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Questions tagged [treasuries]

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17 views

Different CLOB for ONTR securities

I was trying to find the list of all the CLOB for on-the-run UST. I know the following: BrokerTec, TradeWeb which both have different CLOB for ONTR UST. I think Virtu Financial also has one, but I am ...
1 vote
0 answers
67 views

Bond Basis (non CTD)

I had a query regarding the trading of non CTD (but deliverable) basis. Obviously someone can buy non CTD basis (buy cash / sell bond future), with the hopes this widens, clearly I would not want to ...
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0 answers
42 views

Treasury Futures Roll Hedges

When you trade the US Treasury futures roll, why do you hedge with SOFR futures contracts for TU and FV and why do you hedge the stub (with SER futures weightings)?
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0 answers
42 views

Public exchanges US treasuries

I know the major part of US treasuries is traded OTC through RFQs. I was wondering though if there are public exchanges like for US equities where retail investors can send market and limit orders to ...
0 votes
2 answers
94 views

How close to the issue date should the "on-the-run" and "first-off-the-run" treasuries be?

I was trying to replicate the paper by Gürkaynak and wondering how I could filter out the "on-the-run" and "first-off-the-run" from CRSP dataset.
0 votes
0 answers
30 views

Last look window in us treasuries

Last look window is always discussed for Fx but I was wondering if people analyzed also its effect in other Asset Classes like US treasuries? Because I think that the holding time of a quote in US ...
1 vote
2 answers
64 views

US treasuries TRACE

For all trades on US Treasuries made through RFQs, all the trades should be reported to TRACE to have post-trade transparency. But is TRACE then available to the public? or is it just for SEC? If it's ...
0 votes
2 answers
289 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/...
-1 votes
1 answer
67 views

Approximate 5y swap rate move in 1 tick move in 5y treasury

If CT5s (the current on the run 5y treasury) goes from 99-20 to 99-21 - what will be the approx rate move in the 5y swap rate. Just trying to ascertain rule of thumbs for 5y, 10y and 30y.
0 votes
0 answers
66 views

A TIPS that matures in less than a month from now should trade like a treasury...Why can't I get the YTM's to match?

If a TIPS bond matures soon, lets say 4/15/24...we should know all the payments. I would think that if we calculate the YTM on that after adjusting for inflation it should have the same YTM as a 4/15/...
2 votes
1 answer
501 views

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". ...
0 votes
1 answer
96 views

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 ...
1 vote
1 answer
89 views

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 ...
0 votes
1 answer
69 views

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 ...
9 votes
1 answer
1k views

Bond convexity Treasuries futures

I know that long-duration bonds, on a a single bond basis, exhibit convexity. However, do Treasuries futures prices and the 10 year yield exhibit the same property? Below is a plot of continuous 10 ...
-1 votes
1 answer
173 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 ...
0 votes
0 answers
114 views

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 ...
0 votes
0 answers
39 views

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 ...
2 votes
2 answers
1k 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 ...
1 vote
2 answers
3k 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. ...
0 votes
0 answers
35 views

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!
1 vote
0 answers
86 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 ...
0 votes
1 answer
172 views

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, ...
0 votes
1 answer
251 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 ...
2 votes
1 answer
145 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 ...
1 vote
0 answers
75 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 ...
0 votes
1 answer
180 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 ...
1 vote
0 answers
42 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 ...
2 votes
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 ...
1 vote
0 answers
116 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 ...
0 votes
2 answers
707 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 ...
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 ...
2 votes
1 answer
370 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 ...
2 votes
2 answers
466 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 ...
1 vote
4 answers
389 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 ...
0 votes
0 answers
74 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 ...
2 votes
1 answer
220 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 ...
8 votes
1 answer
797 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 ...
0 votes
1 answer
259 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?
5 votes
1 answer
234 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 ...
1 vote
0 answers
323 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 ...
0 votes
0 answers
73 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 ...
0 votes
0 answers
68 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 ...
1 vote
1 answer
136 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 ...
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 ...
1 vote
1 answer
165 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 ...
2 votes
1 answer
342 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 ...
0 votes
1 answer
109 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 ...
2 votes
1 answer
564 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 ...
3 votes
1 answer
713 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 ...