All Questions
10
questions
1
vote
0
answers
72
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 ...
- 598
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
117
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 ...
- 775
2
votes
1
answer
240
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 ...
- 131
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. ...
- 491
0
votes
0
answers
76
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 ...
- 113
1
vote
4
answers
400
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 ...
- 15
1
vote
3
answers
328
views
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 ...
- 745
0
votes
1
answer
52
views
US Treasury foreign buying/selling data
Would anyone recommend any Index or data that I can avail to understand the trend in buying/selling of US treasuries by China? I have access to Reuters feed.
Thanks,
Sumit
- 141
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 ...
- 2,108