6 votes
Accepted

What can be used to replace the Libor - OIS indicator in assessing fear in money markets?

At this point most Libors are dead but not all. USD Libor goes away in June 23 so you have some time there. Also, Euribor lives on in a reformed state so you can continue to look at the Euribor- ...
dm63's user avatar
  • 17k
4 votes
Accepted

Difference between US FED interest on reserve and EFFR?

According to https://www.federalreserve.gov/newsevents/pressreleases/bcreg20210602a.htm , July 29, 2021, the previously separate interest rate on excess reserves and the interest rate on required ...
Dimitri Vulis's user avatar
4 votes
Accepted

Carry/slide on Treasury CTD basis position

“understand whether a long CTD basis position needs to incorporate slide/roll when computing basis net of carry”. I’d say (a) yes in order to compute net basis, you have to subtract all economic ...
dm63's user avatar
  • 17k
4 votes
Accepted

Computing treasury note/bond prices from yield

The answer to this is the calculation mode of the bond. The street convention is to use your formula as you have stated, which uses a compounded interest formula for the first period. But the Federal ...
Attack68's user avatar
  • 9,994
3 votes

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

That's like saying, when the curve is upward sloping, why is anyone ever short ? Also, futures don't have carry, only roll down by definition. Carry pnls for cash are realised if fwds are realised - ...
user68819's user avatar
  • 360
3 votes

Computing treasury note/bond prices from yield

There is a typo in your invoice price formula. It should be $\dfrac{F}{(1+y)^{-a}}$, not $\dfrac{F}{(1+y)^{a}}$. It may explain some of the differences when you consider an accrued different from zero....
Sara Mun's user avatar
3 votes

Bloomberg FWCM vs FWCV

It will depend on what you need. The calculation method itself is based on the same formula in any case. However, from the top of my head, FWCM always uses piecewise linear (Simple-comp zero rate) ...
AKdemy's user avatar
  • 9,079
3 votes

Is there anyone trading Then-Current Treasury Forward?

You are right, the forward yield of a then-on-the-run Treasury can be traded, but not the forward price. As you point out, the coupon on a new issue is set on the eventual auction date so the price ...
dm63's user avatar
  • 17k
2 votes
Accepted

Is High Treasury yield a bullish signal to stock market?

Yields down = Bond prices up: usually, Bonds are considered a safe-heaven asset, so a bid in bonds signals flight to safety: so when yields drop sharply without any specific central bank action, it's ...
Jan Stuller's user avatar
  • 6,118
2 votes

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

Sometimes there is not much liquidity in a particular bond issue and it could become scarce and shoot up in price vis a vis others. Then there would be accusations that someone is manipulating the ...
nbbo2's user avatar
  • 11.2k
2 votes

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

The position you describe is a long basis position--Long Bond, Short Future. Carry is the difference between Coupon and Financing. $$Carry = Coupon - Financing$$ As you mentioned, the yield is less ...
AlRacoon's user avatar
  • 6,262
1 vote

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

As mentioned by @user68819, the correct terminology for returns from rolling down the futures term structure futures is roll return and not carry. The points below are a summary of @user68819's ...
craftcase's user avatar
1 vote
Accepted

US Treasury: Calculating Price from Yield

There is something wrong with that screenshot. The price that corresponds to a 4.475 yield should be 99-26 which is close to the value you calculated. Mentally you can check this because the yield is ...
dm63's user avatar
  • 17k

Only top scored, non community-wiki answers of a minimum length are eligible