Questions tagged [treasuries]

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SOFR Futures and impact on short-end dollar swaps and front-end notes

Suppose there is an exogenous event that triggers SOFR futures to be repriced lower. For simplicity, lets say the SOFR futures mostly impacted are whites/reds. Since USD swaps are priced off of the ...
bng's user avatar
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1 answer
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Intuition for why it's called "implied repo rate"?

I'm having trouble understanding, conceptually, why the rate of return for buying a bond, shorting the future, and then delivering the bond into the future is called the "implied repo rate". ...
rb612's user avatar
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WN 30Yr UST Futures Conversion Factor vs Delivery Ratio

What is the logic behind using the conversion factor in determining the hedge ratio of deliverable bonds in 30Yr UST futures (WN contracts) throughout the trading life of the contract, but then having ...
AlRacoon's user avatar
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Why is there a minimum size on TIPS trades for retail?

I was buying TIPS in a personal account and there was a minimum size for each offer. The min face value was often 75k. This seems counterintuitive to me as smaller trade sizes would leave more edge ...
justtryingtolearn's user avatar
-1 votes
1 answer
144 views

Treasury Basis Trade - Real life example?

There have been some talks regarding the potential threat arising from Hedgefunds w.r.t. to their leveraged Treasury Basis Trade positions. Besides some basics, I never fully grasped the mechanics of ...
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Modeling switch and wild card option for a Treasury futures contract

I understand how to think about the switch option and wild card option in Treasury futures. I know how to model them and get a fair value separately. However, I do not think you can simply just add ...
decaybeta's user avatar
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clarifying Treasury basis carry [duplicate]

I'm going through the classic The Treasury Bond Basis by Galen Burghardt. In the book he states, "...if the yield curve has a positive slope, carry for someone who is long bonds and short futures ...
xxtensionxx's user avatar
2 votes
2 answers
761 views

Calculating DV01 for Treasury Futures with CTD switch risk

With rates rising, certain contracts, such as the USZ3, are prone to frequent CTD switches with sometimes large differences in the DV01 of an underlying CTD. Does anyone know of any resources for ...
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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
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79 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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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
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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
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2 votes
1 answer
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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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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
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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
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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
1 vote
1 answer
3k 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 ...
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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
4 votes
1 answer
1k 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 ...
bng's user avatar
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2 votes
1 answer
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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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"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 answers
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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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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
8 votes
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723 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
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1 answer
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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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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
287 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. ...
Count's user avatar
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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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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 answer
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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
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0 answers
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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
147 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
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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
102 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
350 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
304 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
400 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
680 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
78 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
563 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
63 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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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
221 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
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1 answer
3k 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
555 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
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1 vote
0 answers
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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
67 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
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0 votes
4 answers
617 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
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1 vote
1 answer
67 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
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