# Questions tagged [treasury]

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### Long Bond & Interest Rate Futures Hedge - is it carry negative?

The situation is the following : A bank treasury book, finances its cash bond liquidity portfolio at Euribor 3m flat. The Euribor curve is deeply inverted. The bank invests in bonds with a positive ...
• 31
1 vote
51 views

### Explanation for a Data from Treasury Direct

I am dealing with a treasury data from TreasuryDirect. Due to the lack of documentation, I am having a hard time understand the meaning of the variables. It would be great help if anyone can share any ...
• 11
393 views

### Why are long 2 year Treasury futures (ZT) trading at negative carry?

The 2 year Treasury note yields ~4.9% in the cash market as of 29 Aug 2023. Assume implied cost of financing of 5.5% pa (3 month T-bill rate) to finance a long futures position. This results in a ...
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!
207 views

### Computing treasury note/bond prices from yield

I wanted to make sure my calculation of the US treasury note/bond price is correct. Since T-notes and bonds pay coupons twice a year, let \begin{eqnarray} F &=& \rm{face\_value} = 100 \\ y &...
• 111
1 vote
282 views

### Carry/slide on Treasury CTD basis position

I'm trying to understand whether a long CTD basis position needs to incorporate slide/roll when computing basis net of carry (BNOC). I am told the answer is no but I am not sure why. I am well aware ...
• 143
1 vote
121 views

### Gross Basis - Bond Futures

Just want to confirm - Gross Basis for Bond A, deliverable into a Future: Gross Basis [A] = Clean Price [A] - Futures Price x CF [A] where CF [A] = Conversion factor of Bond A. Is this due to: Gross ...
1 vote
243 views

### Why is Bloomberg showing difference yields than US Dept of Treasury

I am using historical 30yr US treasury rates for a project. When I downloaded the rates from Bloomberg by queuing the history of the USGG30YR index, I found the numbers different from what US ...
• 31
352 views

### what is the rationale behind CTD (Cheapest to Deliver) mechanism in bond futures

why doesn't futures contract just stipulate a specific contract to be delivered. Is it because the futures seller cannot readily buy specific bond contracts?
• 11
1k views

### Bloomberg FWCM vs FWCV

I'm helping my team to project 90-day T-bill forward rates. I have two options: using FWCM or FWCV in Bloomberg. My team has used FWCM. Today I opened FWCV and found that the rates for the same curve (...
• 31
161 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 ...
602 views

### Negative Accrued for treasury bonds?

I am looking at some spreadsheets that show the US treasury bonds have some negative accrued. Why would that be the case? Shouldn't bond accruals always be positive?
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### high coupon and low coupon treasury

for treasury off the run bonds, in general, does the market prefer high coupon or low coupon bonds ? How about for credit bonds ?
• 734
392 views

### Difference between US FED interest on reserve and EFFR?

Can anyone explain the difference between THE US Federal reserve interest on reserve balances (IRRBIOER) and effective fed funds rate (EFFR)? IRRBIOER is currently at 0.9% and EFFR 0.83%. There seems ...
• 527
1 vote
88 views

### Is High Treasury yield a bullish signal to stock market?

Conventionally, when 10Y T yield is up, investors run away from growth stock, and vice versa, as it affect the risk free rate, and caused changes to their DCF model. I am here trying to breakdown the ...
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