Questions tagged [treasuries]

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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 ...
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2 votes
1 answer
104 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 ...
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1 answer
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"The five year swap has the same dv01 as a par five year treasury bond" Why?

Am reading a book where the author gives an example of someone buying a 5 year par 4.65% treasury and someone else entering an 5 year interest rate swap agreeing to receive 5.75%. The treasury yield ...
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2 votes
2 answers
175 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 ...
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0 answers
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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 ...
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7 votes
1 answer
403 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 ...
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2 votes
1 answer
122 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 ...
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1 answer
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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?
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1 vote
0 answers
125 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 ...
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1 vote
1 answer
390 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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0 answers
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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 ...
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0 answers
48 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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1 vote
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 ...
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1 vote
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 ...
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1 vote
1 answer
95 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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0 votes
2 answers
131 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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0 votes
1 answer
57 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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1 vote
4 answers
230 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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2 votes
1 answer
134 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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1 vote
1 answer
118 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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3 votes
1 answer
432 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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0 votes
1 answer
67 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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0 votes
2 answers
256 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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1 vote
0 answers
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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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0 votes
0 answers
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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 ...
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5 votes
1 answer
166 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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1 answer
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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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1 vote
0 answers
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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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1 vote
0 answers
63 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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1 vote
0 answers
58 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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0 votes
4 answers
454 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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1 vote
1 answer
53 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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0 votes
1 answer
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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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1 vote
2 answers
232 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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2 votes
1 answer
167 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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3 votes
2 answers
100 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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0 votes
0 answers
41 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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1 vote
2 answers
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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3 votes
3 answers
171 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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0 votes
1 answer
60 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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6 votes
3 answers
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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2 votes
2 answers
251 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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0 votes
1 answer
466 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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1 vote
3 answers
258 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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1 vote
1 answer
90 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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1 vote
1 answer
63 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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1 vote
1 answer
112 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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5 votes
1 answer
543 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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0 votes
2 answers
107 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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4 votes
2 answers
6k 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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