Questions tagged [treasuries]
The treasuries tag has no usage guidance.
80
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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 ...
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2
answers
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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 ...
- 335
9
votes
1
answer
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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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7
votes
1
answer
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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 ...
- 330
6
votes
2
answers
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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. ...
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3
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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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1
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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 ...
- 951
5
votes
2
answers
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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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5
votes
1
answer
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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 ...
- 173
5
votes
1
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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 ...
- 521
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votes
1
answer
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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 ...
3
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1
answer
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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 ...
- 335
3
votes
1
answer
908
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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 ...
- 85
3
votes
2
answers
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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 ...
- 459
3
votes
3
answers
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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 ...
- 255
3
votes
1
answer
425
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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. (<...
2
votes
2
answers
501
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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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2
answers
287
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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 ...
- 409
2
votes
1
answer
2k
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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 ...
- 953
2
votes
1
answer
353
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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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1
answer
108
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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 ...
- 8,002
2
votes
2
answers
307
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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 ...
- 544
2
votes
1
answer
280
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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 ...
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2
votes
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 ...
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2
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1
answer
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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 ...
1
vote
3
answers
299
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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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4
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335
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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
answers
2k
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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. ...
- 481
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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2
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283
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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!
- 157
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2
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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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1
vote
1
answer
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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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1
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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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1
vote
1
answer
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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 ...
- 341
1
vote
1
answer
66
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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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1
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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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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
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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 ...
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0
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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 ...
- 111
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0
answers
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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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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 ...
1
vote
0
answers
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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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0
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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 ...
1
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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 ...
- 1,162
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0
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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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0
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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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0
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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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0
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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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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 ...
