The treasury bond basis: an in-depth analysis for hedgers, speculators, and arbitrageurs
The Treasury Bond Basis provides a comprehensive and detailed discussion of the relationship between the Treasury Bond market and Treasury bond futures. Vital information such as analysis of the basis relationship between shorter term Treasure securities and Treasury bill and note futures is all here in one source. In-depth coverage includes: The forces that influence the basis; Practical considerations associated with the basis; Basis-related strategies; Strategies to enhance treasury bond yields.
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What Drives the Basis?
How the Shorts Strategic Options
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accrued interest basis points basis trade bond basis bond futures contract bond prices bond to deliver bond's conversion factor cash bond cash market cash price cheap to deliver cheapest bond cheapest to deliver Chicago Board contract month daily carry deliverable bond delivery month difference duration example February 19 financing futures market futures price futures trading hedge ratio implied repo rate increase in yields invoice price IU'I KtTM last delivery day last trading day level of yields long bond March 1988 futures marked to market maturity MI'I MM'I MM'T MMII MT MMM Mt'l Mt't Mt'tT MtO'T non-cheap bond note futures percent portfolio manager profit reverse repo rate reverse RP RI'I RI'l RP rate Rt'l selling the basis short futures short squeeze short the basis slope switch option Table total carry Treasury securities Ut'I UU'I volatile wild card play yield curve yield enhancement yield spread yields rise