Questions tagged [treasuries]
The treasuries tag has no usage guidance.
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19 views
Discount drop calculation for a Treasury Bill
How is the discount drop calculated for a US treasury bill for a forward settle date?
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22 views
CME Treasury future tick value vs tick impact on invoice price
I'm going to use ZN as an example, to fix notional, but this is more generally a question about treasury future margining vs final invoice price.
If I buy 1 ZN at price p and sell it at p+1/64, I get ...
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36 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
173 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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votes
3answers
150 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 ...
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1answer
44 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 ...
6
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3answers
1k 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 ...
2
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2answers
90 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 ...
0
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1answer
233 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
165 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
66 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
55 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
65 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
300 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
96 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 (...
2
votes
2answers
3k 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 ...
2
votes
1answer
733 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 ...
0
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1answer
43 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
1k 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
125 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
45 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
3k 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 ...
6
votes
1answer
714 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
7k 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 ...
0
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1answer
127 views
Textbook for US Treasury Bond / Notes Futures
Is the text The Treasury Bond Basis by Burghardt still the authoritative source on this topic? The most recent edition was published in 2005. I think that, based on the contents and others' ...
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0answers
24 views
Where can I find information about historical asset maturities purchased for QE by Fed and ECB?
I'm looking to conduct some research regarding government bond purchases by central banks. I am wondering where I can find the maturities of bonds purchased as well as the quantity online?
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1answer
303 views
Where can I find historical daily term repo data?
DTCC appears to provide historical o/n repo data for US Treasuries but does not do so for term repo data. If I want to analyze the term repo curve, where would I be able to find historical term repo ...
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1answer
2k views
In what economic scenario do yield curves bull flatten or bear steepen?
Bull steepening and bear flattening have the common belief that in bad news, treasuries catch a bid and short end rallies more because most bad news are short lived. In good news, treasuries sell off ...
4
votes
1answer
2k views
How to compute the yield on the Ultra-Bond Treasury Futures
I am trying to compute the yield on the Ultra-Bond Treasury Futures which is roughly 172.2187.
Heres the description of the contract:
U.S. Treasury bonds with remaining term to maturity of not ...
6
votes
2answers
301 views
Principal components in treasuries: spot vs futures
I'm looking to use first few principal components of the US treasury yields for trading, and have choice of using either the data for treasuries themselves, or for the corresponding futures contracts. ...
