Questions tagged [treasuries]
The treasuries tag has no usage guidance.
17
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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 ...
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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 ...
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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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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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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 ...
- 1,394
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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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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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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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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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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 ...
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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 ...
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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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67
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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 ...
- 113
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2
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196
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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/...
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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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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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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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