entering ...
filifunk's user avatar
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2 votes
2 answers
263 views

How to determine the fair value of "off-the-run" U.S. Treasury securities

In the U.S. Treasury securities market, there are seven (7) "on-the-run" coupon-bearing issues: 2 year 3 year 5 year 7 year 10 year 20 year 30 year I believe the Fed uses a monotone convex ...
equanimity's user avatar
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0 answers
69 views

Difference between eurodollar and 2 year note futures

What's the difference between these instruments? I know that the Eurodollar is for dollars outside of the US, but is there any material difference other than contract size when it comes to trading ...
JamieC113's user avatar
7 votes
1 answer
601 views

Why are T-bills yielding lower than the reverse repo rate?

With another US debt ceiling debacle looming, I just realized something that runs against my intuition: Many of the Treasury bills maturing in 6 months (with the exception of the ones maturing near ...
GZ-'s user avatar
  • 330
2 votes
1 answer
152 views

What maturity Treasury yield to use for risk free rate to compare against asset typically held for 10 years?

I have a quarterly return in quarter i for an asset which is typically held for 10 years. Which maturity Treasury yield should I use as a risk free rate in this context, and from what period? I ...
Jason008's user avatar
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1 answer
140 views

Long Breakeven inflation

I want to go long bei by going long individual 10 year tips and short individual 10 year treasuries. How do I calculate and match the duration?
JamieC113's user avatar
1 vote
0 answers
230 views

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 ...
Thomas Hegarty's user avatar
1 vote
2 answers
2k 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. ...
Lars's user avatar
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0 answers
66 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 ...
user3138766's user avatar
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0 answers
53 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 ...
RiskIt's user avatar
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1 vote
1 answer
126 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 ...
fny's user avatar
  • 133
1 vote
0 answers
31 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 ...
Sergei Rodionov's user avatar
1 vote
1 answer
134 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 ...
Student's user avatar
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0 votes
2 answers
195 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/...
Landlord Investor's user avatar
0 votes
1 answer
88 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 ...
CreditNecromancer's user avatar
1 vote
4 answers
317 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 ...
Usal's user avatar
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2 votes
1 answer
265 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 ...
CreditNecromancer's user avatar
2 votes
1 answer
277 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 ...
basisnerd123's user avatar
3 votes
1 answer
607 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 ...
TheRevoltingBlob's user avatar
0 votes
1 answer
73 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
Effective Learning's user avatar
0 votes
2 answers
471 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/...
JMK's user avatar
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1 vote
0 answers
61 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 ...
Victor123's user avatar
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0 votes
0 answers
72 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 ...
Mike's user avatar
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5 votes
1 answer
199 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 ...
Flux's user avatar
  • 521
0 votes
1 answer
2k 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 ...
math's user avatar
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1 vote
0 answers
496 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 ...
A58's user avatar
  • 11
1 vote
0 answers
71 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?
Mike loves math's user avatar
1 vote
0 answers
63 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-...
Zen'z's user avatar
  • 41
0 votes
4 answers
562 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 ...
John's user avatar
  • 103
1 vote
1 answer
66 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?
1c23's user avatar
  • 11
0 votes
1 answer
63 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 ...
ACuriousCat's user avatar
1 vote
2 answers
274 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!
ACuriousCat's user avatar
3 votes
1 answer
372 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. (<...
Yippie McSmashmouth's user avatar
3 votes
2 answers
117 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 ...
MinaThuma's user avatar
  • 459
0 votes
0 answers
45 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 ...
Lin's user avatar
  • 1
1 vote
2 answers
2k 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 ...
arna's user avatar
  • 13