Been thinking about your question over the last few days. If I wanted to hold a futures rate to maturity I would use either SOFR Bundles for say...
Shy = 2yr bucket
Always buy in auction. If you buy in secondary market you pay offered side. The Treasury auction process provides the best opportunity to get the...
When you purchase treasuries outright you can review the maturity date and confirm the date you prefer to have principal repayment. Since Bills...
Treasury bills mature on Tuesday and Thursday. Coupon securities can mature on ANY day of the week on the 15 mid month or at monthend. On a...
Thank you for the post. We cant have the market-makers BOTS loosing money now can we. lol
This morning on BB says it all
Leverage funds are all in basis trades. Long cash treasuries short futures. Asset mangers are just long futures in their books. The leverage funds...
Interesting Treasury just delayed todays buyback till tomorrow Lets see how the 20 yr auction goes
I would think of it as buying on the bid side of the market vs paying the offer side when you purchase from a dealer/broker. During the normal...
It was reported that this trade was a new long in the market. Open interest increased from 1.196M on April 8 to 1.251M on April 9 a 55,000...
https://www.zerohedge.com/markets/your-short-has-been-rejected-massive-stock-lending-firm-processing-over-2tn-transactions ICBC was hacked in...
Front month TYZ3 Micro YQTV23
Yes ZQ = Daily Fed Effective SR1 = Daily SOFR Rate At the moment setting @ 3bps spread. Also ZQ a bit better liquidity out the curve and ZQ a...
CQG ? Has nice spreading abilities across assets
ZQ SR1
That would be the normal conservative approach... Schwab Bank extended out the yield curve and purchased long duration Treasuries. Now these...
I would also look at 17 week TB (4 Month). They are the cheapest TB on the curve consistently.
I say good riddance ! I was always on the wrong side. Lol But I will say SOFR is much more in my wheelhouse.
I'm just very thankful that's for sure. I do think more hedging has shifted to ois swaps. We are also in a much higher volatility environment so...
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